• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

The Exclusionary Effect on The Stock Performance

Stenberg, Julie Høiestad; Andersen, Julie Bergh
Master thesis
Thumbnail
View/Open
Master Thesis (21).pdf (1.475Mb)
URI
https://hdl.handle.net/11250/3039338
Date
2022
Metadata
Show full item record
Collections
  • Master of Science [1823]
Abstract
This study examines the direct effect on stock performance following exclusion announcements made by the Norwegian Government Pension Fund Global within a short- and long-term horizon. Through an event study, we provide evidence that market participants perceive the exclusion from the pension fund negatively, as the cumulative abnormal returns (CAR) are significantly less than zero. To further elaborate on our results, we include mean-differences tests between three subsample splits: developed- and emerging markets, product- and conduct-based exclusion criteria, and small and large firms’ market capitalisation. Our findings show that all mean-differences tests give significant results, suggesting that extraneous variables have individual effects on CAAR. Additionally, we have separately estimated the change in systematic- and unsystematic risk to examine the exclusion effects in the long term. Our findings show no significant increase or decrease in risk after an exclusion. Since we use change in risk as an estimator for change in rate of return, we conclude that exclusion has no detrimental impact on stock performance in the long run.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022
Publisher
Handelshøyskolen BI

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit