Return predictability for interest rate swap spreads

Abstract

Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023This 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

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