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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. -
Corporate Bonds in a Multi-Asset Portfolio
(Discussion note;2/2017, Others, 2017)In this note, we evaluate the risk and return characteristics of corporate bonds, and discuss the role of this asset class in a multi-asset portfolio consisting of equities and nominal Treasury bonds in addition to corporates. ... -
No-trade band rebalancing rules : Expected returns and transaction costs
(Discussion Note;1/2018, Others, 2018) -
Country and industry effects in global equity returns
(Discussion note;01/2019, Others, 2019) -
Portfolio delegation and the effects of benchmarks
(Discussion Note;1/2020, Others, 2020) -
Fundamental drivers of asset returns
(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
(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
(Discussion Note;1/2021, Others, 2021) -
Expected returns on a multi-asset portfolio
(Discussion Note;1/2022, Others, 2022)