Browsing Institutt for industriell økonomi og teknologiledelse by Author "Belsom, Einar"
Now showing items 21-40 of 57
-
Dynamics of Capital Flows and Performance in the Norwegian Mutual Fund Market
Istre, Anders Stausland; Tjørve, Andreas (Master thesis, 2019)Ved å bruke fire risikoprisingsmodeller, fire mål for kapitalflyt og tre spesifikasjoner for tidsvarierende alfa undersøker vi flere aspekter ved sammenhengen mellom kapitalflyt og risikojustert avkastning for norske ... -
Dynamics of Debt Structure and Credit Ratings
Galta, Morten; Sæthre, Anders Ruud (Master thesis, 2013)Using a comprehensive dataset comprising 1 863 unique U.S. firms as well as 100unique Norwegian companies in the period 2006 - 2011, we examine the dynamicsbetween corporate debt structure and credit ratings. We address ... -
Equity Risk Premium Estimation Models: A study of the effects of trading liquidity on traditional asset pricing models
Bertheussen, Andreas (Master thesis, 2011)I ask whether added liquidity factors improve the ability of the Sharp-Lintner CAPM and the Fama French three-factor model to explain asset returns, ex-post, in the Norwegian stock market. Through cross-sectional and ... -
Executive Incentives and Capital Structure
Birkeland, Mariell Kversøy; Eriksen, Ane Eidem; Ueland, Ellen (Master thesis, 2011)Through a dynamic panel data analysis of a sample of Nordic firms we investigate how executives stock and option incentives influence the choice of capital structure. In addition, we look at how equity ownership by a large ... -
Executive Incentives, Capital Structure, and Risk
Bognæs, Tor Erlend (Master thesis, 2021)Formålet med denne masteroppgaven er å studere relasjonen mellom lederinsentiver, kapitalstruktur og risiko. Selv om en betydelig mengde tidligere forskning har blitt gjort på disse områdene er det gjort relativt få studier ... -
Executive Stock Option Plans - The Effects of a Change to Nontraditional Options
Vik, Trond Espedokken (Master thesis, 2015)In order to study the value and incentive effects of indexed, Asian and indexed Asian options in practice I use hand-collected compensation and assumption data to give a realistic representation of how the nontraditional ... -
Forecasting CDS Spreads Using Deep Learning: A Multivariate LSTM Approach
Fredborg, Erlend Prydz; Hoel, Andreas (Master thesis, 2023)I denne studien kombineres makroøkonomiske og selskapsspesifikke variabler med dyp læring for å forbedre prediksjonen av credit default swap (CDS) spreads 7 dager frem i tid. Basert på CDS-spread-determinanter hentet fra ... -
Hedge Fund Manager-Investor Conflicts of Interest: A Numerical Analysis with Loss-Aversion
Asheim, Frederic André (Master thesis, 2014)This thesis investigates the dynamically optimal risk-taking by a loss-averse hedge fund manager who also takes the possibility of fund liquidation into account. To achieve this, a custom version of the Prospect Theory ... -
Incentive Fee Fund Performance Evaluation and Multi-Dimensional Risk Classification using Self-Organizing Maps
Lyngedal, Magnus; Pedersen, Ludvig (Master thesis, 2020)Vi undersøker prestasjon og kartlegger måten aksjefond med resultatbasert forvaltningsgodtgjørelse som er registrerte på Oslo Børs i perioden 2000-2018 tar risiko på. Vi kartlegger risikoegenskaper ved et selvorganiserende ... -
Investor Behavior in the Norwegian Equity Market
Arild, Elinor; Haave, Ann Iren (Master thesis, 2014)We examine investor behavior in the Norwegian equity market by studying two behavioral finance phenomena: The Disposition Effect and Herd behavior. Both utilize market data from Oslo Stock Exchange. This thesis will ... -
Managerial Risk Profile in Hedge Funds with Multiple High-Water Marks - Numerical Modelling and Fund Structure Analysis
Scheel, Christian Fredrik; Herud, Thomas Alexander; Rime, Eirik Frøyland (Master thesis, 2015)We investigate a hedge fund manager's risk-taking profile and evaluate how fund composition and multiple evaluation periods affect risk-levels. The fund composition refers to the specific characteristics that result from ... -
Market Timing on Oslo Stock Exchange: A Two-dimensional Analysis of Long-term Abnormal Stock Price Performance Following Equity Issues
Holom, Erik Hiller (Master thesis, 2013)I analyze the time-variation of long-term risk-adjusted abnormal stock price underperformances following equity issues on Oslo Stock Exchange between 1997 and 2011. Market timing effects are analyzed within a two dimensional ... -
Misalignment between CEO's and shareholders' capital structure preferences in different compensation contracts - A stochastic dynamic programming approach
Borge, Philip; Brodin, Karolina Agneta; Hartvedt, Kari Elisabeth Eide (Master thesis, 2020)Vi undersøker problemer i avtaleforhold mellom risikonøytrale aksjonærer og en risikoavers administrerende direktør (adm. direktør) i et prinsipal-agent rammeverk. Vi undersøker hvordan aksjebasert avlønning, for eksempel ... -
Optimal Capital Structure in Depository Financial Institutions - A Dynamic Programming Approach
Sandbu, Andreas Davies; Braathen, Christian; Solbakk, Fredrik (Master thesis, 2015)We formulate a stochastic optimal control problem for the capital structure of depository financial institutions (DFIs), where the market value of equity is maximized in a dividend discount framework. The key objective is ... -
Optimal Equity Based Incentives: A Norwegian Perspective
Manoharan, Visnu (Master thesis, 2012)We analyze optimal executive compensation in a principal agent framework using two sample firms from the Norwegian market, design and solve a bi-level principal agent optimization problem. Our analysis reports three important ... -
Optimal Executive Incentives in a Principal Agent Framework: The Effects of Risk Aversion Modelling Choices
Kløve, Birgit; Valholm, Stian Strande (Master thesis, 2011)In order to determine the structure of the optimal CEO contract, we create a principal agent model and implement it on a sample of Norwegian firms. The model takes account of executives loss‐ and risk‐aversion and the ... -
Persistence of Microcredit Market Phases
Dahl, Anders (Master thesis, 2011)I formulate a phase theory of microcredit market dynamics. The theory is developed and validated using an in-depth multiple case study examining three mature microfinance markets: Bolivia, Bosnia and Herzegovina, and ... -
Predicting credit spreads in the Norwegian Corporate Bonds Market
Eskerud, Harald (Master thesis, 2017)I implement a structural model of credit risk to estimate observed market bond prices and spreads. -
Priced Liquidity Risk Factors at the Oslo Stock Exchange
Morken, Maria Aamlid; Jerkø, Marte (Master thesis, 2012)We examine how liquidity risk influences stock returns at the Oslo Stock Exchange by investigating if differences between returns are related to liquidity, and how liquidity should be measured. A wide range of distinct ... -
Pricing Contingent Convertible Capital: An Empirical Approach
Veiteberg, Vegard Gullaksen; Bysveen, Fredrik Toft; Rosef, Bård Haugland (Master thesis, 2012)This thesis develops a novel empirical approach to price contingent convertible bonds (CoCos) with a Core Tier 1 (CT1) ratio trigger. Existing models on CoCo pricing all develop a process linking a proxy of the trigger ...