Return predictability for interest rate swap spreads
Abstract
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.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023