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dc.contributor.authorIngebrigtsen, Tobias
dc.contributor.authorAndersen, Kristian
dc.date.accessioned2019-11-04T09:26:29Z
dc.date.available2019-11-04T09:26:29Z
dc.date.issued2019
dc.identifier.urihttp://hdl.handle.net/11250/2626306
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019nb_NO
dc.description.abstractThis thesis proposes a novel approach to portfolio sorting based on the following: (i) the time-varying structure of company lings, and (ii) its exposure towards a common text source. We construct a similarity measure which allows us to identify under- and over- performing stocks in a way such that we can construct portfolios with an increasing rate of return. We discover that a long-short strategy based on these portfolios will yield a signi cantly higher risk-adjusted return than the benchmark index of 10.05% annually, and is not accounted for by the risk-factors in the conventional ve-factor model proposed by Fama and French (2015).nb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.titleThe Text Premium and Stock Returnsnb_NO
dc.typeMaster thesisnb_NO


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