Return predictability for interest rate swap spreads
Master thesis
Permanent lenke
https://hdl.handle.net/11250/3096723Utgivelsesdato
2023Metadata
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- Master of Science [1621]
Sammendrag
This study seeks to discover time-series reversals in interest rate swap
spread changes. We document significant abnormal returns on strategies
exploiting these trends, with persistent returns across holding
periods. A regression of hedge fund returns on these strategies shows
some evidence of utilisation in the market.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023