Blar i Institutt for industriell økonomi og teknologiledelse på forfatter "Belsom, Einar"
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Algorithmic Trading of Bitcoin Utilizing Momentum Effects
Tufte-Johnsen, Stig Markus; Helgheim, Martin Hestenes; Wendel, Ole (Master thesis, 2018)In this thesis we seek to utilize time series momentum to design a profitable trading strategy in the highly trending and volatile Bitcoin market. this study is interesting to both financial academics and traders alike as ... -
An Agent-Based Model of a Metropolitan Housing Market - Linking Micro-Level Behavior to Macro-Level Analysis
Ustvedt, Sarah (Master thesis, 2016)In this thesis, an agent-based model (ABM) of a metropolitan housing market is developed. ABMs are computational models simulating interactions between autonomous agents, and are built bottom-up by defining these agents ... -
An Early Warning System for Financial Market Corrections on the Oslo Stock Exchange
Mikkelsen, Wilhelm Jebsen; Ravndal, Ruben; Tveitstøl, Martin (Master thesis, 2019) -
An Early Warning System for Financial MarketCorrections on the Oslo Stock Exchange
Mikkelsen, Wilhelm Jebsen; Ravndal, Ruben; Tveitstøl, Martin (Master thesis, 2019)We use a four-state multinomial logistic regression model in order to estimate the probability of corrections and crises in the Norwegian stock market. The probabilities are subsequently translated into market exposure ... -
Anomalies and the five-factor model in the Norwegian Stock Market
Grimeland, Simen Josef (Master thesis, 2018)This study investigates stock return regularities related to firm size, value, profitability, investments, momentum, liquidity and estimated betas, in the Norwegian stock market. The research finds significant return ... -
Anti-corruption practices in Norwegian MNCs
Andresen, Myrth Helen; Borgen, Esther Amalie (Master thesis, 2015)This master thesis looks at how Norwegian multinational companies (MNCs) may choose to structure their implementation processes and compliance function to fight corruption. It seeks to bring to the forefront the key factors ... -
Applying Machine Learning to Factor Investing in the Corporate Bond Market
Larsen, Fredrik S.; Sverdrup, William (Master thesis, 2023)Ved å anvende teknikker fra maskinlæring, utforsker vi effektiviteten av faktorinvestering i markedet for selskapsobligasjoner. Vår analyse tar for seg syv sentrale faktorer: Størrelse, Verdi, Kvalitet, Momentum, ESG, Rente ... -
Capitalizing on Momentum Using Machine Learning: Self-Organizing Maps with Hierarchical Clustering on the Oslo Stock Exchange
Axcrona, Amanda; Høgset, Cecilie (Master thesis, 2022)Ved å bruke en tverrsnittsmomentumstrategi basert på maskinlæringsteknikker på aksjer på Oslo Børs i perioden fra 1999 til 2022, finner vi en statistisk og økonomisk signifikant momentumeffekt. Trendindikatorer i form av ... -
Common Traits and Performance of Private Equity Owned Firms: A Nordic Perspective
Breyholtz, Pål Christian; Saga, Eivind (Master thesis, 2011)Article 1: By comparing each of 102 Scandinavian non-listed buyout targets with reference groups consisting of 20 European firms matched on industry and total asset size, we find strong evidence of a relationship between ... -
Convertible Bond Arbitrage with the AFV Model
Gustavsen, Jørgen; Sandnes, Ole-Andreas (Master thesis, 2019)Vi utfører en empirisk analyse av prisingsmodellen for konvertible obligasjoner foresl˚att av Ayache-Forsyth-Vetzal, kalibrert med metoden beskrevet av Andersen & Buffum, med m˚al om ˚a teste modellens anvendelighet i ... -
Convertible Bond Arbitrage with the AFV Model
Gustavsen, Jørgen; Sandnes, Ole-Andreas (Master thesis, 2019)Vi utfører en empirisk analyse av prisingsmodellen for konvertible obligasjoner foreslått av Ayache-Forsyth-Vetzal, kalibrert med metoden beskrevet av Andersen & Buffum, med mål om å teste modellens anvendelighet iconvertible ... -
Credit Rating and Capital Structure for Norwegian Listed Firms
Sundheim, Helene; Hårstad, Ida K Kvisvik (Master thesis, 2012)We examine how credit ratings affect capital structure of Norwegian listed firms. The data sample comprises 216 companies listed on the Oslo Stock Exchange in the period 2004 to 2010. Three concerns for credit rating are ... -
Currency Hedging in Norwegian Listed Companies: Strategies and Effects on Exposure
Martinsen, Gustav; Skaarer, Christoffer Branæs (Master thesis, 2012)We investigate hedging strategies and foreign exchange rate exposure of Norwegian companies in the seafood and offshore support industries. Factor models building on the Capital Asset Pricing Model are used to analyze stock ... -
Deciphering Momentum and Reversal Effects: An Interpretative Approach Using Temporal Fusion Transformers
Høge, Markus Ramstad; Tanem, Egil (Master thesis, 2023)Vi anvender Temporal Fusion Transformer (TFT), en kompleks dyp læringsmodell, til å predikere avkastningen til aksjer på S&P 500-indeksen i perioden fra januar 2000 til desember 2022. Studiens formål er todelt: For det ... -
Decomposing the Return Risk of Actively Managed Norwegian Equity Funds: An assessment of investment style, activeness and market timing abilities
Berg, Henrik Planke; Fahre, Marthe (Master thesis, 2019)Gjennom et omfattende studie av aktivt forvaltede norske aksjefond undersøker vi avkastningsrisiko, hvor aktive fondsforvaltere er relativt til hverandre, samt hvorvidt de timer markedsvolatilitet. Vi dekomponerer ... -
Decomposing the Return Risk of Actively Managed Norwegian Equity Funds: An assessment of investment style, activeness and market timing abilities
Fahre, Marthe; Berg, Henrik Planke (Master thesis, 2019)Gjennom et omfattende studie av aktivt forvaltede norske aksjefond undersøker vi avkastningsrisiko, hvor aktive fondsforvaltere er relativt til hverandre, samt hvorvidt de timer markedsvolatilitet. Vi dekomponerer ... -
Determinants of Stock Price Dynamics Following Seasoned Equity Offerings on the Oslo Stock Exchange: An Empirical Analysis
Smith-Sivertsen, Ingrid Johanne; Sjaastad, Nanna Martine Mjellem (Master thesis, 2012)We provide evidence of a significant underperformance following Seasoned Equity Offerings (SEOs) conducted on the Oslo Stock Exchange (OSE) in the period 2000-2010. In an attempt to explain the low stock returns for SEO ... -
Direct Investments in Private Equity - a Nordic Perspective
Normann, Håvard Hammer; Hanche-Olsen, Joachim; Ziesler, Jacob Cornelius (Master thesis, 2014)Based on an extensive survey among Nordic investors, we find that a majority of those investing in private equity are also pursuing direct investments. 17 in-depth interviews unveil that institutional investors are ... -
Drivers of Euro Area Yield Spreads: Economic Fundamentals or Psychology? - A study of long term government bond yield spreads from 1990 to 2014
Selvik, Hanne Abrahamsen; Tørres, Helene Ege (Master thesis, 2015)We analyze government bond yield spreads in Greece, Ireland, Portugal, Spain, and Italy from 1990 to 2014. Seeking to identify the effects of economic fundamentals and psychology, we split the time period into four regimes ... -
Dynamics of Capital Flows and Performance in the Norwegian Mutual Fund Market
Istre, Anders Stausland; Tjørve, Andreas (Master thesis, 2019)Ved å bruke fire risikoprisingsmodeller, fire mål for kapitalflyt og tre spesifikasjoner for tidsvarierende alfa undersøker vi flere aspekter ved sammenhengen mellom kapitalflyt og risikojustert avkastning for norske ...