NHH Brage (Norges Handelshøyskole)
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Nordic Corporate Spin-offs : An empirical study of long-term shareholder value creation through corporate spin-offs in the Nordic countries.
Get PDFThis thesis investigates the long-term shareholder value creation associated with Nordic
corporate spin-offs completed between 1996 and 2022. The Nordic region is fascinating,
as it is an under-researched area on this topic. Our sample consists of 77 Nordic spin-off
pairs. We examine abnormal returns up to 9 years post-spin-off. Additionally, we look at
possible factors that could explain the value creation.
We find that subsidiaries have significant positive long-term abnormal returns after
approximately 3 to 5 years post-spin-off. In contrast, parent companies exhibit no clear
pattern of value creation or destruction in the long term. The combined proforma portfolios
(a value-weighted portfolio of the subsidiary and the parent) indicate potential value
creation. However, the evidence could be more uniformly robust. Regarding different
factors that explain value creation, we find that subsidiaries listed in the same industry as
their parent companies yield significant long-term abnormal returns and perform better
than subsidiaries listed in a different industry. Additionally, we find that relatively large
subsidiaries, compared to their parents, tend to perform better than smaller ones.nhhma
Exploring The Possibilities of Investing in Artificial Intelligence : A comprehensive analysis of NQROBO index performance
Get PDFThis thesis investigates the potential of beating the market index for an investor by investing
in Artificial Intelligence (AI). We have analysed the performance of Nasdaq CTA Artificial
Intelligence & Robotics (NQROBO) from January 2018 to August 2023, comparing it to the
Nasdaq Composite (NASDAQ) and S&P 500. We have simulated the behaviour of an openminded
investor who uses simple prediction models to forecast returns. We have tried to make
this simulation as realistic as possible using minimal hindsight. Our thesis is based on three
analyses: a historical analysis evaluating NQROBO’s performance, a pseudo-out-of-sample
forecasting performance analysis exploring how an investor in real time utilising a forecasting
tool would perform, and lastly, an optimal relative weighting analysis of NQROBO, based on
the pseudo-out-of-sample analysis.
The historical analysis revealed that NQROBO outperformed the market from 2020 through
2022. It also uncovered that the Alpha was primarily positive from 2020 to early 2022, before
turning negative in 2022. The Beta was lower than the market until 2022 before increasing
sharply and stabilising at 1,1. Regarding the Fama French Factors, we identified the market as
a consistent driver for returns. HML, RMW and CMA fluctuating greatly, being mostly
negative, suggesting that NQROBO performs best when the market favours growth-oriented
firms with an aggressive investment strategy. Indicating that the index has the potential of
outperforming the market over certain periods if the market conditions are favourable.
Furthermore, the pseudo-out-of-sample forecasting performance analysis showed that
portfolios utilising Sharpe Ratio, RMSE and Hybrid RMSE weighting could outperform the
market, if rebalancing daily. Suggesting that potential gains of investing in NQROBO is short
lived. Lastly, our optimal relative weighting analysis of NQROBO’s shows that a highly
dynamic weight allocation that is rebalanced frequently is beneficial. Enabling the portfolio to
capture short-term gains and beating the market index over the period. The findings suggest
that investing in AI offer the potential of beating the market index if done flexibly.nhhma
Sailing into the Storm? Utilizing machine learning to predict defaults in the Norwegian shipping sector
Get PDFIn this thesis, we develop multi-year models to predict defaults in the Norwegian shipping
industry. Our primary objective is to create a model suited for Norwegian shipping companies
with high predictive accuracy of default. By incorporating shipping specific and macro
variables in the model we aim to better capture the dynamics of this highly volatile and
globally influenced industry. In the study we utilize two different machine learning techniques
and the more traditional logit method and investigate the difference in accuracy between them.
To further assess the performance of our model’s, we compare them with the SEBRA-model,
used by the Norwegian Central Bank to predict defaults of Norwegian companies. We base
our analysis on a dataset retrieved from the Norwegian Corporate Accounts which after
thorough cleaning contains 889 shipping companies whereof 19 are defaulted.
Our best performing model is the Random Forest, yielding an AUC of 87%, predicting defaults
one year in advance, a performance comparable to the original SEBRA-model. For predictions
two years prior, our AUC reduce to 76%. While the results from the other two models are
slightly inferior, they are both better than our replicated SEBRA-model. Further findings
indicate that oil price is the most important macro variable in our Random Forest model, a
variable neglected in earlier research. Our prediction model is intended to be used by investors,
banks, and other stakeholders involved in the Norwegian shipping industry. Although the
models yield a high AUC they are estimated on an imbalanced dataset with few defaults, and
this is a limitation which need to be considered when utilizing the models.nhhma
Liberty, Equality, Inheritance? An empirical study of inheritance’s impact on wealth inequality in Norway
Get PDFThe intention of this paper is to assess the short-term impacts of inheritance on wealth
inequality in Norway. I apply Norwegian population-wide individual-level data from 1994-
2013 to empirically estimate a direct mechanical - and a behaviour adjusted inheritance
effect on inequality.
I find a substantial reduction in relative inequality, caused by a broad lift in net wealth.
Despite the estimated equalising effect in relative terms, I find the absolute dispersion
concurrently increases. This apparent paradox arises from the fact that the wealthy heirs
inherit less relative to their initial net wealth, yet more in kroner.
When accounting for responses to inheritance, such as changes in investment -, saving
-, and consumption, I find a reduced effect in terms of the Gini coefficient. This can be
explained by that the less affluent consume a larger portion of their inheritance, and from
heterogeneous investing behaviour and returns on investment.
My results align well with findings from comparable studies, apart from effect sizes being
enlarged. However, after conducting various tests I discover that large parts of these size
differences stem from differences in the characteristics and quality of the applied data.
Finally, in the full-period analysis (1996-2013), I show that the effect of inheritance on
relative inequality is consistently equalising but declining over the years, while the picture
for the effect on absolute dispersion is much more complex. These observed trends might
be attributed to changes in the relative size of inheritances to net wealth, shifts in the
distributional characteristics of inheritances, and potential impacts of a gradually rising
economic inequality in Norway.nhhma
The Inflation Reduction Act’s Impact on the Future Cash Flow of Green Firms
Get PDFThe Inflation Reduction Act, representing the biggest step in U.S. climate policy, was a
major realization of transition risk. Following its announcement, equity analysts anticipate
significantly higher earnings for green firms over 3 to 5 years. This projection is primarily
attributed to anticipated sales growth rather than cost reductions. While earnings forecasts
adjust instantly, the impact on sales emerges with a two-month delay. Interestingly, these
earnings increases have not significantly altered stock recommendations. Our research
contributes to the understanding of green firm performance post-climate risk realization,
focusing on the influence of legislative changes on cash flow dynamics.nhhma
Decoding the Coded: Understanding the characteristics of the Norwegian software development sector and market
No full textThis thesis provides an in-depth analysis of the dynamic Norwegian software development market, which has undergone significant growth and structural evolution in recent years. It offers a comprehensive view of the market’s development, key characteristics, and future directions. The research encompasses a detailed review of the Norwegian software development sector, followed by a robust multi-method quantitative approach for an exploratory and inductive analysis, including descriptive statistics, regression analyses, and survey data. Key findings highlight the market’s substantial expansion, fragmentation, and the correlation between higher grossing, more profitable firms and their likelihood for market share growth and productivity. Interestingly, the relationship between R&D investment and expansion is complex and ambiguous. Survey results indicate trends towards diverse acquisition methods and the importance of innovation and emerging technologies in shaping the market’s future. This synthesis of insights offers a foundation for future research, emphasizing segment- and technology-specific studies and innovation strategies within the market. The thesis provides crucial insights into the Norwegian software development market’s growth, fragmentation, and the interplay between company characteristics and market dynamics, serving as a valuable resource for industry professionals and academic researchers in understanding evolving markets in a technologically advancing era.nhhma
