NHH Brage (Norges Handelshøyskole)
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Crash risk in the Nordic Stock Market - a cross-sectional analysis
Get PDFThis paper takes the viewpoint of an investor that can invest in the Nordic countries Norway, Sweden, Denmark and Finland. The four markets are treated as one integrated market. In the analysis we investigate whether there exists a risk premium for investing in stocks exhibiting high crash risk, as measured by their lower tail dependence with the rest of the market portfolio. We indeed find evidence that this is the case, and this evidence is in line with previous research done on American and German stocks markets, as well as theoretical predictions in the literature. However, the results are less clear than was the case for the abovementioned markets. Lower tail dependence is estimated using convex combinations of copulas exhibiting different tail dependence characteristics. The results are robust to different portfolio formations and copula selection criteria
Natural Resources, Demand for Skills, and Schooling Choices
Get PDFThis paper studies the consequences of the buildup of a new economic sector—the Norwegian petroleum industry—on investment in human capital. We assess both short-term and long-term effects for a broad set of educational margins, by comparing individuals in regions exposed to the new sector with individuals in unexposed regions. Importantly, we analyze how the effects and the mechanisms change as the sector develops. Our results indicate that an initial increase in the high school dropout rate is short-lived both because dropouts get their degrees later as adults, and because later-born cohorts adapt to the new needs of the industry by enrolling more in vocational secondary education. We also observe a decrease in academic high school and college enrollment except for engineering degrees. Financial incentives to both completing high school and field of study, are the most likely channels driving these effects
Underpricing and Long-Term Performance of Private Equity-Backed IPOs in the U.S. : An empirical study of the underpricing and long-term performance of private equity- and venture capital-backed IPOs in the U.S. stock market from 2000-2022
Get PDFThis thesis aims to investigate the underpricing and long-term performance of private
equity-backed initial public offerings (IPOs) relative to non-sponsored IPOs. We use a
sample of 2.509 IPOs on the New York Stock Exchange and Nasdaq over a time period
from January 2000 to December 2022.
In our study, we examine the underpricing across time periods, sizes, industries, and
exchanges for the different sponsor types. Furthermore, we look at factors that may
explain underpricing using a cross-sectional regression model. The empirical analysis finds
no support for the claim that private equity (PE)- and venture capital (VC)-backed IPOs
exhibit less underpricing than their non-sponsored counterparts, on average. Our analysis
only revealed one statistically significant finding: larger market capitalizations appear to
be associated with increased underpricing. We hypothesize that the tendency for more
aggressive underpricing in larger IPOs may be a strategy utilized to offset the higher costs
associated with information acquisitions, which are inherently greater in larger offerings.
Furthermore, we investigate the long-term performance using cumulative abnormal returns
(CAR), buy-and-hold returns (BHR), and a cross-sectional regression model. Benchmarked
against the Nasdaq and NYSE composites, we find some statistical evidence supporting
our hypothesis that private equity-backed IPOs outperform non-sponsored IPOs. The
regressions indicate that PE-backed IPOs demonstrate abnormal positive returns on a sixmonth
basis, VC-backed IPOs at the three- and five-year marks, while non-sponsored ones
exhibit significant underperformance on a three- and five-year basis. Moreover, we find
that a listing in a hot market has a statistically negative effect on long-term performance,
across all time horizons and with all types of sponsorships. Our findings indicate a higher
proportion of PE-backed IPOs during hot market periods, and that the proportion of hot
market IPOs increases with market capitalization. These larger PE-backed IPOs typically
perform worse in the long term, suggesting that PE-firms may be exploiting hot markets,
particularly during full exits. This aligns with the windows-of-opportunity theory.nhhma
V indkraft og hydrogen i nnovativ di versifisering for økonomisk levedyktighet : Lønnsomhetseffekten av hydrogenproduksjon hos nordiske vindkraftprodusenter i 2015 til 2022 : en beslutningsanalyse
Get PDFI denne oppgaven adresseres lønnsomhetsutfordringen vindkraftprodusenter står ovenfor som følge av vindens uregulerbare natur. Hovedmålet med studien er å avgjøre hvorvidt vindkraftprodusenter kan diversifisere inntekten sin ved å implementere hydrogenproduksjon for å utnytte variasjon i strømprisen og sikre stabil inntjening. For å nå dette målet anvender oppgaven historisk data på strømpris og vindkraftproduksjon i Norden, og utvikler en beslutningsmodell som time for time vil avgjøre om det lønner seg å produsere hydrogen eller selge strøm direkte. Videre gjennomføres en sensitivitetsanalyse for å vurdere effekten av endringer i nøkkelparametere. Resultatene fra analysen antyder at hydrogenproduksjon kan være en effektiv strategi for å stabilisere og øke lønnsomheten i vindkraftprosjekter. Dette skyldes hovedsakelig hydrogenproduksjonens evne til å tilby en alternativ inntektsstrøm i perioder med mye vind og lave strømpriser, noe som effektivt reduserer den økonomiske risikoen forbundet med vindenergiens uforutsigbarhet. Funnene indikerer at merprofitt fra hydrogenproduksjon drives av lave strømpriser og økt landbasert vindkraftproduksjon over analyseperioden. Således vil oppgavens resultater kunne motivere og tilrettelegge for økt utbygging av effektiv og subsidiefri fornybar kraft, og bidra til å nå forpliktelsene satt ved Parisavtalen.This study addresses the profitability challenge faced by wind power producers due to the unpredictable nature of wind. The primary objective of the research is to determine whether wind power producers can diversify their revenue by integrating hydrogen production to capitalize on electricity price fluctuations and ensure stable earnings. To achieve this objective, the study utilizes historical data on electricity prices and wind power production in the Nordic countries and develops a decision model that on an hourly basis determines whether it is more profitable to produce hydrogen or to sell electricity directly. Furthermore, a sensitivity analysis is conducted to assess the impact of changes in key parameters. The results of the analysis suggest that hydrogen production can be an effective strategy for stabilizing and enhancing the profitability of wind power projects. This is mainly due to hydrogen production's ability to provide an alternative revenue stream during periods of high wind and low electricity prices, effectively reducing the economic risk associated with the unpredictability of wind energy. The findings indicate that the additional profit from hydrogen production is driven by low electricity prices and increased onshore wind power production over the analysis period. Consequently, the results of this study may motivate and facilitate the expansion of efficient and subsidy-free renewable energy, contributing to the fulfillment of the commitments set by the Paris Agreement.nhhma
Prеdictivе Analysis fоr Custоmеr Churn in thе Crеdit Card Industry: Hоw dо variоus custоmеr dеmоgraphic, transactiоnal, and bеhaviоral fеaturеs influеncе churn ratеs in thе crеdit card industry? - A study оf applying machinе lеarning tеchniquеs tо thе multifacеtеd aspеcts оf custоmеr churn.
Get PDFThis thеsis prоvidеs a prеdictivе analysis оf hоw variоus fеaturеs influеncе churn ratеs, basеd оn thе datasеt frоm a crеdit card cоmpany. Оur rеsеarch еmplоys binary lоgistic rеgrеssiоn and bооstеd randоm fоrеst mоdеls, analyzing thе fеaturеs tо bе cоnsistеntly linkеd tо custоmеr churn in thе crеdit card industry. Wе fоund thе fоllоwing fеaturеs tо bе thе mоst impactful: tоtal transactiоn cоunt, tоtal rеvоlving balancе, and numbеr оf оthеr prоducts/sеrvicеs with thе samе bank. Оur analysis alsо rеvеalеd that diffеrеncеs in gеndеr playеd a significant rоlе in churn ratеs, with distinct trеnds оbsеrvеd in thе churn bеhaviоr оf malе and fеmalе custоmеrs.
Wе tеstеd and analyzеd fivе diffеrеnt hypоthеsеs оf custоmеr bеhaviоr in thе datasеt. Оut оf thеsе, wе succеssfully prоvеd thе fоllоwing:
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Hypоthеsis 1: Lоw crеdit card usagе ratеs arе prеdictivе оf custоmеr churn.
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Hypоthеsis 2: A rеductiоn in crеdit card usagе is highly indicativе оf custоmеr churn.
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Hypоthеsis 3: Custоmеrs with a grеatеr numbеr оf banking sеrvicеs/prоducts with thе samе bank arе lеss likеly tо churn.
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Hypоthеsis 4: Custоmеrs with highеr mоnths оf inactivity, оr a highеr numbеr оf cоntacts madе tо thе bank arе mоrе likеly tо churn.
Furthеrmоrе, thе findings оf thе hypоthеsеs wеrе utilizеd tо dеvеlоp stratеgiеs that еffеctivеly addrеss thе idеntifiеd factоrs, which cоuld lеad tо imprоvеd custоmеr rеtеntiоn in оthеr cоmpaniеs in thе crеdit card industry.
This cоmprеhеnsivе thеsis did nоt cоntradict any prеviоus litеraturе оn custоmеr churn. Whilе sоmе findings alignеd with priоr rеsеarch, оthеrs prоvidеd nеw insights, еspеcially rеgarding thе influеncе оf multi-prоduct banking rеlatiоnships and custоmеr еngagеmеnt lеvеls оn churn ratеs.
Thе thеsis succееdеd tо cоnvincingly prоvе sоmе еffеcts and fеaturеs оf churn. Hоwеvеr, duе tо thе dynamic and multifacеtеd aspеcts оf custоmеr churn, thе еxact causеs оf what lеads tо churn rеmains unknоwn, еmphasizing thе nееd fоr futurе studiеs оf factоrs influеncing and causing custоmеr churn.nhhma
Bigger isn’t always better : A twenty-one-year study of the size effect on the Oslo Stock Exchange
Get PDFOur analysis reveals an average monthly size effect of 1.29 percent on the Oslo Stock Exchange
from 2000 to 2020, a significance that persists after adjusting for various systematic risk
factors. Despite substantial exposure to the Small Minus Big (SMB) factor, our findings
suggest it cannot fully account for the observed effect. Our liquidity analysis indicates a
tendency for liquid stocks to outperform illiquid stocks of similar size, although the evidence
is inconclusive. Examination of liquidity risk demonstrates that the size effect is exposed to
systematic liquidity risk, yet conclusive results are hindered by robustness concerns and
potential model biases. Our investigation reveals an average size effect in January of 12.08
percent and no significant returns observed from February to December. This highlights that
the size effect is concentrated exclusively in January. Furthermore, indications suggest that
market turmoil and uncertainty impact the effect, although conclusive results cannot be
ascertained. Lastly, we find a negative correlation between market liquidity and the size effect,
posing potential implications for the execution of trading strategies based on the size effect and
offering insight into the persistence of the effect.nhhma
Capital Structure in the Shipping Industry : An Analysis of Leverage and Asset Volatility in Publicly Traded Shipping Companies
Get PDFThis research paper provides a comprehensive analysis of the optimal leverage in the
shipping industry, focusing on the influence of asset volatility on static and dynamic
capital structure decisions. Under static model conditions with fixed bankruptcy costs,
the optimal leverage ratio is determined to be 47%. However, when including additional
costs such as call premiums and debt issuance costs in the dynamic model, this ratio
adjusts to 43%.
Our research is based on a sample of 167 shipping companies over a period between 2010
and 2022. The companies are primarily based on the global SIC code 44, which includes
companies within waterborne transport. Additionally, we include firms operating large
vessels that may not solely focus on shipping and exclude companies focusing on harborand
port management and passenger- and cruise ship operations.
