Show simple item record

dc.contributor.authorNorthug, Carl Oscar
dc.contributor.authorHolgeid, Kjetil Andreas
dc.date.accessioned2021-10-27T15:09:13Z
dc.date.available2021-10-27T15:09:13Z
dc.date.issued2021
dc.identifier.urihttps://hdl.handle.net/11250/2826076
dc.descriptionMasteroppgave(MSc) in Master of Science i forretningsjus og økonomi - Handelshøyskolen BI, 2021en_US
dc.description.abstractThe COVID-19 pandemic imposed high uncertainty to stock markets and prompted an unprecedented market reaction. This thesis investigates the suitability of asset pricing theory for explaining asset prices on U.S. stock markets during the COVID-19 pandemic. We focus on the renowned asset pricing models of Fama and French in addition to the Capital Asset Pricing Model. The asset pricing models are primarily tested on industry portfolios comparing a control period (1st January 2015 – 19th January 2020) and a COVID-19 pandemic period (19th January 2020 – 30th April 2021). We use the Generalized Method of Moments approach in our regressions. Our results provide evidence that the tested asset pricing models perform well during the pandemic, in fact, even better than in the relatively stable control period.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectforretningsjusen_US
dc.subjectøkonomien_US
dc.subjectsamfunnsøkonomien_US
dc.titleCan Asset Pricing Theory Explain the U.S. Stock Market Returns During the COVID-19 Pandemic?en_US
dc.typeMaster thesisen_US


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record