Blar i Master Thesis på forfatter "Santos, Francisco"
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Investor sophistication : empirical analysis of capital allocation decisions of Norwegian mutual fund investors
Tykhonova, Diana; Akulenka, Stanislau (Master thesis, 2020)Whether mutual fund investors act rationally when making capital allocation decision has for long time been one of the key topics in the mutual fund literature. This paper is one of the first attempts to assess investor ... -
Is there a flight to quality? : a study on flight to quality within the equity markets
Ferrante-Bannera, Adrian; Sandøy, Maren (Master thesis, 2021)Much of the research on flight to quality use different definitions of "flight" and "quality", making the findings difficult to compare. The coherent story behind this phenomenon is that investors become risk-averse ... -
Is there value in complicating volatility management?
Korbosli, Elias Tjomsland; Østbø, Anders Mork (Master thesis, 2019)Volatility managed portfolios take less risk when volatility is high, and more risk when volatility is low. Moreira and Muir (2017) employ a simple methodology which scales factor exposure by the inverse of realized variance. ... -
Keep it in the Family? A general analysis examining differences in corporate policies and performance between listed family firms and non-family firms in Scandinavia
Nygaard, Ingrid Johanne Bjørlo; Færevaag, Maria Benedicte (Master thesis, 2022)This paper investigates if there are differences in corporate policies and performance between listed family firms and non-family firms in Scandinavia. By utilising accounting- and market data from 1990 to 2020, we examine ... -
Local investor attention and stock returns
Kumar, Lavesh (Master thesis, 2017)In this thesis, we analyze the effect of local investor attention on stock returns. The study is carried out on a sample of 653 S&P 500 stocks in the period 2004-2016. Specifically, the paper constructs a variable that ... -
Long-term diversification benefits across global industries : an empirical analysis of international return correlations
Johansson, Petter; Svarstad, Carl Henrik (Master thesis, 2019)This thesis contributes to the field of global capital allocations by examining the benefits of portfolio diversification across global equites, government bonds and industries for longhorizon investors over time. We use ... -
Managing momentum crashes in real time : US stock market
Kusi, Enoch; Avevor, Eric Elikplim (Master thesis, 2018)Though, profitable, momentum is punctuated with crashes which make the strategy risky and unfavourable for an investor who dislikes long tails. Volatility management is one approach that has been introduced to deal with ... -
Managing volatility: an empirical analysis of the time-series relation between risk and return Norwegian evidence
Johansen, Thomas André; Eckhoff, Lars Kristian (Master thesis, 2016)In this paper, we examine the time-series relation between risk and return. We replicate the methodology of Moreira and Muir (2016a) and construct volatility managed portfolios that decrease the risk exposure when ... -
The Nature of Asset Pricing Anomalies : Characteristics versus Covariances of Factor Exposures
Lapitskaya, Alexandra (Master thesis, 2021)In this thesis, I test whether the return premia associated with firm characteristics such as value, size, operating profitability, investment, momentum, and equity status are driven by firm characteristics or exposure to ... -
On asset pricing models and mutual fund performance : an empirical analysis of US mutual funds
Kildahl, Tobias; Lunde, Mari Tuhus (Master thesis, 2018)Asset pricing models introduce the challenge of testing a joint hypothesis. This thesis tests the hypothesis of model misspecification and true alpha separately, using the testing methodology of Gibbons, Ross and Shanken ... -
Private real estate investing : expectations vs. reality : an empirical analysis on the characteristics of private real estate in oslo between 2005-2018
Molander, Isabelle Carolina; Støle, Tiril Flørnes (Master thesis, 2019)In this thesis, we analyze the characteristics of private real estate (PRE) as an asset. The analysis is done in several increments, starting from the one-year holding period index risk and return of PRE. Each subsequent ... -
Responsible investments : exploration of investor motives and ESG stock market performance
Olesk, Laura; Pedersen, Anders (Master thesis, 2019)This master thesis contributes to existing research on responsible investments in two ways. Not only do we study the performance of responsible investments, but also responsible investment behaviour. Therefore, our first ... -
Revealing the Black Box of Pension Fund Behavior : An Empirical Analysis of Norwegian Pension Funds in a Reach-for-Yield Environment
Hansen, Stefan Nesse; Hetle, Andreas (Master thesis, 2023)After the financial crisis in 2008, low-interest rates, increased life expectancy, and falling birth rates have put pension funds under pressure. In response, pension funds have increased their allocation towards risky ... -
Riding the Low-Beta Wave : What drives the performance of Betting Against Beta?
Kifle, Ella; Gran, Sophie (Master thesis, 2022)This thesis seeks to explain the driving factors behind the Betting Against Beta (Frazzini and Pedersen, 2014) portfolio. We start by replicating the BAB factor, and then construct different portfolios in order to examine ... -
Risk arbitrage in the Nordics
Jensen, Joachim (Master thesis, 2018)This paper examines the existence of risk arbitrage in the Nordic market. The study includes 182 public cash offers from 2007 to 2016, and three differently weighted risk arbitrage portfolios consisting of Norwegian, ... -
A Seat at the Table : The Norwegian Board Gender Quota: A Study on Indirect Effects
Buran, Margrete; Kjekstad, Nanna Olava Omsland (Master thesis, 2022)Twenty years ago, Norway led the way with the first board gender quota on ASA1 and is now considering extending the legislation to AS. This paper examines if the existing board gender quota has fulfilled one of its main ... -
Sector betting in the gross profitability anomaly : a performance analysis and sector betting effects in the U.S equity market
Ågheim, Simon Linder; Sivertsen, Martin (Master thesis, 2017)This thesis presents an analysis of quality investing; more specifically how gross profitability scaled by book assets can generate abnormal returns in the U.S market, as previously illustrated by Novy-Marx (2012). Our ... -
Skewness, idiosyncratic volatility and probability weighting – how can wealth managers help clients?
Hagestande, Anders; Wittussen, Benedicte Støle (Master thesis, 2016-09-05)Probability weighting, the overweighting of small probabilities and underweighting of large probabilities in a nonlinear way, describes well how most individuals form decisions under risk. Probability weighting has ... -
SPACs: Kinder Surprise Eggs with a Bad After-taste : An Empirical Analysis of the Determinants of SPAC Mergers and DeSPAC Returns in the U.S.
Ragnvaldsen, Aleksander; Ragnvaldsen, Kristian (Master thesis, 2021)Special purpose acquisition companies (SPACs) have received strong attention and taken a significant market share compared to traditional IPOs in the last couple of years. This thesis analyses the determinants of why ... -
Stock market reaction to green bond announcements : an empirical study on firms listed on European stock exchanges
Pedersen, Anders; Thun, Jonathan Emil (Master thesis, 2019)This thesis contributes to the recent academic literature on green bonds, by providing evidence of positive abnormal returns following green bond announcements in the European stock market from November 2013 to October ...