Browsing Norges Bank Investment Management by Title
Now showing items 107-121 of 121
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The Credit Premium
(Discussion note;3/2011, Others, 2011)In this section, we review the theory and empirical evidence of the credit premium. The credit premium is the excess return that an investor obtains for holding bonds issued by entities other than governments. A natural ... -
The Diversification Potential of Real Estate
(Discussion note;1/2015, Others, 2015)We review the return characteristics and return drivers of private real estate investments and assess these in the perspective of a multi-asset portfolio. Our conclusions are based on our interpretation and weighting of ... -
The Equity Risk Premium
(Discussion note;1/2016, Others, 2016)In this note, we review the extensive theoretical and empirical evidence on one of the most important variables in financial economics – the equity risk premium (ERP). -
The History of Rebalancing of the Fund
(Discussion note;4/2012, Others, 2012)In this note we dig deeper into the rebalancing question and examine how the Fund’s rebalancing rules have impacted overall risks and returns. We find that the rules for rebalancing have served the fund well and contributed ... -
The Liquidity of a Diversified Portfolio
(Discussion note;3/2017, Others, 2017)In this note, we assess the trading liquidity of a globally diversified equity and fixed-income portfolio. -
The Listings Ecosystem : Aligning incentives
(Asset Manager Perspective;1/2016, Others, 2016)Companies deciding to go public enjoy a number of advantages that complement the original intention of their founders’ capital raising and risk-sharing needs. These include improved liquidity, transparency and visibility. ... -
The Quality Factor
(Discussion Note;3/2015, Others, 2015)Quality-based investment strategies aim to capture the documented excess returns of high-quality stocks over low-quality stocks. In this note, we review the empirical evidence on the quality premium and discuss some of the ... -
The Role of Last Look in Foreign Exchange Markets
(Asset Manager Perspective;3/2015, Others, 2015)Last Look is a unique feature of foreign exchange (FX) markets that gives liquidity providers the option to reject orders received from liquidity takers in response to the provider’s quote. This feature is effective in ... -
The Role of Securities Lending in Well-Functioning Markets
(Asset Manager Perspective;2/2016, Others, 2016)Securities lending markets contribute to well-functioning markets in important ways. The main vector for this contribution is that lending markets aid in efficient price discovery for assets. Asymmetries in the ability of ... -
The Structure of Inflation-Linked Bond Markets
(Discussion note;9/2012, Others, 2012)We describe the market structure of global inflation-linked bonds to evaluate to what degree they constitute an investable and homogeneous asset class. In particular, we discuss the market’s growth, size and composition ... -
The Sustainable Development Goals and the Government Pension Fund Global
(Asset Manager Perspective;1/2018, Others, 2018)The UN Sustainable Development Goals (SDGs) set out an ambitious policy agenda to achieve sustainable economic, social and environmental development by 2030. As a long-term and global owner, the Government Pension Fund ... -
The Term Premium
(Discussion note;4/2011, Others, 2011)In this section, we review the theory and empirical evidence of the term premium. The term premium is the excess return that an investor obtains in equilibrium from committing to hold a long-term bond instead of a series ... -
The Value Effect
(Discussion note;16/2012, Others, 2012)In this note, we review the theory and empirical evidence of the value effect. The value effect is the excess return that a portfolio of value stocks (stocks with a low market value relative to fundamentals) has, on average, ... -
Time-Varying Expected Returns and Investor
(Discussion note;1/2012, Others, 2012)What is the optimal rebalancing policy for a portfolio’s equity and bond holdings? The classical answer, building on the seminal contributions by Mossin (1968), Merton (1969, 1971), Samuelson (1969) and others, is that ... -
Well-Functioning Financial Markets
(Discussion note;13/2012, Others, 2012)In this note we discuss the theoretical foundation for well-functioning financial markets and why well-functioning financial markets are essential to reach the objective for the management of the Fund. Against this background ...