dc.contributor.author | Danielsen, Lars Ulrik Skyvulstad | |
dc.contributor.author | Sandvik, Edvard Bjerkengen | |
dc.date.accessioned | 2019-10-11T09:01:42Z | |
dc.date.available | 2019-10-11T09:01:42Z | |
dc.date.issued | 2019 | |
dc.identifier.uri | http://hdl.handle.net/11250/2621528 | |
dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019 | nb_NO |
dc.description.abstract | In this thesis we study the index effect at the Oslo Stock Exchange Benchmark
Index (OSEBX) surrounding the reconstitution of the index that takes place two
times a year. This done by calculating expected returns and abnormal returns for
each constituent in the period 2002-2018. We also investigate abnormal trading
volumes surrounding the reconstitution. We find that there is an index effect
surrounding the dates securities are included to and excluded from OSEBX.
We also draw practical implications from our results by using the constituents at
each revision to construct trading strategies that beat the market portfolio in most
of the reconstitutions. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Handelshøyskolen BI | nb_NO |
dc.subject | finans | nb_NO |
dc.subject | finance | nb_NO |
dc.title | The Index Effect at the Oslo Stock Exchange Benchmark Index | nb_NO |
dc.type | Master thesis | nb_NO |