Diskusjonsnotater / Discussion notes: Recent submissions

Now showing items 1-20 of 54

    • Withdrawals from the GPFG and potential trade-offs 

      Unknown author (Discussion Note;2/2023, Others, 2023)

    • Investor demand and government bond pricing 

      Unknown author (Discussion Note;1/2024, Others, 2024)

    • Drivers of listed and unlisted real estate returns 

      Unknown author (Discussion Note;3/2023, Others, 2023)

    • Private equity 

      Unknown author (Discussion Note;4/2023, Others, 2023)

    • Macro trends and long-horizon returns 

      Unknown author (Discussion Note;1/2023, Others, 2023)

    • 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 ...