NHH Brage (Norges Handelshøyskole)
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When Ethics Clash with Cash: The Sin Stock Dilemma
Full text linkIn this thesis, we study the performance of sin stocks in the European market over the period from 2004 to 2024. Sin stocks are defined as equities of companies operating in traditionally controversial industries, specifically alcohol, tobacco, and gambling. We also extend our analysis to include weapon and defence stocks, motivated by their paradoxical role in profiting from conflict while serving national security interests, a dynamic highlighted by the Russia-Ukraine war. To analyse the performance of sin stocks, we employ time-series regressions using CAPM and Fama-French factor models. We examine both excess returns over the risk-free rate and implement a long-short strategy comparing sin stocks against their industry comparables.
Our findings demonstrate that European sin stocks have historically generated statistically significant abnormal returns over the period from 2004 to 2024. This suggests that investors holding sin stock portfolios have been compensated with returns exceeding those predicted by traditional asset pricing models. While sin stocks achieved higher cumulative returns than their comparable companies over the period, this outperformance is not statistically significant after adjusting for risk factors. These results imply that socially responsible investors could have replicated the strong returns of sin stocks by exposing their portfolio to certain risk factors. Ultimately, our findings suggest that investors do not need to compromise their ethical standards to achieve strong returns, as the return differential cannot be attributed to a distinct "sin premium".In this thesis, we study the performance of sin stocks in the European market over the period from 2004 to 2024. Sin stocks are defined as equities of companies operating in traditionally controversial industries, specifically alcohol, tobacco, and gambling. We also extend our analysis to include weapon and defence stocks, motivated by their paradoxical role in profiting from conflict while serving national security interests, a dynamic highlighted by the Russia-Ukraine war. To analyse the performance of sin stocks, we employ time-series regressions using CAPM and Fama-French factor models. We examine both excess returns over the risk-free rate and implement a long-short strategy comparing sin stocks against their industry comparables.
Our findings demonstrate that European sin stocks have historically generated statistically significant abnormal returns over the period from 2004 to 2024. This suggests that investors holding sin stock portfolios have been compensated with returns exceeding those predicted by traditional asset pricing models. While sin stocks achieved higher cumulative returns than their comparable companies over the period, this outperformance is not statistically significant after adjusting for risk factors. These results imply that socially responsible investors could have replicated the strong returns of sin stocks by exposing their portfolio to certain risk factors. Ultimately, our findings suggest that investors do not need to compromise their ethical standards to achieve strong returns, as the return differential cannot be attributed to a distinct "sin premium"
Claudia Goldin: Nobel Laureate 2023 and Her Impact on Understanding Women’s Position in the Labour Market
Full text linkOn 9 October 2023, Claudia Goldin was announced as winner of the 2023 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel. It can certainly be said that many had long awaited the recognition of her research on women and inequality in labour markets. Goldin is a labour economist and economic historian who has shed new light on economic questions related to gender equality, particularly through historical data. This article summarises some of her major contributions to our understanding of the labour market behaviour of women and gender inequality
The Reliability of ESG Disclosures as Indicators of Environmental Performance - A Machine Learning Approach to the Analysis of ESG Reports and Carbon Intensity in the Steel Industry
Full text linkThis thesis examines the relationship between ESG reporting and actual environmental performance in the steel industry, focusing on Scope 1 carbon intensity. Using natural language processing, we developed an Environmental Index to quantify the content of ESG reports and performed sentiment analysis to evaluate their tone. The Environmental Index did not significantly correlate with carbon intensity. This lack of a significant correlation may stem from three possible factors: limitations in the methodology used to construct the index, inaccuracies or misrepresentations in corporate ESG disclosures, or errors in third-party carbon intensity data. However, sentiment analysis revealed that a positive tone in reports was associated with lower carbon intensity, particularly in annual and integrated reports.
