NHH Brage (Norges Handelshøyskole)
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Do Norwegian Portfolio Managers Have the Ability to Generate Value Through Stock Selection?
Get PDFIn this thesis, we examine the value creation capabilities of Norwegian portfolio managers from 2010 to 2023, through stock selection. Using key concepts such as active share and best ideas, we investigate the potential of active fund managers to generate returns that exceed the benchmark. The thesis uses active share as a measure of divergence in portfolio holdings from a benchmark, while the best-idea approach evaluates the performance of managers' highest-conviction positions.
We are using data from 58 actively managed and eight passively managed funds in the Norwegian market. The active funds are divided into active share quartiles and we construct portfolios of the best and worst ideas as well as portfolios of best-worst ideas. This is done to analyze their performance against the benchmark, both for active share quartiles and best ideas. The study employs statistical methods, including t-tests and regression models such as CAPM, Fama-French, and Carhart, to measure fund performance along with several other performance measures.
The findings indicate that there is no clear link between higher active share and superior returns. For best ideas, on the other hand, constructed portfolios significantly outperform the benchmark, with more concentrated portfolios delivering the highest returns, although with increased risk. Furthermore, the regression results reveal significant alpha generation for the best-idea portfolios. In contrast, worst ideas do not significantly underperform the benchmark, and thus do not contribute much with positive alpha for managers. Therefore, our results show clear indications that Norwegian fund managers perform much better in identifying well-performing stocks than poor-performing stocks.
The thesis contributes to the ongoing debate on active versus passive management, especially highlighting the roles of portfolio concentration and high-conviction positions in fund performance
Match and Mismatch between Supply and Demand in the Norwegian Housing Market
Get PDFThis thesis examines the mismatch between supply and demand in the Norwegian housing market and its role in driving sustained increases in housing prices from 2004 to 2024. The research focuses on the interaction between structural rigidities, price drivers, and market dynamics. Key supply-side factors, such as construction costs, completed dwellings and building permits for homes, are analyzed alongside demand-side influences like interest rates, disposable income, population growth, and unemployment.The present thesis employs econometrics, including the Hodrick-Prescott filter (HP-filter), to disentangle long-term trends from short-term fluctuations. Data from Statistics Norway and Eiendom Norge provide the basis for identifying market trends and cyclical patterns. Findings reveal that mismatches are most pronounced during economic expansions, where demand growth outpaces the slow adjustment of housing supply. Conversely, during downturns, mismatches decrease as demand falls, yet prices often remain volatile due to speculative behavior and consumer confidence shifts. The assumed that, urban centers exhibit greater price rigidity and slower supply responses compared to smaller cities is confirmed in the thesis. These results underscore the asymmetric nature of supply-demand interactions and the role of behavioral factors in amplifying market imbalances
IPO Valuation and Pricing Efficiency on the Oslo Stock Exchange
Get PDFThis thesis examines the pricing of initial public offerings (IPOs) on the Oslo Stock Exchange (OSE) from 2005 to 2020, focusing on whether IPOs are underpriced, overpriced, or fairly valued relative to their fundamental metrics. Drawing on the methodology of Purnanandam and Swaminathan (2004), which analyzed U.S. IPOs, this study applies a similar approach to the Norwegian market to explore differences in pricing and performance. Using valuation multiples—price-to-sales (P/S), price-to-earnings (P/E), and price-to-EBITDA (P/EBITDA)—IPO offer prices are compared to fair values derived from peer firms to assess pricing accuracy.
The results show that IPOs on the OSE are generally fairly priced based on P/S and P/EBITDA multiples, with median price-to-value (P/V) ratios close to 1. However, IPOs tend to be conservatively priced based on P/E multiples, with significant underpricing likely aimed at mitigating earnings volatility and attracting investor interest.
Compared to larger and more speculative markets, such as the U.S., the OSE exhibits a disciplined pricing approach, emphasizing alignment with fundamental value. These findings underscore the effectiveness of the OSE’s regulatory framework in fostering transparency and investor confidence. This study contributes to the literature on IPO pricing, offering insights into valuation dynamics within a smaller, well-regulated market
Regionale prisforskjeller i det norske boligmarkedet
Get PDFDenne masteroppgaven undersøker de regionale forskjellene i boligprisutviklingen i Norge, med særlig fokus på byene Oslo, Bergen, Kristiansand, Trondheim og Bodø. Målet med studien er å forstå hvilke fundamentale økonomiske faktorer som driver prisutviklingen i boligmarkedet, og hvordan disse faktorene påvirker ulike regioner.
