En begivenhetsstudie av laksesektoren på Oslo Børs i perioden 2012-2016 : kvartalsresultat vs. analytikernes forventninger

In this master thesis I investigate three issues. First I start by analysing whether the analysts Henning Lund, Kjetil Lye and Kolbjørn Giskeødegård have been able to give their customers excess returns through trade recommendations for salmon stocks at Oslo Stock Exchange between 01.01.2012 – 31.12.2016. By conducting an event study I also analyse how the stock prices for eight salmon companies2 react before, during and after publication of quarterly reports, as well as how the stock prices react to actual quarterly results compared to the analysts’ estimate consensus. The event study also analyse if there is a significant abnormal return before or after the publication of the quarterly reports. I have constructed portofolios for the analysts based on their trade recommendations reported to Thomson Reuters Eikon between 01.01.2012 and 21.12.2016. The portofolio performances are measured against two indexes, Lakseindeks N and Lakseindeks V, which I have constructed for this purpose. The indexes consist of the eight salmon companies mentioned above. Lakseindeks N is a naïv portfolio where all companies in the index are weighted 12,5%. Lakseindeks V is a value weighted index based on the value of the eight salmon companies. The findings suggest that the analysts between 2012 – 2016 provide their customers better returns compared to Lakseindeks V. Two out of three analysts deliver lower risk-adjusted returns than Lakseindeks N. However, transaction costs have not been taken into account in this study. Lakseindeks N does not require any effort from investors, as the index is weighted equally at all times, which means that transaction costs will be lower than actively managed portfolios. After the transaction costs, all analysts would probably deliver a lower risk-adjusted returns than Lakseindeks N In the event study, I find that the analysts’ estimate consensus is an important factor in the publication of quarterly reports. When the actual quarterly figures are higher (lower) than the analysts’ estimate consensus, the share price on the date of publication will in average rise (fall). I also find significant results for positive motion in the cumulative abnormal returns between days -10 and -1 before a positive report is published. Following the publication of the quarterly reports, I find positive motion in the cumulative abnormal returns of the neutral quarterly reports 5 days after publication.