Diskusjonsnotater inneholder analyser som kan danne grunnlag for Norges Bank Investment Managements investeringsstrategi og rådgivning til eieren av fondet. Organisasjonen deler ikke nødvendigvis alle synspunkter som uttrykkes i diskusjonsnotatene. Notatene er skrevet av ansatte, og baserer seg på vår forskning og erfaring som en stor, langsiktig fondsforvalter.

The Discussion Note series provides analysis which may form relevant background for Norges Bank Investment Management’s investment strategy and advice to the asset owner. Any views expressed in the Discussion Notes are not necessarily held by our organisation. The series is written by employees, and is informed by our investment research and our experience as a large, long-term asset manager.

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Recent Submissions

  • Expected returns on a multi-asset portfolio 

    Unknown author (Discussion Note;1/2022, Others, 2022)
  • Fundamental drivers of asset returns 

    Unknown author (Discussion Note;2/2021, Others, 2021)
    Asset returns are driven by changes to their expected future cash flows and the corresponding discount rates. In this note, we use this idea to identify the fundamental drivers of equity and bond returns based on expected ...
  • Modelling equity market term structures 

    Unknown author (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 ...
  • The asset pricing effects of ESG investing 

    Unknown author (Discussion Note;1/2021, Others, 2021)
  • Portfolio delegation and the effects of benchmarks 

    Unknown author (Discussion Note;1/2020, Others, 2020)
  • Country and industry effects in global equity returns 

    Unknown author (Discussion note;01/2019, Others, 2019)
  • Sovereign Risk 

    Unknown author (Discussion note;5/2011, Others, 2011)
    Government debt has increased sharply in most developed countries in the wake of the financial crisis. The increased debt burden comes on top of an expected surge in debt due to demographics. Sharpened by the European ...
  • Prospective Real Returns in Fixed Income 

    Unknown author (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 ...
  • The Credit Premium 

    Unknown author (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 Term Premium 

    Unknown author (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 ...
  • On Risk Premium Variation 

    Unknown author (Discussion note;1/2011, Others, 2011)
    This section provides a brief introduction to modern financial economics and theories of discount factor variation.
  • Empirical Analysis of Rebalancing Strategies 

    Unknown author (Discussion note;3/2012, Others, 2012)
    We review the theoretical foundation for rebalancing regimes and look at the impact of rebalancing on the portfolio’s risk and return based on historical return data from 1970 to 2011. We compare both different calendar ...
  • Alternatives to a Market-Value-Weighted Index 

    Unknown author (Discussion note;7/2012, Others, 2012)
    We study alternative portfolio construction methods in an attempt to improve the return-to-risk characteristics of market value weights. To understand the investability of these approaches we introduce a novel way to measure ...
  • Capturing Systematic Risk Premia 

    Unknown author (Discussion note;8/2012, Others, 2012)
    This note illustrates the empirical risk/return characteristics of the different risk premia, and how one can design scalable investment strategies to capture systematic risk premia.
  • High Frequency Trading – an Asset Manager's Perspective 

    Unknown author (Discussion note;1/2013, Others, 2013)
    In this note we review the rapidly expanding literature in the area of market microstructure, high frequency and computer-based trading. On the back of this and based on our own investment and trading experiences, we ...
  • Risks and Rewards of Inflation-Linked Bonds 

    Unknown author (Discussion note;10/2012, Others, 2012)
    Inflation-linked bonds are fixed-income securities whose principal and coupons are linked to price indices. They are designed to eliminate the risk of unexpected inflation to the holders of the bonds. In this discussion ...
  • Global Trends and Their Impact on Real Estate 

    Unknown author (Discussion note;2/2015, Others, 2015)
    We review the global trends that are likely to have a significant impact on real estate markets over the coming decades. These are: globalisation, technological progress, sustainability, demographic changes and urbanisation. ...
  • Momentum in Futures Market 

    Unknown author (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 ...
  • A Survey of the Small-Firm Effect 

    Unknown author (Discussion note;12/2012, Others, 2012)
    The small-firm effect (SFE) refers to the long-term average excess returns that a portfolio of small-capitalisation stocks earns over a portfolio of large-capitalisation stocks. In this note, we review the extensive empirical ...
  • Modelling the Implied Tail Risk of Foreign Exchange 

    Unknown author (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 ...

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