Oppgaven tar utgangspunkt i teori som knytter boligpriser til faktorene inntekt, boligmasse, befolkningsvekst, rente, sysselsetting, BNP og kredittvolum. Gjennom en økonometrisk analyse av data fra perioden 2003 - 2019 undersøker vi hvordan disse variablene påvirker prisdannelsen i boligmarkedet. For analysen benytter vi metoder som HP-filter og regresjonsanalyser i Excel, og vi konstruerer boligprismodeller for hver by.
Funnene viser at regionale boligpriser i stor grad påvirkes av de valgte forklaringsvariablene, men at styrken og retningen på påvirkningen varierer mellom regionene. Modellen vår forklarer 40–60 prosent av variasjonen i boligprisene, der Oslo og Bergen har høyest forklaringskraft, mens Kristiansand og Bodø viser større usikkerhet. Videre avdekkes det at faktorer som rente og inntekt spiller en sentral rolle i å forklare variasjonene, mens boligbygging viser en stabiliserende effekt på prisutviklingen.
Studien gir verdifull innsikt i hvordan boligmarkedet fungerer og understreker viktigheten av regionale analyser for å utforme treffsikre politiske tiltak. Våre funn bidrar til en dypere forståelse av det norske boligmarkedet og gir et solid grunnlag for å utvikle politikk som bedre kan håndtere utfordringene i markedet.
Økonometriske analyser og modellering er gjennomført i Excel. Oppgaven avsluttes med en diskusjon av implikasjonene for fremtidig forskning og boligpolitikk
Financial Stability Meets Taylor Rules: Insights from the Norwegian Economy
Get PDFThis master thesis assesses the monetary policy framework in Norway from 2001 to 2024, while focusing on the role of financial stability considerations in determining the policy rate and improving the fit of the Taylor rule. According to Taylor (1993), the policy rate is determined to close the inflation gap and the output gap. Motivated by lessons from the global financial crisis and the COVID-19 pandemic—where economic and financial imbalances led to severe economic costs—we investigate whether Norges Bank responds to financial indicators alongside inflation and output. Specifically, we incorporate the variables credit-to-GDP gap, house prices-to- disposable income gap, as well as the federal funds rate. We adopt both univariate and multivariate approaches, which are all extensions of the original Taylor rule. Expanding the analysis using a Vector Autoregressive framework allows us to capture the dynamic interactions between macroeconomic and financial variables. Both backward and forward-looking VAR models suggest that Norges Bank exhibits a leaning against the wind stance following the global financial crisis. Our results further indicate that incorporating financial indicators, such as the credit-to-GDP gap and the house price-to-disposable income gap, improves the model's fit, as reflected in enhanced statistical measures and forecast accuracy. Ultimately, our findings imply that concerns about financial stability influence Norges Bank's monetary policy
Compact contenders? Investigating cost competitiveness requirements of small modular nuclear reactors and their potential impact on the European energy system
Get PDFEurope is currently in the process of executing a strategy to increase the share of renewable energy in its electricity mix. However, concerns about energy system instability, higher transmission costs, and energy security have sparked discussions about the potential integration of alternative technologies, such as small modular nuclear reactors (SMR), which offer stable output and high flexibility. In view of the ongoing debate and the uncertainty surrounding the cost estimations of SMR, this study first attempts to establish a reference range for SMR that would ensure its economic viability for inclusion in the energy system. We then perform a comparison of European energy systems, with and without SMR, to explore how the inclu sion of SMR can impact the energy system. Lastly, we delve into learning effects to assess the potential for increased competitiveness in the future. Our results show that if the construction cost of SMR remains below 7392 euros/kw and operational cost does not exceed 230 euros/kw, SMR could become competitive and reduce overall energy system costs. This potential cost reduction arises from SMR’s ability to replace traditional large-scale nuclear power plants, which have high upfront and operating expenses, and to compete with variable renewable energy sources by lowering transmission cost. Furthermore, learning effects could enhance the competitiveness of SMR in the future, even if they currently lack a cost-related advantage
Email circulars as predictive signals in forecasting freight rates
Get PDFThis thesis investigates forecasting freight rates within the Baltic Handysize Index (BHSI), concentrating on the HS7_38 Far East to Southeast Asia route. Leveraging both proprietary data – derived from pre-fixture email circulars containing available tonnage (supply) and demand in deadweight tonnage (DWT) – and publicly accessible data, including the Nominal Broad U.S. Dollar Index and Brent crude oil free on board (FOB) prices, the study use a combination of univariate and multivariate time series models. The research aims to evaluate the forecasting performance of these datasets against a naïve benchmark model to test the Efficient Markets Hypothesis (EMH). Their forecasting accuracy is measured using the mean absolute percentage error (MAPE), mean absolute scaled error (MASE), and root mean squared error (RMSE) metrics.
