Browsing Student papers by Author "Pelle Sebastian Engh, Bibow"
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Exploring the Role of the Momentum Factor in Asset Pricing Models: An Empirical Analysis of the Oslo Stoel! Exchange (OSE) from July 1989 to June 2020
Pelle Sebastian Engh, Bibow; Barstad, Tobias (Master thesis, 2023)This thesis tests if the Fama and French five-factor model including momentum can explaining stock returns on OSE. The inclusion of momentum factor enhances model performance, with an increased adjusted R2 from 0.65 to ...