Carry and momentum in the Brazilian yield curve
| dc.contributor.advisor | GUSTAVO BARBOSA SOARES | |
| dc.contributor.author | Darin, Débora | |
| dc.coverage.spatial | São Paulo, SP | pt_BR |
| dc.creator | Darin, Débora | |
| dc.date.accessioned | 2021-09-13T03:23:00Z | |
| dc.date.accessioned | 2021-05-23T19:54:36Z | |
| dc.date.available | 2021-09-13T03:23:00Z | |
| dc.date.available | 2020 | |
| dc.date.available | 2021-05-23T19:54:36Z | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020 | |
| dc.description.other | The return premia of the yield curve can be comprehensively described by a perspective of style factors, a set of characteristics that includes measures such as value, momentum and carry, applied to bonds, according to Brooks and Moskowitz (2017). Based on the referred article, this paper focuses on the information about expected returns that can be extracted from the slope and the curvature of the yield curve (therefore, carry and momentum strategies) across all levels of the yield curve, in a multi-maturity model. This study combines carry and momentum strategies applied to the Brazilian yield curve, and verifies whether it is possible to achieve superior returns by applying this combined style factor trading strategy to the curve, regardless of the interest rates levels in the time-series. Additionally, this study provides evidence on the application of carry and momentum strategies to the Brazilian One-day Interbank Deposit Futures, and verifies its adherence to the existing literature. | pt_BR |
| dc.format.extent | 53 p. | pt_BR |
| dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/2838 | |
| dc.language.iso | Inglês | pt_BR |
| dc.rights.uri | TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM. | pt_BR |
| dc.subject | Risk Premia. Yield Curve. Carry. Momentum. | pt_BR |
| dc.title | Carry and momentum in the Brazilian yield curve | pt_BR |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| local.contributor.boardmember | Araujo, Michael Viriato | |
| local.contributor.boardmember | Porsani, Rafael | |
| local.type | Dissertação | pt_BR |
| relation.isAdvisorOfPublication | 8a7b5a9c-5615-4623-bfcb-b67ed3f6008f | |
| relation.isAdvisorOfPublication.latestForDiscovery | 8a7b5a9c-5615-4623-bfcb-b67ed3f6008f |