| dc.description.abstract | 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 a negative market risk premium of -1.02% per
month (-11.68% annualized). During our sample period from 2001-2015, the realized market
risk premium is negative, amounting to -0.20% per month (-2.46% annualized). As a
consequence, stocks with higher sensitivity to the market, measured by beta, will earn
negative excess return. Hence, our estimate of the implied risk premium turns negative. Using
ten beta-sorted portfolios and individual stocks as test assets, we provide empirical evidence
of market beta as an important determinant of average excess return in the Norwegian stock
market. This risk-return relationship holds on announcement days, while there is no
significant relationship on all other trading days. In addition, we test this relationship on
different types of announcement days separately, and find no significance. This indicates that
it is the aggregated effect of all announcements that cause the significant relationship
between market beta and average excess return. Further, we find that our test assets are more
affected by Norwegian announcements than announcements from the US, as market beta does
not relate significantly to average excess return on US announcement days. | nb_NO |
