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dc.contributor.advisorLangerfeld, Christian
dc.contributor.authorBirgirsson, Torstein Øye
dc.contributor.authorDahling, Sander Eide
dc.date.accessioned2024-05-15T11:40:46Z
dc.date.available2024-05-15T11:40:46Z
dc.date.issued2023
dc.identifier.urihttps://hdl.handle.net/11250/3130559
dc.description.abstractThis thesis employs XGBoost and linear regression to reveal whether short-term stock price trends can explain the variance in textual sentiment in Norwegian equity research reports covering the Oslo Stock Exchange, investigating whether trend-chasing bias is present in equity research. The thesis is based on 2,350 equity research reports from the past 5 years covering the 25 largest companies by market capitalization listed on the Oslo Stock Exchange, published by Carnegie, DNB Markets, and Pareto Securities. We present empirical evidence demonstrating an enhancement in the predictive efficacy of our model with the integration of short-term stock price trend indicators. Specifically, the incorporation of these indicators resulted in a 2.2% increase in the linear regression model’s explanatory power compared to our reference model. The full model can account for 44.7% of the variance in textual sentiment. Further, the XGBoost model improves predictive accuracy over the linear model and returns the lagged sentiment, investment bank, financial leverage, and RSI to be the most important variables explaining sentiment, chronologically ordered by variable importance. The 3-month simple return and MACD prove to be similar in variable importance with traditional valuation metrics such as the P/E ratio and firm size. Thus, we find that stock price trend indicators improve the models capacity to explain the sentiment of an equity research report. However, our findings cannot state that the given dependency is due to trend-chasing bias in Norwegian equity research. The textual sentiment is determined by numerous unobservable variables, making it likely that our model suffers from omitted variable bias, thus causing endogeneity issues. Further, we cannot determine if a change in textual sentiment is attributable to a measurable change in the perception of a company, or the fact that the reports summarize and relay market information.en_US
dc.language.isoengen_US
dc.subjectbusiness analyticsen_US
dc.subjectfinancial economicsen_US
dc.titleBehavioral Impact of Short-Term Stock Price Trends on Equity Research : A Textual Analysis of Trend-Chasing Bias in Norwegian Equity Research Reports Covering the Oslo Stock Exchangeen_US
dc.typeMaster thesisen_US
dc.description.localcodenhhmasen_US


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