The study also finds that companies publishing standalone ESG reports often have higher carbon intensity. Similarly, firms emphasizing renewable energy were also found to have higher carbon intensity. This suggests that some companies may strategically use ESG reporting to influence stakeholder perceptions. These findings suggest a gap between ESG disclosures and actual emissions, raising concerns about the credibility of such reports
The Transition to Energy-Efficient Housing
No full textThis thesis examines how the transition to energy-efficient housing affects households’ monthly financial return and the risk factors for financial institutions. To analyze this, we calculated the monthly return on investment for four different upgrade scenarios, with the first two being relevant for achieving the 2030 targets. Our findings suggest that 44 percent of Norwegian houses are at risk of not meeting the possible energy efficiency requirements, falling into the two lowest energy ratings (F and G). We also find that under current interest rates and energy prices, all four scenarios yield a negative monthly return on investment on average for households. Furthermore, the results show that energy prices and interest rates significantly impact households’ monthly liquidity, and for these investments to become profitable, interest rates would need to decrease or energy prices increase. In addition, we find a correlation between low-income households and homes with the lowest energy ratings, which highlights inequalities across the income distribution. As a result, these households are likely to face significant increases in monthly expenses if required to meet the energy efficiency targets. Securing financing from banks for these investments may also be a challenge for low-income households, potentially widening existing inequalities. Our findings show that financing all investments through additional loans would result in a 13 percent increase in the total lending volume in Norway, thereby driving up credit demand. Banks therefore play an important role in supporting Norwegian households in this transition. The rise in credit demand, combined with the increase in monthly costs, could increase the risk associated with mortgages. Although the impact of the transition on financial stability remains uncertain, it could weaken banks’ profitability and their capacity to issue new loans. Green loans may play an important role in mitigating these risks by enabling households to meet the energy efficiency requirements, reducing financial risks for institutions, and contributing to achieving the 2030 climate targets
Perceptions and engagement in circular and closed-loop models
Full text linkIn this thesis we have examined consumer perceptions and engagement with sustainability initiatives in the Norwegian grocery sector. We have focused on the 3Rs - Reduce, Reuse, and Recycle, and the role of mobile marketing in enhancing these practices. Building on theories of circular and closed-loop supply chains, the research bridges academic literature, market trends, and respondent insights to address the challenges and opportunities in facilitating sustainable engagement.
Through a qualitative methodology, the research highlights significant gaps between our theoretical frameworks and practical realities in relation to circular and closed-loop models. While consumers demonstrate varied perception of certain sustainability measures, challenges like unclear communication, limited available/visible initiatives, and financial barriers restrict broader engagement. Consequently, the findings reveal that clear communication, increased availability/visibility, and financial incentives are critical for driving participation in sustainable practices. Mobile marketing emerges as a key platform, offering opportunities to provide reminders, personalized content, and in-app incentives that can influence consumer perceptions and engagement, therefore integrating sustainability into shopping behavior.
The thesis concludes with actionable recommendations for grocery stores to enhance the adoption of circular and closed-loop models. These include leveraging mobile platforms to communicate sustainability initiatives, expanding the availability and visibility of sustainable options, and implementing financial incentives. By addressing these areas, the Norwegian grocery industry can align consumer perceptions with sustainable engagement.In this thesis we have examined consumer perceptions and engagement with sustainability initiatives in the Norwegian grocery sector. We have focused on the 3Rs - Reduce, Reuse, and Recycle, and the role of mobile marketing in enhancing these practices. Building on theories of circular and closed-loop supply chains, the research bridges academic literature, market trends, and respondent insights to address the challenges and opportunities in facilitating sustainable engagement.
Through a qualitative methodology, the research highlights significant gaps between our theoretical frameworks and practical realities in relation to circular and closed-loop models. While consumers demonstrate varied perception of certain sustainability measures, challenges like unclear communication, limited available/visible initiatives, and financial barriers restrict broader engagement. Consequently, the findings reveal that clear communication, increased availability/visibility, and financial incentives are critical for driving participation in sustainable practices. Mobile marketing emerges as a key platform, offering opportunities to provide reminders, personalized content, and in-app incentives that can influence consumer perceptions and engagement, therefore integrating sustainability into shopping behavior.
The thesis concludes with actionable recommendations for grocery stores to enhance the adoption of circular and closed-loop models. These include leveraging mobile platforms to communicate sustainability initiatives, expanding the availability and visibility of sustainable options, and implementing financial incentives. By addressing these areas, the Norwegian grocery industry can align consumer perceptions with sustainable engagement
Profesjonell skepsis og risikobevissthet i revisjon: Hvordan påvirker revisjonsmetoden revisors vurdering?
Full text linkRevisjonsprofesjonen er i stadig utvikling, med økt digitalisering og flere muligheter for fjernarbeid. Pandemien akselererte denne utviklingen, da fjernarbeid ble en nødvendig løsning for å gjennomføre revisjoner. I denne studien undersøkes det hvordan tradisjonell revisjon og fjernrevisjon påvirker revisors profesjonelle skepsis i vurderingen av revisjonsbevis. I tillegg utforskes hvilken rolle risikobevissthet i form av tellefeil, kan ha innvirkning på dette forholdet. Studien søker å besvare problemstillingen: «Vil bruk av fjernrevisjon påvirke revisors profesjonelle skepsis ved vurdering av revisjonsbevis, og hvordan vil risikobevissthet påvirke forholdet?».
For å belyse problemstillingen ble det gjennomført et eksperiment hvor deltakerne ble delt inn i fire grupper med ulike betingelser: tradisjonell revisjon, tradisjonell revisjon med risikomoment, fjernrevisjon og fjernrevisjon med risikomoment. Hensikten er å undersøke hvordan revisjonsmetode og risikobevissthet påvirker profesjonell skepsis. Den eksperimentelle tilnærmingen muliggjør kontroll over variablene og ga en strukturert analyse rundt effekten av revisjonsmetode og risiko.
