Browsing Norges Bank Investment Management by Title
Now showing items 62-81 of 121
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Managing Informational Asymmetries in Foreign Exchange Markets
(Asset Manager Perspective;2/2017, Others, 2017)The recent release of the FX Global Code of Conduct is an opportunity to revisit common market practices in global foreign exchange markets. These markets are critical to the functioning of the global economy, and provide ... -
Modelling equity market term structures
(Diskusjonsnotater;3/2021, Others, 2021)We outline a methodology for estimating term structures of expected dividend growth and risk premiums, which we apply to equity markets in the US, euro area, Japan, and the UK. These term structures are key inputs when ... -
Modelling the Implied Tail Risk of Foreign Exchange
(Discussion note;15/2012, Others, 2012)From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. In this note, we describe a modelling approach that addresses some of the weaknesses of standard ... -
Momentum in Futures Market
(Discussion note;1/2014, Others, 2014)In this note, we survey the academic literature and provide empirical evidence related to time-series momentum strategies in the futures markets. We find that this phenomenon is remarkably consistent across 47 diverse ... -
No-trade band rebalancing rules : Expected returns and transaction costs
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Norges Bank Investment Management : Annual Report 2006
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Norges Bank Investment Management : Annual Report 2007
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Norges Bank Investment Management : Årsrapport 2006
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Norges Bank Investment Management : Årsrapport 2007
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The Norwegian Government Petroleum Fund : Annual Report 1998
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The Norwegian Government Petroleum Fund : Annual Report 1999
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On Risk Premium Variation
(Discussion note;1/2011, Others, 2011)This section provides a brief introduction to modern financial economics and theories of discount factor variation. -
Petroleum Wealth and Oil Price Exposure of Equity Sectors
(Discussion Note;4/2017, Others, 2017)In this note, we analyse the short- and long-term co-movement of equity sectors with oil prices. We discuss how Norwegian petroleum wealth is exposed to a permanent oil price decline through sectors that co-move with oil prices. -
Portfolio delegation and the effects of benchmarks
(Discussion Note;1/2020, Others, 2020) -
Prospective Real Returns in Fixed Income
(Discussion note;2/2011, Others, 2011)In this paper, we discuss the potential long-term real return implications of current yield levels in developed economies’ government bond markets. Treasury yields in the major economies are at or very close to their ... -
Remuneration of the CEO
(Asset Manager Perspective;1/2017, Others, 2017)CEO remuneration structures are a distinct issue of interest to shareholders, with likely implications for the well-functioning of financial markets. This note views remuneration as an expression of corporate governance ... -
Renewable Energy Investments
(Discussion note;4/2015, Others, 2015)The market for renewable energy investments has grown markedly over the last ten years, and is a market in constant change. In this note we look closer at infrastructure investments in renewable energy. Our objective is ... -
Return Predictability and Implications
(Discussion note;2/2012, Others, 2012)We review the academic literature on the empirical phenomenon of return predictability and discuss its implications for the rebalancing policy of long-term investors. -
Risk and Return of Different Asset Allocations
(Discussion Note;2/2016, Others, 2016)In this note, we evaluate the risk and return characteristics of equities and government bonds, and discuss how the risk and return profile of a portfolio of these asset classes varies with the size of the equity allocation ... -
Risks and Rewards in Emerging Equity Markets
(Discussion note;6/2012, Others, 2012)We survey the literature on the risks and rewards in emerging equity markets. Drawing on theoretical and empirical arguments, we assess whether a long-term investor should have a strategic allocation to these markets that ...