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Anomalies and the five-factor model in the Norwegian Stock Market

Grimeland, Simen Josef
Master thesis
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URI
http://hdl.handle.net/11250/2571890
Date
2018
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  • Institutt for industriell økonomi og teknologiledelse [1935]
Abstract
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 patterns related to firm size, liquidity and momentum in the period 1997 to 2017. The presented results further indicate that all investigated anomalies are relevant to some degree in the Norwegian stock market.

The second goal of this thesis is to evaluate how suitable a locally adapted Fama & French five-factor model is for describing Norwegian daily stock returns. The model's performance is scrutinized by comparing test statistics with several other possible risk factor combinations. The risk factors included are related to the momentum, liquidity and beta-anomaly, and the statistics for evaluation are retrieved by applying the GRS-test, the Wald-test and risk premium estimation by Generalized Method of Moments. The results indicate that the value and investment -factor are less important for describing variations in Norwegian stock returns and that other risk factor combinations seem more suitable than the proposed five-factor model. Especially a four-factor model including the market, size, liquidity and momentum -factor performs reasonably well in all applied tests, indicating a better fit in a Norwegian setting.
Publisher
NTNU

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