NHH Brage (Norges Handelshøyskole)
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Empirical Asset Pricing via Neural Networks and Macroeconomic Data
Get PDFThis study showcases the benefits of expanding the dimensions of the variable input vector
with macroeconomic predictors when predicting monthly out-of-sample stock-level risk
premiums. Using 610 predictor variables, we achieve a prediction performance of 3.19%
R2
oos for our best model and for stocks with a large market value of equity, over a fourfold
increase in performance compared to previous research on this area. Furthermore, by using
Shapley values, we show the pricing importance of each group of variables, challenging
the view of neural networks as black boxes. The resulting Shapley values indicate that the
neural networks weight higher variables such as labor market, interest and exchange rates,
and prices, during recession, and stock characteristics during expansion periods.nhhma
Beyond Aesthetics : Asset Pricing Theory and the Scandinavian Art Market
Get PDFThis study utilizes a hedonic model to examine factors influencing the pricing of
Scandinavian paintings, such as size, artist reputation, and auction house. The analysis
focuses on prominent painters from Denmark, Sweden, and Norway from 1991 to 2023,
constructing a comprehensive price index. Using this index, we evaluate Scandinavian art
as an investment, comparing it to traditional asset classes. Additionally, the study applies
the Capital Asset Pricing Model (CAPM) to analyze price movements in the Scandinavian
art market and other asset classes. This research contributes to understand the dynamics
of the Scandinavian art market and assessing whether it might provide an investment
opportunity for art enthusiasts.nhhma
ESG Investments in Turbulent Waters : A Fund Flow Analysis During Market Distress : An empirical analysis of European sustainability-rated mutual funds before and after the outbreak of the COVID-19 pandemic & the Russia-Ukraine war
Get PDFThis thesis explores how investments focused on Environmental, Social, and Governance
(ESG) criteria are affected by two distinct economic shocks: the COVID-19 pandemic and the
Russia-Ukraine war. To examine the main objectives of the study, we analyze how net flows
vary across mutual funds with different sustainability ratings during times of crisis, referring
to funds with high sustainability ratings as ESG investments.
Our study reveals that the impact on ESG investments varies between the two shocks,
challenging the established view of their steady resilience during periods of market distress.
We find that ESG investments in general navigated through the pandemic with minimal
disruption. However, these funds did not show higher resilience compared to other funds,
pointing towards a widespread steadfastness in the market. The analysis of the war, on the
other hand, presents a contrasting picture, where ESG investments displayed relatively lower
resilience, while low sustainability-rated funds emerged as the most robust group.
The observed shift in investor sentiment away from ESG investments after the outbreak of the
war points towards a crisis-driven reevaluation of these investments’ appeal. The insight from
our study raises questions related to the motivations behind ESG investing, previously
attributed to ethical concerns, suggesting a more complex interplay of ethical and financial
drivers. Our findings also reveal different investor responses when comparing retail and
institutional investors. We observe that retail funds drive the findings of our overall fund
analysis and appear to reflect the broader market sentiment more accurately.
In sum, our research adds depth to the understanding of how ESG investments are impacted
when facing economic shocks, challenging the notion of ESG investments as safe havens
during market distress.nhhma
The Demand for News: Accuracy Concerns versus Belief Confirmation Motives
Get PDFWe examine the relative importance of accuracy concerns and belief confirmation motives in driving the demand for news. In experiments with US respondents, we first vary beliefs about whether an outlet reports the news in a right-wing biased, left-wing biased, or unbiased way. We then measure demand for a newsletter covering articles from this outlet. Respondents only reduce their demand for biased news if the bias is inconsistent with their own political beliefs, suggesting a trade-off between accuracy concerns and belief confirmation motives. We quantify this trade-off using a structural model and find a similar quantitative importance of both motives
Experimental Evidence on the Acceptance of Males Falling Behind
Get PDFIn recent decades, an increasing share of males struggle in the labor market and education. We show in a set of large-scale experimental studies involving more than 30,000 Americans that people are more accepting of males falling behind than females falling behind and less supportive of government policies supporting males falling behind. We provide evidence of the underlying mechanism being statistical fairness discrimination: people consider males falling behind to be less deserving of support than females falling behind because they believe that males are more likely than females to fall behind due to lack of effort. The findings are important for understanding how society perceive and respond to the growing number of disadvantaged males
Essays on Industrial Organisation: Digital Platform Competition, Technology Licensing, and Vertical Markets
Get PDFThis thesis consists of four chapters on the industrial organisation of digital platforms and
vertical markets. The first chapter addresses how competition between digital platforms is
affected by targeting technologies, stricter privacy regulation, and consumer multi-homing.
Since the quality of targeting technologies improves with consumer data, targeting in creases the importance of attracting consumers. Whereas previous literature has shown
that this could result in fierce competition when consumers subscribe to only one plat form (i.e., single-home), we find that targeting softens the competition over consumers
when we allow consumers to have multiple subscriptions (i.e., multi-home). This might
imply that equilibrium profits are higher with targeting than without. The second chap ter studies the competitive effects of cross-licensing contracts between digital platforms.