ESG i krigens skygge: Hvordan påvirkes ESG-scores? En difference-in-differences studie av europeiske våpen-, olje- og gass- og fornybarselskaper etter invasjonen av Ukraina
Get PDFStudien har som formål å vurdere hvorvidt bærekraftsprestasjonene til europeiske selskaper innenfor våpen-, olje- og gass- og fornybarsektorene er blitt påvirket av krigen mellom Ukraina og Russland. Utvalget av sektorer tar utgangspunkt i konsekvensene krigen har hatt for energihandelen mellom Europa og Russland, samt et økt fokus på nasjonal sikkerhet. Som indikator for selskapenes bærekraftsprestasjoner, anvendes ESG-rammeverket. Dette rammeverket vurderer selskapenes prestasjoner innenfor tre pilarer: «environmental», «social» og «governance». På norsk refereres pilarene til som miljø-, sosiale- og forretningsmessige forhold. Basert på selskapenes bærekraftsprestasjoner innenfor pilarene utarbeider ratingbyråer en samlet ESG-score og tre pilarscores. Studiens datasett strekker seg fra 2020-2022. Datasettet består av ESG- og pilarscores for hvert selskap fra ratingbyråene Refinitiv Eikon, S&P Global og Bloomberg. Videre inneholder datasettet også finansielle og ikke-finansielle kontroll- og testvariabler.
Det er utarbeidet en hovedhypotese og tre underhypoteser. Formålet med hovedhypotesen er å analysere scoreendringene i de tre sektorene etter krigens utbrudd, sammenliknet med scoreendringene i det generelle europeiske markedet. Metoden Difference-in-Differences (DiD) blir anvendt for å utforske hovedhypotesen. Underhypotesene har som formål å undersøke hvorvidt faktorer som geografisk avstand fra krigen, fullstendig avslutning av russisk forretningsaktivitet og høy lønnsomhet har påvirket scoreutviklingen i de tre sektorene. For å svare ut underhypotesene benytter studien en utvidelse av DiD i form av triple difference.
Overordnet bekrefter analysen for hovedhypotesen at våpen- og olje- og gassektorene i gjennomsnitt har fått en statistisk signifikant scoreendring etter krigsutbruddet, sammenliknet med den gjennomsnittlige scoreendringen i markedet. Denne endringen gjør seg ikke gjeldene for fornybarsektoren. For underhypotesene var forventningen at faktorene avstand, forretningsaktivitet og lønnsomhet ville ha en positiv effekt på scoreendringene i forbindelse med krigsutbruddet. Dette kan bekreftes for lønnsomhetshypotesen, som indikerer at lønnsomhet har påvirket scoreutviklingen positivt. Verken geografisk avstand fra krigen eller fullstendig avslutning av russisk forretningsvirksomhet har en statistisk signifikant effekt på sektorscorene. Samlet sett supplerer studien tidligere forskning og bidrar med innsikt i hvordan eksterne sjokk påvirker ESG-profilen til europeiske våpen-, olje- og gass- og fornybarselskap.nhhma
Auditor choice in the voluntary sector: The case of smaller organizations
Get PDFSmaller organizations are less likely than larger organizations to engage a high-quality auditor to signal credibility to potential donors, but they may still have incentives to engage a high-quality auditor (for instance, to protect themselves from a potential reputational loss). In this context, we find that fundraising voluntary organizations, which are particularly likely to be exposed to reputational concerns, because a poor reputation may have a direct negative impact on fundraising, are more likely to engage a high-quality auditor than are other voluntary organizations. Additional analysis reveals that fundraisers are more likely to engage a Big 4 auditor than an industry specialist; this suggests that the motivation for engaging a high-quality auditor may be to use the auditor as a scapegoat rather than to ensure superior knowledge and advice. We find that debt ratio, organizational complexity, size and financial health are also drivers of auditor choice in small, voluntary organizations.Auditor choice in the voluntary sector: The case of smaller organizationsacceptedVersio
Optimizing Charging Strategies for Electric Vehicle Owners: A Comparison of Charging Strategies to Schedule Optimal Home Charging
Get PDFThe rapid growth in the Norwegian electric vehicle market has put Norway in a unique
position as the leading country in electric vehicle adoption. With few challenges in the
establishment of charging infrastructure, most electric vehicle owners will at some point
charge their vehicle at home. The charging process of the vehicles can utilize business
analytics to schedule the charging to optimize the desired objectives.
