Blar i Master Thesis på forfatter "Santos, Francisco"
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The effect of arbitrage activity in beta and momentum strategies on abnormal trading profits
Knyazkina, Liudmila (Master thesis, 2015)The purpose of this thesis is to investigate the effect of arbitrage activity on abnormal trading profits based on the new measures of arbitrage proposed by Lou and Polk (2013) and Huang, Lou and Polk (2014), called Comom ... -
The effect of arbitrage activity in low volatility strategies : an empirical analysis of return comovements
Tjaum, Christian August; Wiedswang, Simen (Master thesis, 2017)The goal of this thesis is to examine the effect arbitrageurs have on prices in the stock market. More specifically, we seek to investigate arbitrage activity in the low volatility anomaly by decomposing it into systematic- ... -
The effect of sector quality in quality minus junk : the quality puzzle deepens
Kahlon, Navpreet; Kvisle, Kaspar (Master thesis, 2018)In this thesis we test whether sector quality effects drive the abnormal returns of the Quality Minus Junk (QMJ) strategy. We find that the strategy makes involuntarily sector bets, as it invests in outperforming sectors ... -
The profitability of value and momentum strategies on the Nordic stock market
Botnen, Marthe; Dyran, Vegard Hansteen (Master thesis, 2017)In this paper, we examine the profitability of value and momentum strategies on the Nordic stock market for the period January 1989 to June 2016. We find evidence of both a value and momentum premium, reflected by positive ... -
The profitability premium : the effect of arbitrage activity on abnormal trading profits
Vu, Trang Quynh; Moldovan, Sanda (Master thesis, 2019)Inspired by the Novy-Marx (2013) paper, the purpose of this thesis is to investigate the profitability premium and the effect of arbitrage activity on its abnormal trading profits over the period from June 1964 to December ... -
The role of beta strategies in other asset pricing anomalies
Bostad, Mats Engedal; Kjellevold, Pål (Master thesis, 2018)This thesis is based on the findings of Liu (2018), and therefore considers long-short, zero cost portfolios based on documented asset pricing anomalies. These include momentum, composite equity issuance, return volatility, ... -
The use of contingent value rights in M&A : an empirical review
Fosheim, Eivind K.; Langerød, Niklas Olufsen (Master thesis, 2017)This paper contributes to the literature on payment methods in Mergers and Acquisitions (M&A). It seeks to establish how the use of Contingent Value Rights (CVRs) in M&A affect the probability of deal completion following ... -
Towards gender parity : female directors' impact on firm policies : a study on the Norwegian boardroom gender quota
Ødven, Torine; Øversjøen, Birgitte Kvalevåg (Master thesis, 2020)After a 20-year period of frequent introductions of board gender diversity quotas in European countries, this paper examines the e ect on rm policies of the rst mover, the Norwegian quota. Looking at several performance ... -
Underpricing and aftermarket performance of IPOs in the UK : an empirical review
Cotgrove, Christie (Master thesis, 2018)This thesis contributes to the literature on Initial Public Offerings (IPOs). It seeks to uncover and explain underpricing and aftermarket performance for companies that go public for the first time in the United Kingdom ... -
Volatility Managed Short Duration Premium
Bressand, Julie Marie Tangerås; Rostrup, Thea Elise Solheim (Master thesis, 2022)This thesis investigates if the short duration premium of the equity duration strategy can be improved by managing its volatility. Based on estimates by Gonçalves (2021), we replicate equity duration sorted portfolios ... -
Will a factor-based Markowitz implementation beat the market?
Bjørnson, Anders Bredenbekk; Gjerde, Fredrik Snarvold (Master thesis, 2017)In this thesis, we look at whether a factor-based implementation of the Markowitz (1952) framework beats the market. Different sets of factors are used in the framework, to see whether this choice affects the results. ...