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Evaluating Modern Asset Pricing Models in the Norwegian Stock Market

Scheen, Fredrik Oland; Flotten, Ole Andreas
Master thesis
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2939516.pdf (2.413Mb)
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https://hdl.handle.net/11250/2826426
Utgivelsesdato
2021
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Samlinger
  • Master of Science [1116]
Sammendrag
This master thesis evaluates three different asset pricing models in the

Norwegian stock market. We chose to evaluate the CAPM, Fama-

French three factor model and the q-factor model. This is the first time

the q-factor model is tested in the Norwegian market.

We study the effectiveness of the three models accuracy in explaining

cross-sectional returns in the Norwegian market in the last 20 years.

We apply the models to real-world data and evaluate their performance

based on cross-sectional regressions, intercept analysis and explanatory

power.

We find the q-factor model to perform best in terms of explanatory

power and intercept analysis. Hence, a new asset pricing model should

be considered for practitioners when conducting analysis on the Norwegian

stock market.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance/(Financial Economics) - Handelshøyskolen BI,2021
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Handelshøyskolen BI

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