This study analyzes 1868–1914 Brussels bond returns, finding strong momentum but weak long-term reversal. No link exists between returns and downside risk, credit quality, or illiquidity, challenging modern bond factor models and the CAPM framework.
This study analyzes 1868–1914 Brussels bond returns, finding strong momentum but weak long-term reversal. No link exists between returns and downside risk, credit quality, or illiquidity, challenging modern bond factor models and the CAPM framework.