The study provides insights into leveraging practices and highlights the impact of market
perceptions of risk on capital structure decisions in the shipping sector. The results have
practical implications for shipping companies looking to optimize their capital structure
and enhance their financial performance. The findings indicate that increased asset
volatility raises a shipping company’s value at default. Using comparative static and
dynamic models, the study finds that higher asset volatility lowers leverage ratios among
shipping companies. A 1% increase in asset volatility suggests that the market leverage
ratio for a shipping company decreases by 2.8%. Furthermore, when the freight rates
increase, the earnings follow, leading to a decrease in leverage due to higher valuations in
the market. This suggests that the shipping industry relies more on using excess cash to
fund its investments during booms rather than issuing debt.nhhma
Aktørers rolle ved utforming og bruk av styringsverktøy i et helseforetak : En eksplorerende studie av hvordan styringsinformasjon kan gjøres forrelevant for praksisklinisk praksis
No full textDenne masteroppgaven har som hensikt å utforske hvordan klinikere kan motiveres til å betrakte styringsinformasjon som relevant for sine beslutninger i den kliniske praksisen. Etter helseforetaksreformen i 2002, ble budsjettansvaret delegert til ledere på lavere nivåer i helseforetakene. Studier viser derimot at disse lederne ikke føler på et ansvar knyttet til budsjett, og at det eksisterer en motvilje blant medisinskfaglige ledere rettet mot bruk av styringsinformasjon i klinisk praksis. Videre peker litteraturen på et gap mellom kliniske og ledelsesmessige mål og verdier. Med utgangspunkt i dette ønsker vi å besvare følgende problemstilling:
Hvordan kan medisinskfaglige mellomledere og controllere samhandle for å gjøre styringsinformasjon relevant for medisinskfaglig praksis?
For å besvare problemstillingen vår har vi gjennomført en casestudie ved et norsk sykehus. Datamaterialet er samlet inn gjennom observasjoner og intervjuer, og vi har studert et fåtall aktører ved en spesifikk avdeling på sykehusets kirurgiske klinikk. Ved å benytte den aktørbaserte metoden, har vi forsøkt å tilegne oss en unik forståelse av aktørenes virkelighetsoppfatninger.
Studien viser at økonomimøter legger til rette for at aktører med ulike faglige bakgrunner og virkelighetsoppfatninger kan samhandle. Gjennom kommunikasjon på møtene foregår det en konstruksjon av et styringsgrunnlag, som legger til rette for at aktørene kan foreta informerte beslutninger basert på faktuelle muligheter. Ettersom de medisinskfaglige mellomlederne ikke har økonomisk utdannelse, finner vi det avgjørende å ha hyppige og strukturerte møter for at de skal opparbeide seg en forståelse av styringsinformasjonen, samt se relevansen av å bruke den i praksis. Videre argumenterer vi for at controller sin opparbeidede tillit og evne til å engasjere seg i dialog, bidrar til å muliggjøre avdelingssjefens hybride rolle. Med sin interesse og forståelse for begge fag, evner avdelingssjefen å dekode informasjonen til et språk som klinikerne kjenner seg igjen i. Vi argumenterer derfor for at avdelingssjefen fungerer som en brobygger mellom de to logikkene i måten hen hybridiserer de ulike fagene.nhhma
Nordic IPO Pricing in Hot Issue Markets : An Empirical Analysis of the Nordic IPO Surge and its Characteristics, 2015-2022
Get PDFThis thesis examines the underpricing and pricing dynamics of Initial Public Offerings
(IPOs) in the Nordic region from 2015 to 2022, focusing on the ’hot issue’ years of
2020 - 2022 during the COVID-19 pandemic. Utilizing data from the SDC platinum
database, complemented by manual sampling, the study investigates factors influencing
IPO underpricing and price revision, particularly during the heightened market activity
and volatility of 2021.
Our research encompasses a sample of 570 IPOs, using Ordinary Least Squares regression
analysis. This approach reveals an unexpected negative correlation between upward
price revisions and initial returns, challenging established hypothesis such as the Cascade
Hypothesis and the Costly Information Hypothesis. Additionally, a significant finding
is the positive relationship between initial returns and positive net income prior to the
offer. Supporting this narrative, we found lower price revision among technology firms
during ’hot issue’ markets, suggesting a shift in investor preference towards financially
stable firms.
Through this analysis, our research sheds light on the intricate dynamics influencing
IPO underpricing in the Nordics during the COVID-19 pandemic. It highlights the vital
role of underwriters and the evolving investor preferences in shaping the IPO pricing
landscape. The findings, while constrained by limitations in data availability, emphasize
the complexity of market conditions during the pandemic and underscore the need for
ongoing research to deepen our understanding of these phenomena. Overall, this thesis
not only challenges existing hypotheses in IPO pricing but also paves the way for future
explorations in this dynamic field.nhhma