• Aksjemarkedets mikrostruktur – betyr det noe? 

      Næs, Randi; Skjeltorp, Johannes A. (Journal article, 2006)
      Mikrostrukturmodeller skiller seg fra tradisjonelle finansmodeller ved å åpne for at lovlig informasjon om underliggende selskapsverdier kan være ulikt fordelt og analysert mellom markedsaktørene. Litteraturen på fagområdet ...
    • Equity Trading by Institutional Investors: Evidence on Order Submission Strategies 

      Næs, Randi; Skjeltorp, Johannes A. (Working Papers;12/2002, Working paper, 2002)
      The trading volume channeled through off-market crossing networks is growing. Passive matching of orders outside the primary market lowers several components of execution costs compared to regular trading. On the other ...
    • Essays on the microstructure of stock markets : empirical evidence from trading arrangements without dealer intermediation 

      Næs, Randi (Doctoral Dissertations in Economics;5, Doctoral thesis, 2005-07-21)
      Understanding the competitive environment for securities trading is of great importance for Norges Bank’s overall responsibility for financial stability. As a manager of the Norwegian Government Petroleum Fund, the bank ...
    • Hvilke faktorer driver kursutviklingen på Oslo Børs? 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;8/2007, Working paper, 2007)
      I denne rapporten analyserer vi avkastningsmønstret på Oslo Børs over perioden 1980- 2006. Formålet med rapporten er å analysere drivkreftene bak kursutviklingen i det norske aksjemarkedet. Et viktig siktemål med analysen ...
    • Is the Market Microstructure of Stock Markets Important? 

      Næs, Randi; Skjeltorp, Johannes A. (Journal article, 2006)
      The market microstructure literature studies how the actual transaction process – i.e. how buyers and sellers find one another and agree on a price – can affect price formation and trading volumes in a market. This article ...
    • Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period 

      Næs, Randi; Ødegaard, Bernt Arne (Working Papers;11/2007, Working paper, 2007)
      We use data on actual holding periods for all investors in a stock market over a 10 year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown ...
    • Liquidity and the Business Cycle 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;11/2008, Working paper, 2008)
      We show evidence of a contemporaneous relation between stock market liquidity and the business cycle. Stock market liquidity worsen when the economy is slowing down, and this effect is most pronounced for small firms. Using ...
    • Liquidity at the Oslo Stock Exchange 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;9/2008, Working paper, 2008)
      We analyze the relationship between the long term development in liquidity at the Oslo Stock Exchange and the Norwegian economy for the period 1980 to 2007. We calculate different liquidity measures that captures various ...
    • Mean Reversion in Profitability for Non-Listed Firms 

      Nordal, Kjell Bjørn; Næs, Randi (Working Papers;29/2009, Working paper, 2009)
      The presence of mean reversion in profitability at the firm level is important for valuation and prediction of growth and earnings. We investigate the mean reversion in accounting profitability for Norwegian non-listed ...
    • Ownership Structure and Stock Market Liquidity 

      Næs, Randi (Working Papers;6/2004, Working paper, 2004)
      This paper studies the relationship between company ownership and market liquidity using a panel regression approach. The data sample contains detailed transactions data from a limit order driven stock market, and a full ...
    • Strategic Investor Behaviour and the Volume-Volatility Relation in Equity Markets 

      Næs, Randi; Skjeltorp, Johannes A. (Working Papers;9/2003, Working paper, 2003)
      We examine the volume-volatility relation using detailed data from a limit order driven equity market. Estimates of the intraday slope of the demand and supply schedules of the order book are found to capture regularities ...
    • The Relationship Between Bankruptcy Risk and Growth for Non-Listed Firms 

      Nordal, Kjell Bjørn; Næs, Randi (Working Papers;31/2010, Working paper, 2010)
      We investigate the relationship between bankruptcy risk and expected future sales growth for Norwegian non-listed firms for the period 1988-2007. We find that firms with high bankruptcy risk also have high expected future ...
    • The Risk Components of Liquidity 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2008, Working paper, 2008)
      Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...
    • What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors 

      Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Working Papers;3/2007, Working paper, 2007)
      Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ...
    • What Factors Affect the Oslo Stock Exchange? 

      Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne (Working Papers;24/2009, Working paper, 2009)
      This paper analyzes return patterns and determinants at the Oslo Stock Exchange (OSE) in the period 1980-2006. We find that a three-factor model containing the market, a size factor and a liquidity factor provides a ...