Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Guido Baltussen; Martin Martens; Olaf Penninga

doi:10.3905/jpm.2021.1.311

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

Guido Baltussen, Martin Martens and Olaf Penninga

The Journal of Portfolio Management Quantitative Special Issue 2022, 48 (2) 209-225; DOI: https://doi.org/10.3905/jpm.2021.1.311

Guido Baltussen

is a professor in finance at Erasmus University Rotterdam and executive director at Robeco Institutional Asset Management in Rotterdam, The Netherlands

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Martin Martens

is director at Robeco Institutional Asset Management in Rotterdam, The Netherlands

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Olaf Penninga

is executive director at Robeco Institutional Asset Management in Rotterdam, The Netherlands

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Factor Investing in Sovereign Bond Markets: Deep Sample Evidence