Browsing NHH Brage by Author "Haug, Jørgen"
Now showing items 1-20 of 45
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Anchor and Adjust : An inquiry into the 52 Week High and Momentum Investing on the Oslo Stock Exchange in the period 1990 2019
Holst, Erik; Sletten, Kristian Vadla (Master thesis, 2021)The phenomenon that stocks with relatively high (low) returns in recent months continue to exhibit relatively high (low) returns in the following months – commonly referred to as momentum - is one of the greatest puzzles ... -
The assessment of socially responsible investment : green bonds case
Gupta, Pulkit (Master thesis, 2020)Based on the theoretical analysis of investment in green bonds to identify and assess differences in the pricing between Green bonds and conventional bonds. Part 1 of the research paper, the theoretical framework of green ... -
Bigger isn’t always better : A twenty-one-year study of the size effect on the Oslo Stock Exchange
Skaug, Oskar Flagtvedt; Sandvik, Eirik (Master thesis, 2023)Our analysis reveals an average monthly size effect of 1.29 percent on the Oslo Stock Exchange from 2000 to 2020, a significance that persists after adjusting for various systematic risk factors. Despite substantial ... -
Bruk av historisk regnskapsinformasjon til å separere vinnere fra tapere : en empirisk analyse av regnskapsbaserte investeringsstrategier
Andersen, Aleksander Forgaard; Cimen, Johan Kemal Lundetræ (Master thesis, 2016-09-02)I denne masterutredningen undersøkes det om enkle, regnskapsbaserte investeringsstrategier klarer å separere vinnere fra tapere på det britiske markedet. Ved å konstruere porteføljer basert på regnskapsbaserte ... -
Conditional Mutual Fund Performance in Periods Affected by Market Fear : An Empirical Analysis on Degrees of Active Management and Performance
Lambertsen, Gabriel Boukaddour; Isachsen, Torjus (Master thesis, 2021)The engagement around investing in mutual funds is increasing and attracts several personal investors. With previous technological and financial development, there is a wide specter of investment opportunities. Active ... -
Derivative Usage and Firm Value : Evidence for Norwegian Non-financial Firms
He, Jun; Ingebrigtsen, Philip (Master thesis, 2023)Using derivative usage data from 185 firms listed on the Oslo Exchange during the 2007 to 2021 time period, we find a positive correlation between derivative usage and firm value. However, the significance varies across ... -
Determinants of Corporate Cash Holdings : An empirical analysis on the relationship between the key policy rate, firm characteristics & Swedish corporate cash holdings, 1994-2019
Heggebø, Johannes Jansen; Sortland, Sondre Nordby (Master thesis, 2021)This thesis investigates the determinants of Swedish corporate cash holdings. We document a positive correlation between Swedish corporate cash holdings and the key policy rate for the period 1994-2019, in contrast to ... -
Do Shipping Freight Rates Predict Stock Market Returns? An Empirical Study of the Relationship between Shipping Freight Rates and Broad Stock Market Returns
Erlandsen, Ulrik August; Gjertsen, Fredrik (Master thesis, 2023)Given the availability and real-time inference of shipping freight rates, they are often regarded as a gauge for the economy. Stock market commentators and participants often stress the importance of falling freight rates ... -
Do Smart Beta ETFs Outperform the World Market? An empirical analysis on the returns of smart beta ETFs in the European and US markets
Føreland, Frida; Krentz, Pia Solheim (Master thesis, 2022)This thesis investigates if smart beta ETFs in the US and/or Europe deliver excess return relative to the world market and how performance compares between the two markets. We focus on nine smart beta categories in our ... -
Does climate transition investments pay off? An empirical analysis of active Nordic funds and performance effects of exposure to carbon transition risk
Eikrem, Sivert; Lorentsen, Mathias (Master thesis, 2022)Sustainable finance and investment strategies have received increasing attention the previous years. In this thesis, we investigate the performance effects of carbon transition risk exposure in Nordic mutual funds. The ... -