In this thesis, we performed a comparison of charging strategies for electric vehicle owners
to schedule optimal charging at home. The charging strategies differ in the time periods of
charging and are based on the charging behavior of electric vehicle owners in Norway. In
order to compare the strategies, we developed a linear programming model that minimizes
the charging cost. The spot prices of electricity for 2021 was retrieved as the thesis is
conducted in a retrospective manner.
The thesis finds that the flexible night strategy would have experienced the lowest annual
charging cost of 1935.36 NOK. In addition, we find the most costly annual charging cost
of 2584.01 NOK associated with the forced afternoon strategy. This is a cost increase of
approximately 34% compared to the strategy with the lowest annual cost. The results
imply that the flexible strategies which can charge at any hour during the day choose to
charge the most at night.
This thesis further investigates how the charging costs would be affected if the new network
tariff model, to be implemented on July l, 2022, was implemented in 2021. The results
show that the new network tariffwould lead to an increase in the variable charging cost for
the strategies charging in the afternoon. In contrast, the results imply that the strategies
utilizing the off-peak hours of electricity would have experienced a decrease in the variable
cost. Lastly, adjustments in the battery capacity and driving range of the electric vehicle
were made to investigate the cost effect on the strategies. The results show a decrease in
the charging cost as the range increases. The most considerable cost reduction is seen
when the range increases from 200 km to 300 km for all the charging strategies.nhhma
Social Sustainability and Cost Competitiveness – beyond ‘winwins’? A Case Study of Facilitation-based Productivity Intervention in the Pakistani Garment Industry
Get PDFThis thesis explores how a facilitation-based productivity intervention created by the
International Labour Organization (ILO) might play a role in handling tensions between
demands for social and environmental sustainability and cost competitiveness. This
intervention is called Factory Improvement Toolset (FIT), and ILO is currently piloting FIT
in the Pakistani garment industry. The purpose of this pilot is to improve productivity and
working conditions by upgrading production systems and factory practices through a
facilitation-based approach.
This study finds that codes of conduct and in-factory audits are ineffective tools to overcome
tensions, whereas facilitation-based productivity interventions have the potential to assist
factories in bringing attention to economic and social concerns simultaneously, and through
this handle tensions. Drawing on a longitudinal, mixed-method case study, I present an
empirical model which illustrates how the facilitation-based productivity intervention FIT
impacts employee engagement and blurs boundaries between hierarchical levels in the factory.
The model highlights three main elements of facilitation that are important for successful
results: ensuring psychological safety, having context-adapted material, and using an activitybased
approach, while also considering potential barriers to success.
The FIT provides a platform for the factories to increase productivity and improve working
conditions through simple and non-costly initiatives deriving from workers’ first-hand
knowledge about factory processes. Consequently, this study provides empirical evidence that
the use of facilitation has considerable advantages in handling tensions between social
sustainability and cost competitiveness that have not yet been recognized within the current
literature.
My findings suggest that international brands should re-evaluate their adherence to code of
conducts and audits, moving past the search for so-called ‘win-win’ solutions aiming to
reconcile social and economic goals by bypassing tensions. Rather, brands can benefit from
supporting the rollout of facilitation-based productivity interventions and establishing
platforms for the exploration and handling of tensions within the factories. This study also has
practical implications for managers of manufacturing firms, as well as development agencies
professionals, as it proposes a facilitation-based productivity intervention as a new strategy
for the development of supplier units and improving the working environment.nhhma