In one-sided markets, cross-licensing has potential anti-competitive effects. I find in a
two-sided model that positive network effects might alleviate the anti-competitive effects
of cross-licensing, and even flip the outcome. The third chapter studies the incentives of
dominant suppliers to commit to uniform pricing in wholesale markets when inside options
induce size-based wholesale price discrimination in favour of the large retailer. Seminal lit erature has provided clear-cut results. In a model with endogenous inside options, we show
that the outcome is ambiguous when we allow retailers to be differentiated. The fourth
and final chapter presents two classroom experiments on technology licensing, which has
been applied to teach central concepts of economics to business students. The classroom
experiments stimulate discussions of, among others, technology licensing and intellectual
property rights
The Role of Labor Unions in Immigrant Integration
Get PDFWe examine if unions narrow or widen labor market gaps between natives and immigrants. We do so by combining rich Norwegian employer-employee matched register data with exogenous variation in union membership obtained through national government policies that differentially shifted the cost to workers to join a union. While union membership significantly improves the wages of natives, its positive effects diminish substantially for Western immigrants and disappear almost entirely for non-Western immigrants. The effect of unions on native wages, and the role of unions in augmenting the native-immigrant wage gap, is nonexistent in competitive labor markets while it is substantial in markets characterized by a high degree of labor concentration. This implies that unions act as a countervailing force to employer power in imperfect markets and can ameliorate the negative labor market effects of labor market concentration, but only for natives. Using unions as a means to empower workers and solve market failures caused by imperfect competition in the labor market, therefore, is likely to lead to a significant increase in societal inequality
Embodied, embedded and educated: How everyday heroes strive to save lives during a pandemic
Get PDFDrawing on an ethnographic study of the HIV/AIDS pandemic, we explore how ordinary people make extraordinary efforts to convince others to comply with health authorities’ advice to change their behaviour. Theories of heroism and embodied health movements inform our typology consisting of four distinct types of everyday heroes. Everyday heroes adopt a variety of actions, uniquely drawing on their embodiment of the illness and embeddedness in the local context. The ‘national role model’ builds a personal brand promoting beauty with a purpose, while the ‘national entrepreneur’ assembles resources and builds support networks and institutions. The ‘local caregiver’ offers face-to-face support to the diseased and afflicted, while the ‘local entrepreneur’ creates non-risky health practices to replace risky ones. A significant finding is the heroes’ courage and creative self-educational work, through which they find their own ways to translate medical knowledge into the local vernacular and practice. Keywords: Everyday heroes, embodied health movements, pandemic, hero actions, self-transformationEmbodied, embedded and educated: How everyday heroes strive to save lives during a pandemicsubmittedVersio
Endringsprosesser i det grønne skiftet : En casestudie av hvordan Statsbygg oppnår sine klimamål
Get PDFVerden står midt i en klimakrise. Derfor er det et stort behov for å redusere klimagassutslipp,
noe som gjelder alle sektorer. Å implementere klimatiltak krever endringer i store deler av
virksomheten. De prosessene som igangsettes på vei mot det grønne skiftet krever
mobilisering og samhandling. Tidligere studier viser til et behov for ytterligere forskning på
dette området. En bransje som står for en stor andel av klimagassutslippene i Norge er bygg-,
anlegg-, og eiendomsbransjen. Denne masterutredningen vil derfor undersøke hvordan
Statsbygg, som en sentral aktør i denne bransjen, implementerer endringsprosesser for å nå
sine klimamål. Hensikten er å finne faktorer i endringsprosessen som er av betydning for
måloppnåelse. Teorigrunnlaget baserer seg på forskning om bærekraft og endringsteori,
herunder Kotters åttestegs modell for endring. Basert på teorien er det utarbeidet en
forskningsmodell. For å besvare problemstillingen er det benyttet en enkel casestudie av
Statsbygg, med analyse av semistrukturerte intervjuer og interne dokumenter.
Studien avdekker flere interessante funn. Utarbeidelsen av et helhetlig klimagassregnskap for
Statsbygg, med prognoser for fremtidige år, var viktig for å oppdage manglende progresjon
mot klimamålet. Dette bidro til å igangsette en endringsprosess for å snu utviklingen. Videre
finner vi at endringsagenter i en prosjektgruppe spiller en betydningsfull rolle for
endringsprosessen, blant annet gjennom bred, intern kommunikasjon i virksomheten. I tillegg
kan lover og krav bidra til å fjerne barrierer for gjennomføring av klimatiltak. Vi avdekker
også viktigheten av å benytte bærekraftsrapport som internt styringsverktøy, samt for intern
og ekstern kommunikasjon. Et annet funn er den nødvendige tilpasningen av Kotters
endringsmodell, ettersom det oppdages at to av trinnene har mindre betydning for
klimaarbeidet. Vi finner at det er mindre viktig for Statsbygg å selv etablere en følelse av at
endring haster og en visjon for endringen, fordi dette i stor grad kommer naturlig av
klimakrisen.
Utredningen viser at flere faktorer påvirker hvordan endringsprosesser i virksomheter bidrar
til oppnåelse av klimamål. Basert på teorigrunnlaget og de empiriske funnene, presenterer vi
en revidert forskningsmodell som bidrag til tidligere studier. Avslutningsvis gis det også
forslag til videre forskning.nhhma