Abstract
The study investigated both the January effect and the sell-in-May-and-go-away anomaly in government bond returns. It also tested whether the two seasonal patterns impact the performance of fixed-income factor strategies related to volatility, credit risk, value, and momentum premia. Our examination of government bond markets in 25 countries for years 1992-2016 proved that both the bond returns and factor premia had remained unaffected by the January and sell-in-May effects. These seasonal patterns in government bond markets appear to be merely a statistical artefact.
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