The Effect of Company Quality in Explaining IPO Returns: An Empirical Study on Oslo Stock Exchange from 1998 to 2018
Oleshchuk, Alexander; Holman, Syver August Skjefta (Master thesis, 2022)The purpose of this thesis is to investigate the effect company quality has in explaining IPO returns. To conduct this analysis, we use a data set that consists of annual accounting data and monthly stock price data from ... -
En empirisk test av standardmodellen og en rekursiv prisingsmodell, ved bruk av «Generalized Method of Moments»
Myhre, Amund; Myhre, Øyvind Alrek (Master thesis, 2018)Formålet med oppgaven er å teste og å sammenligne to konsumbaserte prisingsmodeller for finansielle aktiva. De to modellene som testes er «standardmodellen», som er basert på «tidsseparable von Neuman-Morgenstern-preferanser», ... -
Equity return predictability in Northern European stock exchange markets
Kozlova, Olga; Shuvatova, Valeria (Master thesis, 2017)This thesis presents an analysis of equity return predictability in the stock markets of Norway, Sweden, Denmark and Finland. In consumption-based asset pricing theory, the investment decisions of an average investor are ... -
ESG Score Changes and Stock Price Reactions : an event study of stock market reactions to changes in Thomson Reuters’ ESG Score in the Nordic region
Benske, Nils Henrik; Kristiansen, Ole Morten (Master thesis, 2020)This thesis investigates whether ESG Score announcements by Thomson Reuters present new information to investors in the Nordic region. The data set consists of 1278 unique events for 309 unique firms publicly noted in ... -
Fear and Forecasting in Scandinavia : Implied Volatility Indices for the Scandinavian Equity Markets
Kydland, Vebjørn; Vagle, Martin (Master thesis, 2023)This thesis investigates the use of the model-based and model-free implied volatility index methodologies in Scandinavia from 2018 to 2023, leading to the creation of a composite index for the region: SCANDI-VIX. It ... -
Forklaringsvariabler for endringer i kredittmarginer : En studie av selskapsobligasjoner i det norske markedet
Hammer, Ida Maria; Jenssen, Kristiane (Master thesis, 2021)I denne avhandlingen undersøker vi hvilke variabler som forklarer kredittmarginer, og hvordan endringer i disse forklaringsvariablene påvirker endringer i kredittmarginer tilhørende selskapsobligasjoner i det norske markedet. ... -
Forsikringsbransjen i Norge : En kvalitativ studie av forsikringsbransjen i Norge
Winnes, Henrik; Hoseth, Herman (Master thesis, 2023)I vår masteroppgave analyserer vi den norske forsikringsbransjen med en kvalitativ tilnærming primært gjennom semistrukturerte intervjuer. Mer presist har vi undersøkt hvordan den norske forsikringsbransjen tilpasser seg ... -
How suitable is the Fama-French ve-factor model for describing German and Norwegian stock returns?
Hoel, Alexander R.; Mix, Fabia (Master thesis, 2016)In this thesis we investigate the suitability of the Fama and French (2015a) ve-factor model for describing German and Norwegian average monthly stock returns in the period from 1991 to 2015. We do this by estimating ... -
Implications of the Solvency II Regulations for Investment Incentives
Berglund, Eirik Håland; Stensletten, Tord Tungeland (Master thesis, 2016-09-02)We analyze optimal investment incentives for a medium sized insurance company complying with the Solvency II regulations. Assuming that market investments are made independent of other operations, we find that the insurance ... -
Investor expectations and the covid-19 stock market crash. What can we learn from index options? : a replicating study of David Bates’ The Crash of ’87 : was it expected? : the evidence from options markets.
Andersen, Caroline Marie; Risvik, Maren (Master thesis, 2020)We investigate the transaction prices of SPX options on the S&P 500 Composite Index over the years 2018 to 2020, to examine whether there can be shown evidence of expectations of a market crash before February 20, 2020. ...