dc.contributor.advisor | Belsom, Einar | nb_NO |
dc.contributor.author | Bertheussen, Andreas | nb_NO |
dc.date.accessioned | 2014-12-19T14:28:01Z | |
dc.date.available | 2014-12-19T14:28:01Z | |
dc.date.created | 2012-03-04 | nb_NO |
dc.date.issued | 2011 | nb_NO |
dc.identifier | 507350 | nb_NO |
dc.identifier | ntnudaim:6331 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/266048 | |
dc.description.abstract | I ask whether added liquidity factors improve the ability of the Sharp-Lintner CAPM and the Fama French three-factor model to explain asset returns, ex-post, in the Norwegian stock market. Through cross-sectional and time-series regression tests, on both the original and the liquidity-augmented versions of the equity risk premium models, I search for a reversed liquidity premium in the period 2006-2011. I find that the liquidity factors, represented by the bid-ask spread and turnover, marginally improve the empirical ability of the models to explain asset prices and conclude that there is empirical support for a multidimensional liquidity premium. The implications of my results contradict flight-to-liquidity theory and suggest that different dimensions of liquidity are rewarded a premium in different stages of the business-cycle - offering liquidity based rationale for the size and value-effect. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for industriell økonomi og teknologiledelse | nb_NO |
dc.subject | ntnudaim:6331 | no_NO |
dc.subject | MIENTRE NTNUs Entreprenørskole | no_NO |
dc.subject | | no_NO |
dc.title | Equity Risk Premium Estimation Models: A study of the effects of trading liquidity on traditional asset pricing models | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 80 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelse | nb_NO |