| dc.contributor.author | Tønsberg, Emil Martin Szmigiel | |
| dc.contributor.author | Johansen, Henrik Kragerud | |
| dc.date.accessioned | 2018-12-21T10:08:47Z | |
| dc.date.available | 2018-12-21T10:08:47Z | |
| dc.date.issued | 2018 | |
| dc.identifier.uri | http://hdl.handle.net/11250/2578616 | |
| dc.description | Masteroppgave(MSc) in Master of Science in Finance/Master of Science in Business, Finance - Handelshøyskolen BI, 2018 | nb_NO |
| dc.description.abstract | 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. | nb_NO |
| dc.language.iso | eng | nb_NO |
| dc.publisher | Handelshøyskolen BI | nb_NO |
| dc.subject | finans | nb_NO |
| dc.subject | finance | nb_NO |
| dc.subject | finacial economics | nb_NO |
| dc.title | Predictability of Bond Risk Premia | nb_NO |
| dc.type | Master thesis | nb_NO |
