Return predictability for interest rate swap spreads
MetadataShow full item record
- Master of Science 
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 regression of hedge fund returns on these strategies shows some evidence of utilisation in the market.
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023