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The January Effect on Oslo Stock Exchange

Brynjulfsen, Halfdan
Master thesis
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URI
http://hdl.handle.net/11250/2625404
Date
2019
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  • Master of Science [1117]
Abstract
In this master thesis I study the phenomenon that is the January effect

on Oslo Stock Exchange in the period 1980-2018. I do this by utilising OLS

regression on both an equally weighted index and a value weighted index, estimating

the return for each month. The results obtained in this paper provide

evidence that the anomaly is present for the whole period. The effect is however

not persistent over time, indicating that Oslo Stock Exchange has become

more efficient over the years. The results also indicate that the size of the firm

is relevant to how notable the effect is, supporting the well-established small

firm effect.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
Publisher
Handelshøyskolen BI

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