Browsing BI Open by Author "Dolvik, Ole Jakob"
Now showing items 1-1 of 1
-
Return predictability for interest rate swap spreads
Frisvoll, Oliver Collargol; Dolvik, Ole Jakob (Master thesis, 2023)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 ...