Emerging market bond returns - An investor perspective

D. Johannes Jüttner*, David Chung, Wayne Leung

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Citations (Scopus)


The novel features of this study consist in applying a conventional multifactor global market model to emerging market sovereign bond index rates of return that are denominated in US dollars and subsequently relating the unexplained residuals from the market model's estimates of each country's total bond index return to country-specific factors. They include political and financial risks as well as other presumed determinants of bond index rates of return. The results of our study confirm that sovereign countries' bond index rates of return that include interest payments and capital gains/losses may be explained in terms of conventional bond pricing models by combining global market factors with local risk and other country-specific influences.

Original languageEnglish
Pages (from-to)105-121
Number of pages17
JournalJournal of Multinational Financial Management
Issue number2
Publication statusPublished - Apr 2006


Dive into the research topics of 'Emerging market bond returns - An investor perspective'. Together they form a unique fingerprint.

Cite this