Research

Drivers of listed and unlisted real estate returns
We analyse the exposures of real estate to fundamental return drivers expected cash flows:, inflation, real interest rates, and risk …
Michael Chin, Pavol Povala
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Drivers of listed and unlisted real estate returns
Macro trends and long-horizon returns
We outline a macro-finance model for simulating long-horizon returns on government bonds and multi-asset portfolios. We show how the …
Michael Chin, Pavol Povala
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Macro trends and long-horizon returns
Withdrawals from the GPFG and potential trade-offs
We outline a simulation model of the Norwegian economy and the Government Pension Fund Global. We explore the trade-off between …
Michael Chin, Pavol Povala
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Withdrawals from the GPFG and potential trade-offs
Modelling equity market term structures
We outline a present-value modelling approach for estimating term structures of expected dividend growth and risk premiums in equity …
Michael Chin, Pavol Povala
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Modelling equity market term structures
The asset pricing effects of ESG investing
We discuss the asset pricing implications of the increasing consideration of Environmental, Social and Governance (ESG) issues in …
Michael Chin, Anna Kylkilahti, Pavol Povala
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The asset pricing effects of ESG investing
Portfolio delegation and the effects of benchmarks
We review the literature on portfolio delegation and examine the impact of benchmarked compensation on manager incentives, portfolio …
Michael Chin
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Portfolio delegation and the effects of benchmarks
Country and industry effects in global equity returns
We examine the importance of country and industry effects in global equity returns, and explore the implications for portfolio …
Michael Chin
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Country and industry effects in global equity returns
No-trade band rebalancing rules - expected returns and transaction costs
We explore equity share rebalancing using no-trade band rules. We compare rules based on their implications for the behaviour of the …
Michael Chin, Pavol Povala
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No-trade band rebalancing rules - expected returns and transaction costs
Petroleum wealth and the oil price exposure of equity sectors
We analyse the short- and long-term co-movement of equity sectors with oil prices. We discuss how Norwegian petroleum wealth is exposed …
Michael Chin, Haakon Buer
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Petroleum wealth and the oil price exposure of equity sectors
International diversification for long-term investors
We explore the benefits of international diversification from the perspective of a long-term, multi-asset investor.
Michael Chin
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International diversification for long-term investors
Asset allocation with government revenues and spending commitments
We explore the implications of expanding the discussion about the equity share in the Norwegian Government Pension Fund Global to …
Michael Chin
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Asset allocation with government revenues and spending commitments