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dc.contributor.authorElnan, André Lerberg
dc.contributor.authorFolker, Alexander Willis
dc.date.accessioned2021-10-27T14:19:22Z
dc.date.available2021-10-27T14:19:22Z
dc.date.issued2021
dc.identifier.urihttps://hdl.handle.net/11250/2826066
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2021en_US
dc.description.abstractWe study time-varying risk premia across international bond- and equity markets by running predictive regressions of excess returns. We nd that the single factor of Cochrane and Piazzesi (2005) and global factor of Dahlquist and Hasseltoft (2013) have lost some of their predictive power in later years, but they both individually and jointly predict excess bond returns across countries. The deterioration of yield-based predictors suggests that there are other important factors that drive risk premia. Finally, our results indicate that investors' required risk compensation is related to international business cycles. Thisen_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinansen_US
dc.subjectfinanceen_US
dc.titleInternational Bond Return Predictabilityen_US
dc.typeMaster thesisen_US


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