Market anomalies in the Norwegian stock market : an exploration about existence of 4 market anomalies

Abstract

This master thesis is aiming to examine the existence of targeting market anomalies and the ability of Fama-French Three factor models explain those anomalies in Norwegian Stock Market during the recent 14 years. Our study examined 4 anomalies: Earning Surprise, Net Stock Issues, Price Momentum and ROE anomaly. Our data collected from Bloomberg and Børsprosjeketved NHH which cover all the known listed stocks on the Oslo Stock Exchange over the past 14 years. Our results reveal that there is only significantly evidence to show Price Momentum in Norwegian Stock Market. For other three anomalies, there is no evidence to prove their existence in Norway though they are prominent in US market.