Evaluating Modern Asset Pricing Models in the Norwegian Stock Market
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- Master of Science 
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.
Masteroppgave(MSc) in Master of Science in Finance/(Financial Economics) - Handelshøyskolen BI,2021