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Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1638286

Limits to arbitrage, investor sentiment, and factor returns in international government bond markets

Adam Zaremba ; Dubai Business School, University of Dubai, Academic city, Dubai, UAE; Department of Investment and Capital Markets, Poznan University of Economics and Business, Poznan, Poland
Jan Jakub Szczygielski ; Department of Financial Management, University of Pretoria, Hatfield, South Africa

Puni tekst: engleski, pdf (2 MB) str. 1727-1743 preuzimanja: 58* citiraj
APA 6th Edition
Zaremba, A. i Szczygielski, J.J. (2019). Limits to arbitrage, investor sentiment, and factor returns in international government bond markets. Economic research - Ekonomska istraživanja, 32 (1), 1727-1743. https://doi.org/10.1080/1331677X.2019.1638286
MLA 8th Edition
Zaremba, Adam i Jan Jakub Szczygielski. "Limits to arbitrage, investor sentiment, and factor returns in international government bond markets." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 1727-1743. https://doi.org/10.1080/1331677X.2019.1638286. Citirano 29.03.2020.
Chicago 17th Edition
Zaremba, Adam i Jan Jakub Szczygielski. "Limits to arbitrage, investor sentiment, and factor returns in international government bond markets." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 1727-1743. https://doi.org/10.1080/1331677X.2019.1638286
Harvard
Zaremba, A., i Szczygielski, J.J. (2019). 'Limits to arbitrage, investor sentiment, and factor returns in international government bond markets', Economic research - Ekonomska istraživanja, 32(1), str. 1727-1743. https://doi.org/10.1080/1331677X.2019.1638286
Vancouver
Zaremba A, Szczygielski JJ. Limits to arbitrage, investor sentiment, and factor returns in international government bond markets. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 29.03.2020.];32(1):1727-1743. https://doi.org/10.1080/1331677X.2019.1638286
IEEE
A. Zaremba i J.J. Szczygielski, "Limits to arbitrage, investor sentiment, and factor returns in international government bond markets", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 1727-1743, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1638286

Sažetak
The perspective of behavioural finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data for 25 countries for the years 1992–2015, we replicate multiple factor strategies that represent four major return drivers: defensive (low-risk), carry, value and momentum. We investigate the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to arbitrage negatively affect momentum profits

Ključne riječi
international markets; government bonds; anomalies; limits to arbitrage; investor sentiment; return predictability

Hrčak ID: 228846

URI
https://hrcak.srce.hr/228846

Posjeta: 99 *