Using various models – the autoregressive integrated moving average (ARIMA) model, the seasonal ARIMA (SARIMA), ARIMA with eXogenous variables (ARIMAX), and seasonal ARIMAX (SARIMAX) – this thesis finds that incorporating both proprietary data and public data can lead to an improvement in forecasting accuracy. Results demonstrate that the multivariate SARIMAX model with all the variables incorporated, outperform univariate and other multivariate approaches in capturing potential underlying market dynamics, seasonality, and trends. The findings underscore the potential value of incorporating email circulars in improving forecasting accuracy, and how freight rates market can be considered inefficient
Rethinking the Collapse in Green Innovation
Get PDFThis thesis examines the collapse in green innovation by analyzing patent activity and value for LCE technologies from 1978 to 2020. Previous research has highlighted a sharp decline in patent activity for LCE technologies since 2010, often linked to reduced subsidies and referred to as the "collapse in green innovation". This thesis examines whether the value of LCE patents has also decreased alongside the decline in activity.
The analysis reveals a misalignment between patent activity and the value of innovations. While the "collapse in green innovation" is observed in patent activity, the value of these technologies remains stable. The results also indicate that public subsidies drive an increase in patent activity but have no clear impact on value. Assuming public subsidies for the energy transition are implemented to replace Fossil Fuels, the findings suggest that current subsidies may be suboptimally designed or implemented. Current subsidies seem to be more effective for emission-reduction technologies like CCUS rather than replacement technologies
Bytteatferd blant husholdninger i det norske strømmarkedet: Påvirker prisendringer husholdningenes beslutning om å bytte strømleverandør?
Get PDFDenne studien undersøker hvordan prisendringer i det norske strømmarkedet påvirker husholdningenes beslutning om å bytte strømleverandør. Ved hjelp av et paneldatasett som dekker perioden juli 2019 til juni 2024, analyserer vi sammenhengen mellom spotpris og byttegraden i de fem norske prisområdene. Den høye andelen husholdninger på spotpriskontrakt kombinert med en økt prisvolatilitet i analyseperioden, gjør analysen svært dagsaktuell.
Analysen bygger på en metodisk tilnærming som kombinerer faste effekter, instrumentvariabelmetode og en dynamisk paneldatamodell. Vi tar utgangspunkt i to forskjellige modellspesifikasjoner. Modell 1 inneholder en «lagget» byttegrad, en lagget logaritmisk spotpris, en dummyvariabel for strømstøtte og tidsdummier på kvartalsnivå. I modell 2 er oppvarmingsdager inkludert som en forklaringsvariabel, som et mål på etterspørsel etter elektrisitet. Denne blir senere forkastet grunnet usikkerhet rundt variabelen.
Analysen viser at en økning i spotpris på 1% fører til en umiddelbar økning i byttegraden på 0,2 prosentpoeng. Inkludering av den langsiktige effekten øker dette til en samlet effekt på 0,4 prosentpoeng. Effekten er statistisk signifikant på 1%-nivå. Selv om funnet er statistisk signifikant, gjør svakheter ved modellen knyttet til autokorrelasjon, at man må være forsiktig med å trekke bastante konklusjoner. Derfor konkluderer vi med at funnet ikke kan sies å være økonomisk signifikant.This study examines how price changes in the Norwegian electricity market influence households’ decisions to switch electricity providers. Using a panel dataset covering the period from July 2019 to June 2024, we analyse the relationship between the spot price and the switching rate in the five Norwegian price areas. The high share of households on spot price contracts, combined with increased price volatility during the analysis period, makes this study highly relevant.
The analysis is based on a methodological approach that combines fixed effects, an instrumental variable method, and a dynamic panel data model. We start with two different model specifications. Model 1 includes a lagged switching rate, a lagged logarithmic spot price, a dummy variable for electricity subsidies, and quarterly time dummies. In Model 2, heating degree days are included as an explanatory variable to capture electricity demand. However, this model is later discarded due to uncertainty regarding the variable.
The analysis shows that a 1% increase in the spot price leads to an immediate rise in the switching rate of 0.2 percentage points. Including the long-term effect increases this to a total effect of 0.4 percentage points. The effect is statistically significant at the 1% level. Although the result is statistically significant, weaknesses in the model related to autocorrelation warrant caution in drawing firm conclusions. Therefore, we conclude that the finding cannot be considered economically significant