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- W2046293357 abstract "Abstract This paper provides evidence of seasonal variation in individual Canadian provincial government bond returns. For the period of 1983–2003, holding period returns appear to fall significantly in the month of March. A trading strategy that took advantage of this seasonality would have out-performed a buy-and-hold strategy. The seasonal variation in Canadian bond returns correlates with seasonal movements in US 10-year Treasury bond yields, but not with factors originating in Canada. The results reveal significant seasonality in a major bond market that has not been analyzed previously, provide evidence of seasonality in one market spilling over into another market, and illustrate the importance of incorporating international factors in analyses of seasonality. Résumé La présente étude met en évidence les variations saisonnières dans les rendements des obligations des gouvernements des provinces canadiennes. Entre 1983 et 2003, les rendements des obligations ont baissé de façon significative en mars. Une stratégie commerciale qui profile de cette saisonnalité devrait avoir des performances supérieures à celles d'une stratégie d'achat à long terme. La variation saisonnière des rendements des obligations canadiennes est corrélée, non pas avec des facteurs canadiens, mais avec des mouvements saisonniers du taux de rendement des obligations de 10 ans du Trésor des États-unis. Nos résultats soulignent, pour la première fois, la grande saisonalité caractéristique du marché des obligations. Ils montrent aussi comment la saisonalité qui caractérise un marché peut avoir des répercussions sur un autre marché. Enfin, ils réaffirment la nécessité d'incorporer les facteurs internationaux dans les analyses de saisonnalité." @default.
- W2046293357 created "2016-06-24" @default.
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- W2046293357 date "2009-04-08" @default.
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- W2046293357 title "Seasonality in Canadian Bond Returns: The Role of International Factors" @default.
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- W2046293357 doi "https://doi.org/10.1111/j.1936-4490.2006.tb00612.x" @default.
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