Risk and return characteristics of the swap spread arbitrage strategy

dc.contributor.author	Tabbech, Adrian Gullvåg
dc.contributor.author	Engelsgjerd, Kjetil
dc.date.accessioned	2019-10-30T11:59:15Z
dc.date.available	2019-10-30T11:59:15Z
dc.date.issued	2019
dc.identifier.uri	http://hdl.handle.net/11250/2625380
dc.description	Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019	nb_NO
dc.description.abstract	We conduct a study on the risk and return characteristics of the swap spread arbitrage strategy. Specifically, we investigate the two-year, three-year, five-year, seven-year, ten-year, and an equally-weighted swap spread strategy in the US, the UK, and Japan. We find that there is very little “arbitrage” in this fixed income trading strategy. Furthermore, our findings suggest that the less liquid markets offer better risk and return characteristics than the more liquid markets.	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.title	Risk and return characteristics of the swap spread arbitrage strategy	nb_NO
dc.type	Master thesis	nb_NO