Evaluating the Predictive Power of Leading Indicators Used by Analysts to Predict the Stock Return for Norwegian Listed Companies
Master thesis
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https://hdl.handle.net/11250/2686539Utgivelsesdato
2020Metadata
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- Master of Science [1622]
Sammendrag
This paper studies the predictive power of leading indicators used by interviewed
analysts to predict the monthly excess stock returns for some of the most
influential Norwegian companies listed on the Oslo Stock Exchange. The thesis
primarily seeks to evaluate whether a multiple factor forecast model or a forecast
combination model incorporating additional explanatory variables have the ability
to outperform a five common factor (FCF) benchmark forecast model containing
common factors for the Norwegian stock market. The in-sample and out-ofsample
forecasting results indicate that a multiple factor forecast model fails to
outperform the FCF benchmark model. Interestingly, a forecast combination
model with additional explanatory variables for the Norwegian market is expected
to outperform the FCF benchmark forecast model.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Accounting and Business Control - Handelshøyskolen BI, 2020