Blar i Institutt for industriell økonomi og teknologiledelse på forfatter "Belsom, Einar"
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Pricing Credit Value Adjustment for Interest Rate Swaps under the Cheyette model - A Least-Squares Monte Carlo approach
Devold, Vegard Lofthus; Sæbø, Eyvind Thommesen; Aadland, Aadne Ravndal (Master thesis, 2015)In this thesis we consider two alternatives to the Brute Force approach for credit value adjustment (CVA) calculations for interest rate swaps. Both methods, the \textit{Proxy approach} as well as the \textit{CVA Notional} ... -
Probabilistic forecasting of the equity risk premium using quantile machine learning
Netland, Elisabeth Skåland; Sveen, Håkon Melgård; Baksjøberget, Ulrik Leinan (Master thesis, 2022)Vi predikerer sannsynlighetsfordelingen til risikopremien i aksjemarkedet (ERP) ved hjelp av de trebaserte maskinlæringsalgoritmene quantile random forest (QRF) og quantile gradient boosting (QGB). For å trene algoritmene ... -
Risk and Return Effects of Executive Stock Options
Kjærnsli, Henrik; Hestmo, Sindre (Master thesis, 2021)Denne masteroppgaven består av to separate artikler. De to artiklene bruker ulike tilnærminger til å analysere sammenhengen mellom bruken av aksjeopsjoner til toppledere og ulike deler av selskapsprestasjoner. I den første ... -
Simulating Dynamic Pricing Algorithm Performance in Heterogeneous Markets
Hilsen, Hans Olav Østbø (Master thesis, 2016)This thesis investigates how sellers in e-commerce can maximize revenue by utilizing dynamic pricing decisions by machine learning algorithms in a market consisting of multiple learning agents and a heterogeneous consumer ... -
Stock Price Performance Following Equity Offerings at Oslo Stock Exchange: Is Investing in SEO Companies Hazardous to Your Wealth?
Grieg, Benedicte Willumsen (Master thesis, 2012)I examine the stock price performance following a seasoned equity offering at Oslo Stock Exchange. Through an empirical analysis I find that the existence of a negative announcement effect associated with issuing seasoned ... -
Superior Executive Incentives for Mergers and Acquisitions
Amland, Anne Helene Høvik; Line, Matilda (Master thesis, 2011)Using an event study approach on a sample of 72 acquisitions by Norwegian listed firms we study the effect of CEO stock and options based incentives on abnormal return and risk change associated with M&A activity. Our focus ... -
Systematiske risikofaktorer på Oslo Børs - En evaluering med globale og lokale referansefaktorer for marked og industrisektorer
Jeyakaran, Piratheepan (Master thesis, 2020)Jeg analyserer avkastningsmønster knyttet til aksjeselskapers størrelse, verdi, lønnsomhet, investeringer, momentum, likviditet og beta i det norske aksjemarkedet. Risikofaktorer har blitt konstruert med tilgjengelig data ... -
Technical Efficiency and Productivity in Incentive Systems
Gundersen, Gaute Bjørklund (Master thesis, 2011)In this thesis I evaluate technical efficiency and productivity for use in performance evaluation in incentive systems. In light of agency theory and the organizational context, these techniques have several promising ... -
The Impact of Frequent Flier Programs on Ticket Fares in the Norwegian Domestic Airline Market using a Multiple Linear Regression Model
Madsen, Marianne (Master thesis, 2018)I investigate how the presence of frequent flyer programs (FFP), in addition to other micro- and macroeconomic variables, influence the ticket fare prices in the Norwegian domestic airline market. The period of investigation, ... -
The Merger Endgame in the Aluminum and Paper industries: Opportunities for Norsk Hydro and Norske Skog
Bakken, Jørgen (Master thesis, 2011)The development of the Aluminum and Paper industry is assessed by A.T. Kearney s Merger Endgame framework. The implications for Norsk Hydro and Norske Skog are also addressed along with value creation opportunities for the ... -
The Relationship Between CEO Power and Compensation - An Empirical Analysis of Norwegian Listed Firms
Melsom, Magnus Lund (Master thesis, 2016)By using general estimation equations (GEE) on a sample of the biggest firms on Oslo Stock Exchange, the managerial power hypothesis is tested in a Norwegian context. The sample spans over 5 years and consist of 112 complete ... -
The Structural Features and Performance of Special-Purpose Acquisition Companies
Hjelle, Sjur Berild; Billington, Pål Anders; Vendrig, Theodor Seglem (Master thesis, 2013)Special-purpose acquisition companies (SPACs) are publicly held investment funds with no operations of their own but a pool of capital that is set up to acquire or merge with an operating business. Using a sample of 115 ... -
Understanding Macroeconomic Drivers of Firm Value Multiple Aggregates
Rystad, Gard; Lenngren, Carl Gustaf (Master thesis, 2018)Abstract: We study aggregates of corporate value using a method largely unexplored in the literature: valuation multiples. Possibilities illuminated by the valuation multiple perspective are examined using conventional and ... -
Understanding Macroeconomic Drivers of Firm Value Multiple Aggregates
Rystad, Gard; Lenngren, Carl Gustaf (Master thesis, 2018)Me analyserer aggregert prising av verksemder med hjelp av ein lite nytta framgangsmåte mellom forskarar innanfor finans: verdsetjingsmultiplar. Multippelvinklinga gjev høve til å skjøna og å føreseia samanhengen mellom ... -
Utilizing Machine Learning to Predict Norwegian Takeover Targets and Leverage on Their Abnormal Returns
Lenngren, Max; Sandve, Jørgen Nilsen (Master thesis, 2023)Vi undersøker om en kan bruke maskinglæringsmodeller til å finne karakteristikker ved Norske oppkjøpskandidater, predikere disse oppkjøpene og tilslutt sette sammen en portefølje bestående av predikerte oppkjøpskandidater ... -
Value Creation through Mergers and Acquisitions: A Case Study of the AF Group
Solberg, Lina Marie (Master thesis, 2013)This thesis is a study of five acquisitions undertaken by the AF Group (AF) between 2000 and 2010, seeking to determine if and how the acquisitions have created for AF. This thesis also investigates the use of earlier ... -
Volatility Timing in Corporate Bond Funds: Prevalence, Persistence and Performance
Hansen, Espen Marinius; Ringdal, Håkon; Wilhelmsen, Vetle (Master thesis, 2020)Vi undersøker ulike aspekter ved timing av volatilitet blant selskapsobligasjonsfond, deriblant generelt omfang, persistens over tid og innvirkning på risikojustert avkastning. Ved bruk av daglig avkastningsdata kommer vi ...