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Risk Factors in the Norwegian Stock Market

Kristiansen, Marcus Skarnes; Mahmood, Rabia
Master thesis
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Preliminary Thesis Report.pdf (1.537Mb)
URI
http://hdl.handle.net/11250/2580080
Date
2018
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  • Master of Science [1116]
Abstract
This study investigates which risk factors are priced in the Norwegian stock

market and which asset pricing model is superior among the CAPM, the Fama-

French three-factor and five-factor model and a macroeconomic model. We

estimate the models using the Fama-MacBeth methodology, and further compare

the models based on their intercepts, R-squared statistics and stability in results.

Our findings suggest that the factor portfolios SMB and RMW, in addition to the

aggregate consumption, market and term structure variables are priced in the stock

market. Moreover, we find that the Fama-French three-factor model is superior in

explaining the cross-section of expected returns, based on the comparison of the

models. Thus, the variables and factor portfolios are likely to proxy for systematic

risk that is rewarded in the stock market.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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