Resultatene i eksperimentet tenderer mot at fjernrevisjon påvirker revisors profesjonelle skepsis i større grad enn tradisjonell revisjon. Det statistiske grunnlaget konkluderer imidlertid ikke med dette. Videre indikerer funnene at fjernrevisjon med risikobevissthet gir et signifikant høyere skepsisnivå, sammenlignet med fjernrevisjon uten risiko. Det er imidlertid ikke grunnlag for å påstå at risiko har en modererende effekt på forholdet mellom de ulike revisjonsmetodene og profesjonell skepsis som helhet, da det ikke foreligger nok statistisk styrke.
Studien konkluderer med at fjernrevisjon kan være et effektivt alternativ til tradisjonell revisjon under visse betingelser, men at bevisstgjøring om risikofaktorer kan spille en viktig rolle for å oppnå optimal revisjonskvalitet.The auditing profession is constantly evolving, with increasing digitalization and more opportunities for remote work. The pandemic accelerated this development, as remote work became a necessary solution for conducting audits. This study examines how traditional auditing and remote auditing influence auditors' professional skepticism when assessing audit evidence. The study explores the role of risk awareness, in the form of counting errors, and its impact on this relationship. The study aims to answer the research question: "Will the use of remote auditing affect auditors' professional skepticism when assessing audit evidence, and how will risk awareness influence this relationship?"
To address this question, an experiment was conducted in which participants were divided into four groups with different conditions: traditional auditing, traditional auditing with a risk element, remote auditing, and remote auditing with a risk element. The purpose was to investigate how the audit method and risk awareness influence professional skepticism. The experimental approach enabled control over variables and provided a structured analysis of the effects of audit method and risk.
The results of the experiment suggest that remote auditing has a greater impact on auditors' professional skepticism than traditional auditing. However, the statistical basis does not support a conclusive determination of this effect. The findings indicate that remote auditing combined with risk awareness results in significantly higher levels of skepticism compared to remote auditing without a risk element. There is insufficient evidence to claim that risk has a moderating effect on the relationship between the different audit methods and professional skepticism as a whole, due to a lack of statistical power.
The study concludes that remote auditing can be an effective alternative to traditional auditing under certain conditions, but raising awareness of risk factors may play an important role in achieving optimal audit quality
The Impact of Contractionary Monetary Policy on the Norwegian Stock Market
Full text linkThis study employs Vector Autoregressive (VAR) models to investigate the impact of contractionary monetary policy shocks on the Norwegian stock market. The analysis is conducted for two distinct models: a baseline model (2006-2024), and a post-COVID-19 model (2020-2024).
Impulse response functions and variance decomposition analysis are employed to examine the dynamic impact of monetary policy shocks on stock prices and other macroeconomic variables. Consistent with theoretical expectations and previous empirical evidence, the baseline model indicates a statistically significant negative response of stock prices to contractionary monetary policy shocks. A 1 percent increase in the NIBOR rate results in a 0.6 percent decline in stock prices. Conversely, the post-COVID-19 model suggests no statistical significance impact of contractionary monetary policy shocks on Norwegian stock prices, suggesting a potential shift in the transmission mechanism of monetary policy during periods of financial instability. Furthermore, variance decomposition analysis highlights a strong interdependence between monetary policy and stock prices, suggesting that central banks may consider stock prices as a leading indicator of economic activity and inflationary pressures.
This study contributes to the literature on monetary policy transmission in small open economies by examining the impact of monetary policy on stock markets, particularly during periods of economic and financial stress, as well as periods of low and stable inflation
Hvordan påvirket oljeprisen de skandinaviske børsene i perioden 2019–2024? : En empirisk studie av skandinaviske børser
Full text linkOppgaven undersøker hvordan endringer i oljeprisen påvirket de skandinaviske aksjemarkedene i perioden 2019–2024. Studien tar utgangspunkt i oljeprisens betydning, som spesielt i Norge er en sentral økonomisk variabel. Videre undersøker studien hvordan eksterne sjokk, som Covid-19-pandemien og Russlands invasjon av Ukraina, påvirket oljeprisen og bidro til svingninger i markedene. Hovedfokuset er på totalindeksene og sektorbaserte forskjeller, med spesiell oppmerksomhet rettet mot energisektoren som blir representert av energiindeksen.
Studien anvender en kvantitativ tilnærming basert på Difference-in-Differences-metoden. Metoden blir brukt for å identifisere kausale sammenhenger mellom oljeprissjokk og utviklingen i aksjemarkedene. Dataene består av tidsserier fra relevante indekser, som Oslo Børs (OSEAX), Københavns Fondsbørs (OMXCPI) og Stockholmsbörsen (OMXSPI), som representerer de samlede aksjemarkedene i hvert land. Analysen er delt inn i tre perioder: før Covid-19-pandemien, under pandemien og etter Russlands invasjon av Ukraina. Med denne inndelingen kan vi undersøke både kortsiktige og langsiktige effekter av globale kriser.
Resultatene viser at totalindeksen i Norge blir betydelig mer påvirket av svingninger i oljeprisen sammenlignet med totalindeksene i Danmark og Sverige. Dette skyldes Norges totalindeks’ sterke avhengighet av energisektoren. Videre viser analysen at Covid-19-pandemien førte til en kraftig nedgang i aksjemarkedene i alle tre landene, med Norge som hardest rammet. Etter Russlands invasjon av Ukraina opplevde aksjemarkedene en oppgang. Oppgangen i Norge var sterkt drevet av energisektorens økning, som reflekterte økt global etterspørsel etter energi samt økt geopolitisk uro. I Skandinavia var økningen i Danmarks totalindeks størst, mens Sveriges totalindeks hadde den minste økningen.
Oppgaven konkluderer med at oljeprisen har en differensiert effekt på de skandinaviske aksjemarkedene, der Norges aksjemarked er mest følsom. For Danmark og Sverige er effekten av oljeprissjokkene mer dempet, noe som kan skyldes deres mindre avhengighet av energisektoren sammenlignet med Norge. Studien fremhever betydningen av å forstå hvordan globale kriser påvirker ulike aksjemarkeder. Funnene kan gi nyttige innsikter for beslutningstakere og andre interessenter, spesielt i vurdering av risiko knyttet til fremtidige sjokk
The Impact of ESG on Cost of Capital for Large European Corporations
Full text linkThis study seeks to understand the relationships between ESG and the cost of capital of large European firms. By analysing ESG scores from LSEG Data & Analytics (formerly Refinitiv) together with financial data from Compustat we intend to answer whether ESG impacts cost of capital for the firms included in the STOXX Europe 600 Index for the timespan from January 2018 to December 2023. From an initial sample of 600 companies and 3600 observations on the three pillars incorporated in ESG, we run OLS regressions on individual companies under control variables such as Return on Assets, Book-to-Market ratio, Debt-to-Assets, Debt Delta, Capital Expenditure and Operational Expenditure.
Secondly, we divide our sample into quartiles based on ESG scores and investigate whether there are differences between the full sample and each quartile. We find that both cost of debt and cost of equity are vaguely affected by the change in ESG scores. High ESG performers provide results that indicates a marginal decrease in the cost of capital on an overall basis. This is only an indication as our results do not hold any statistical significance.
To ensure robustness, we apply Total Assets as a proxy for SIZE and excludes this variable in order from the lowest to the highest quartile and investigate if the interactions between ESG quartiles and SIZE varies across the different levels. This methodology yields leverage to the assumption that larger companies get results that indicate lower cost of debt, whilst an increase in cost of equity. As for the smaller companies, our results indicate no significant changes in cost of debt, and a significant decrease in cost of equity. I.e. would smaller companies have greater benefit of increasing their ESG score.
In conclusiveness, our main assumption that higher ESG performance yields lower cost of capital is backed by our findings, but with significance to varying degrees we are not able to conclude with an overall statistical significance
Radiating Rationality or Sinking Sense? A system-LCOE analysis of SMR and floating offshore wind
Full text linkThis paper provides a comparative analysis of the system-levelized cost of electricity (sLCOE) for small modular nuclear reactors (SMRs) and floating offshore wind energy in Norway. Traditional LCOE metrics fail to account for the integration costs—such as balancing, grid reinforcements, and profile effects—induced by variable renewable energy (VRE) sources. To address this, our work employs sLCOE, a more holistic measure that captures all relevant costs associated with generating energy in the power mix. Using a scenario-based approach, we vary key parameters including construction costs, construction time, weighted average cost of capital (WACC), capacity factors, fuel costs and operational expenditures. Across a wide range of plausible conditions, SMRs consistently exhibit significantly lower sLCOE than floating offshore wind, often by a margin of 50–100 øre/kWh. Even under unfavorable assumptions—such as substantial cost overruns coupled with extended construction durations, higher-than-expected fuel and O&M expenses—the cost of SMRs remains below the lower-bound estimates for offshore wind. These findings challenge prevailing policy directions, which heavily subsidize expensive, intermittent technologies. By revealing the economic advantages of dispatchable, low-carbon SMRs, this research suggests that policymakers could achieve greater cost-effectiveness and energy security while meeting climate targets, by considering SMRs as part of Norway’s future energy portfolio