| dc.description.abstract | I denne masteroppgaven blir det gjort en empirisk analyse av hvordan forskjellige prisingsmodeller beskriver det norske aksjemarkedet i perioden fra 1990 til 2018. Oppgaven er inspirert av Novy-Marx (2013) og fokuserer på bedrifters lønnsomhet, som er målt ved en gross profit ratio. Formålet med oppgaven er å konstruere porteføljer fra lav til høy lønnsomhet og deretter undersøke hvordan gjennomsnittlige avkastning endres fra hver portefølje. Porteføljene prises ved hjelp av ulike prisingsmodeller og blir estimert gjennom Fama and MacBeth (1973) regresjon. I motsetning til Novy-Marx (2013), finner denne oppgaven negative alpha verdier. Videre tar oppgaven for seg en dobbel sortering, inspirert av Novy-Marx (2013), hvor resultatene viser at lønnsomme bedrifter gir en bedre lønnsomhet når de er kombinert med book-to-market. For å sammenligne resultatene, konstrueres det også porteføljer basert på lønnsomhet, målt med operating profit. Porteføljene konstrueres også her fra lav til høy, og resultatene viser negative alpha verdier, for utenom de mest lønnsomme firmaene som genererer en positiv alpha verdi. | |
| dc.description.abstract | This thesis presents an analysis of how different asset pricing models explain average returns in the Norwegian stock market. The analysis covers the time period from 1990 to 2018 for firms listed at Oslo Stock Exchange. The focus will be on profitability, as measured by the ratio of a firm’s gross profit to its assets, inspired by Novy-Marx (2013). The first part of this thesis investigates whether gross profitability scaled by book assets can generate abnormal return in the Norwegian stock market using different asset pricing models. Estimation is done through Fama and MacBeth (1973) regression and the results report, surprisingly, negative alpha values. Similar to what Novy-Marx (2013) finds, I find that the most profitable firms are growth firms, however the results report that high gross profits-to-assets stocks do not outperform the Norwegian stock market. Second part of this thesis test the prediction of Novy-Marx (2013), who argues that gross profitability portfolios exhibit better performance when they are combined with book-to-market. In order to test this prediction, the thesis conduct a double sorting on gross profitability and book-to-market. The results from the regression show that when controlling for gross profitability within book-to-market improve the performance, which is in line with what Novy-Marx (2013) finds. Third part of this thesis performs a robustness test with different asset pricing models on portfolios sorted on gross profitability. These tests also report a negative alpha value for the high profitable firms and confirm what I find in the three-factor model, that high gross profits-to-assets stocks do not outperform the Norwegian stock market. In order to compare the results, an alternative measure of profitability, operating profitability, is used. According to what Ball, Gerakos, Linnainmaa and Nikolaev (2015) find, operating profitability is a better measure of profitability and should outperform the gross profitability. The last part of this thesis tests this expectation by constructing portfolios sorted on operating profitability, using the same method as applied with gross profitability. The results from the regression report negative alpha values for all portfolios, except for portfolios with the most profitable firms. More specifically, this thesis finds that the most profitable firms, measured by operating profitability, outperform gross profitability. This is in line with what Ball, Gerakos, Linnainmaa and Nikolaev (2015) find. | |
