Blar i Diskusjonsnotater / Discussion notes på emneord "VDP::Samfunnsvitenskap: 200::Økonomi: 210"
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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
(Discussion Note;1/2018, Others, 2018) -
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. -
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 ... -
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 ... -
Risks and Rewards of Inflation-Linked Bonds
(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 ... -
Sovereign Risk
(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 ... -
Syndicated Loans
(Discussion note;4/2014, Others, 2014)Investments in private debt may provide attractive investment opportunities for a large investor able and willing to commit funds to illiquid instruments. In this note we look closer at one particular type of private debt ... -
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 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 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 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 ...