Vis enkel innførsel

dc.contributor.advisorJohnsen, Thore
dc.contributor.authorFørde, Oskar Petter
dc.contributor.authorSundby, Henrik Borge
dc.date.accessioned2021-04-19T08:07:26Z
dc.date.available2021-04-19T08:07:26Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2738259
dc.description.abstractIn this thesis, we examine the relationship between passive ownership in the Norwegian stock market and the liquidity and price efficiency of the underlying stocks. We suggest that a shift from active to passive investing should be associated with a decrease in the liquidity of individual stocks, as more shares are held in long-term deposits and more trading is executed on a non-fundamental basis. The same shift, in addition to a reduction in liquidity and an increase in the trading of stocks in large baskets, should all lead to a decrease in the price efficiency of the underlying stocks. In our analysis, we utilise a panel of 214 publicly listed Norwegian stocks in the period from 2000 to 2020, with monthly ownership and daily financial market data on the stock-level. We find a negative relationship between changes in the passive ownership of a stock and contemporaneous changes in its liquidity. The effect is smaller for larger stocks, which could explain why we find a larger effect than the existing literature using our sample of relatively illiquid Norwegian stocks. Further, we document a negative relationship between changes in passive ownership and changes in price efficiency, as measured by return synchronicity. We find that the effect is smaller for larger firms. Taking into account our sample of relatively small firms, the effect is still small relative to the existing literature. This could be explained by the frequent trading of stocks in baskets by ETFs, which is less prevalent in the Norwegian market. Keywords – Passive Investing, Liquidity, Price Efficiency, Asset Managementen_US
dc.language.isoengen_US
dc.subjectfinancial economicsen_US
dc.titleThe hidden costs of passive investing : an empirical study on the impact of passive investing on the liquidity and price efficiency of Norwegian stocksen_US
dc.typeMaster thesisen_US
dc.description.localcodenhhmasen_US


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel