• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

Active vs Passive Portfolio Management in Norway - a study Management in Norway - a study

Wara, Gøran Johansen; Danielsen, Per Johan
Master thesis
Thumbnail
Åpne
2040355.pdf (2.452Mb)
Preliminary Report, Complete - 15.01.pdf (1.234Mb)
Permanent lenke
http://hdl.handle.net/11250/2577565
Utgivelsesdato
2018
Metadata
Vis full innførsel
Samlinger
  • Master of Science [1116]
Sammendrag
This paper investigates whether money managers in Norway outperform their

respective benchmarks and create value for their investors. To get a better

understanding of this, an aggregated portfolio of Norwegian mutual funds is

examined for persistence in their returns using the Fama-French five-factor model.

Further is the Henriksson-Merton market timing factor added to the model to

observe if the mutual funds are able to predict good and bad market conditions.

When accounting for the five-factor model, the abnormal return drops from 0.47%

to 0.14 % p.a. compared to a simple model only controlling for the market factor,

not considering fees. The results are rarely significant and do not show any

conclusive evidence of positive persistent returns among the top performing funds,

nor negative persistent returns among the worst performing funds. In general, the

sample exhibit negative but insignificant market timing ability.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Utgiver
Handelshøyskolen BI

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit