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| Tekijä: | Driessen, J. Melenberg, B. Nijman, T. |
| Otsikko: | Common factors in international bond returns |
| Lehti: | Journal of International Money and Finance
2003 : AUG, VOL. 22:4, p. 629-656 |
| Asiasana: | Bonds Hedging Return on investment Term structure of interest rates Germany Japan USA |
| Kieli: | eng |
| Tiivistelmä: | The authors estimate and interpret the factors that jointly determine bond returns of different maturities in the US, Germany and Japan. They analyze both currency-hedged and unhedged bond returns. For currency-hedged bond-returns, it is found that a linear factor model with five factors explains 96,5% of the variation of bond returns. Using regression analysis, the authors show that these factors can be associated with changes in the level and steepness of the term structures in (some of) these countries. |
SCIMA