Blar i NHH Brage på forfatter "Seljeseth, Camilla Røed"
-
The risk-return relationship on macroeconomic announcement days : an empirical study of the Norwegian stock market
Kopperud, Espen; Seljeseth, Camilla Røed (Master thesis, 2016)On days when macroeconomic news in Norway is scheduled to be announced, we find a significant and linear relationship between the market beta and average daily excess return. Using Fama-Macbeth regressions, we estimate ...