Vis enkel innførsel

dc.contributor.authorKristiansen, Marcus Skarnes
dc.contributor.authorMahmood, Rabia
dc.date.accessioned2019-01-10T07:33:54Z
dc.date.available2019-01-10T07:33:54Z
dc.date.issued2018
dc.identifier.urihttp://hdl.handle.net/11250/2580080
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018nb_NO
dc.description.abstractThis 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.nb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.titleRisk Factors in the Norwegian Stock Marketnb_NO
dc.typeMaster thesisnb_NO


Tilhørende fil(er)

Thumbnail
Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel