Risk Factors in the Norwegian Stock Market
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2580080Utgivelsesdato
2018Metadata
Vis full innførselSamlinger
- Master of Science [1822]
Sammendrag
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.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018