|Scheen, Fredrik Oland
|Flotten, Ole Andreas
|Masteroppgave(MSc) in Master of Science in Finance/(Financial Economics) - Handelshøyskolen BI,2021
|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
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
|Evaluating Modern Asset Pricing Models in the Norwegian Stock Market