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Predictability of Bond Risk Premia

Tønsberg, Emil Martin Szmigiel; Johansen, Henrik Kragerud
Master thesis
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1999374.pdf (8.919Mb)
Preliminary Thesis January 2018 final.pdf (1.076Mb)
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http://hdl.handle.net/11250/2578616
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
The notion of time-varying risk premia has great implications from

an economic standpoint. We study the predictability of bond risk

premia in the US, Australia, Canada, Switzerland, Germany, UK,

and Japan, and whether predictive models can generate real-time

excess returns. We nd that Cochrane and Piazzesi's (2005) single

factor is a signi cant driver of bond risk premia variations, although

its signi cance has weakened lately. In contrast, Dahlquist and

Hasseltoft's (2013) global single factor has increased in signi cance,

on average explaining 20% of bond risk premia variations. The

global single factor appears to produce real-time excess returns

when adopting a simple trading setup with direction accuracy as

the objective function.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance/Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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