Blar i Master Thesis på forfatter "Santos, Francisco"
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A new pricing model for the real estate market in Rogaland based on the pricing model by Jacobsen and Naug
Bokn, Stian; Westad, Nora Thysse (Master thesis, 2017)This Master’s thesis in Financial Economics marks the end of our education at the Norwegian School of Economics. It has been an instructive, challenging and exciting process. We would like to thank our supervisor, Associate ... -
Analysis of contrarian strategies on risk dimension
Soud, Asma Salim; Konnestad, Tor Salve Halvorsen (Master thesis, 2018)The concept of value strategies outperforming glamour strategies have been dominating in finance literature, but the reason is still contentious. In this thesis, we are replicating the LSV paper and in addition to that, ... -
The beautiful game and abnormal returns: the impact of match outcomes and ex-ante expectations on a football club’s stock price : an event study
Frijns, Peter (Master thesis, 2020)The aim of this study is to examine the stock price reaction of listed football clubs to different types of match outcomes and the ex-ante expectations about the outcomes. Analysing 8472 matches of 22 European football ... -
Default in the Nordic high-yield bond market : a study on original issue high-yield bonds
O’Rawe, Alastair; Khan, Jamal F. (Master thesis, 2016)In this thesis, we analyze the determining factors of default in the Nordic high-yield bond market. The study is carried out on 627 original issue bonds in the period 2006 to 2014. Binary logit models are used to identify ... -
Diversity and IPOs : An empirical analysis of OSE listed firms from 2006-2019
Marianayagam, Kathleen L.; Stautland, Ingvild V. S. (Master thesis, 2021)The aim of this master’s thesis is to investigate whether top management diversity is associated with short-term firm performance in relation to initial public offerings (IPOs). We use a panel data sample consisting of 113 ... -
Don’t put all your eggs in one basket – spread them around! Diversification using alternative assets and the benefits of hand- picking parameters for portfolio models
Huang, Yilin; Sjøhaug, Stine (Master thesis, 2022)After the global financial crisis, alternative assets have become increasingly popular as an investment option due to their potential to generate higher returns and abilities to diversify portfolios. This thesis studies ... -
The Effect of Cross-border M&A on Shareholder Wealth : a European event study
Opsahl, Jakob; Skarsbø, Stian Dokken (Master thesis, 2022)This thesis aims to examine the effect of cross-border M&A transactions in the EU /EFTA. First, we find no cumulative abnormal return (CAR) differences between domestic and foreign acquirers. However, we discover a ... -
Efficiency in the salmon futures market : an empirical study based on fish pool 2006-2016
Fischer, Ole-Martin; Lai, Henry (Master thesis, 2016)This thesis assesses efficiency in the salmon futures market by testing for cointegration between spot and futures prices, and tests whether futures prices are the best forecast of subsequent spot prices, which is referred ... -
Enhancing momentum with volatility and risk management : an empirical analysis of momentum in US equities
Ramsdal, Magnus; Myklebust, Christian (Master thesis, 2018)In this thesis, we examine two approaches to enhance the performance of a momentum strategy. First, we investigate if stocks with similar cumulative returns but different daily standard deviation during the formation period ... -
ESG Investments : exploring the impact of sustainability on financial performance
Johannessen, Thea Aasheim; Tveiterås, Åsne Lovise (Master thesis, 2019)In this thesis, we investigate the relationship between sustainability, measured by ESG score, and financial performance. The time period of the study is 2008-2018. We perform three different analyses. The first is a ... -
The ESG puzzle : a meta-analysis exploring the academic dissensus on the link between ESG and financial performance
Markussen, Julie Marie Hushovd; Blom, Thea Fossland (Master thesis, 2020)In this thesis, we aim to untangle the lack of consensus among previous studies on the subject of ESG investing. We replicate four articles that focus on the Global, U.S. and European markets, at different time periods, ... -
ESG: All Bark and No Bite? Exploring the utility of environmental, social and governance variables in empirical asset pricing via machine learning
Silgjerd, Ola (Master thesis, 2021)In this thesis I investigate the impact of including environmental, social and governance (ESG) variables in explaining the cross section of expected stock returns. Using three machine learning frameworks applied to a ... -
Financial impact of a political crisis : the case of Catalonia (Spain)
Arctander, Finn Christian (Master thesis, 2018)The aim of this master thesis is to investigate how the increased uncertainty in the conflict in Catalonia from 2010 to 2018 has impacted the financial markets in Spain. In doing so, the event study methodology is applied ... -
Fundamental volatility and stock returns : does fundamental volatility explain stock returns?
Selboe, Guner K.; Virdee, Jaspal Singh (Master thesis, 2017)In this thesis, we investigate whether the fundamental uncertainty can explain the crosssection of stock returns. To measure the fundamental uncertainty, we estimate rolling standard deviations and accounting betas of ... -
Green Stocks and How to Find Them: Identifying environmentally sustainable IPO firms using textual analysis and assessing their profitability
Bjørneklett, Martin Rognan; Mangal, Asad (Master thesis, 2022)Sustainable investing has seen exponential growth among investors in recent years. To this end, ESG ratings are the tool used by investors to gauge environmental sustainability in firms. Recently listed firms lack ESG ... -
Illegal insider trading on Oslo stock exchange : an empirical investigation
Nygaard, Christian; Helgheim, Anders Hestenes (Master thesis, 2020)This thesis investigate whether substantial illegal insider trading occurs prior to mergers & acquisitions (M&A) and seasoned equity offerings (SEO) on Oslo Stock Exchange. By examining stock price dynamics prior to the ... -
Illiquidity in asset pricing and as investment strategy : an empirical analysis
Haumer, Irene; Mao, Rubing (Master thesis, 2020)This Master’s thesis examines the illiquidity premium. In the first part of the thesis, we analyse whether a traded illiquid-minus-liquid (IML) return factor helps in explaining the cross-section of expected returns. In ... -
Industrial time series momentum strategies : performance of industrial time series momentum strategies
Nguyen, Huy Quang (Master thesis, 2019)This thesis documents significant profits for the Industrial Time Series Momentum strategies, using data from 17 industry portfolios in the US stock market, during time period from January 1985 to December 2018. Given 1 ... -
Initial Public offerings in Scandinavia : an empirical assessment of underpricing and aftermarket performance in the scandinavian market : are scandinavian initial public offerings good investments?
Grepp, Thea; Sørensen, Amalie Herrlin (Master thesis, 2017)This thesis contributes to the existing academic literature on the initial public offering anomalies by providing findings on underpricing and aftermarket performance in the Scandinavian market between 2007 and 2016. ... -
Investigating quality minus junk : the role of shorting, market beta, firm size and value in the quality minus junk anomaly
Masood, Rabia (Master thesis, 2018)The quality factor of Asness, Frazzini and Pedersen (2013) combines several quality dimensions, identified in previous literature, into one strategy which presents an asset pricing puzzle of quality being positively ...