Blar i NHH Brage på forfatter "Haug, Jørgen"
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Mean reversion and seasonality in heating oil futures
Rennemo, Ola Vold (Master thesis, 2019)We examine mean reversion and seasonality in heating oil futures prices using an affine N-factor Gaussian model and NY Harbor ULSD futures. We find strong empirical evidence for mean reversion and seasonality in heating ... -
Med rett til eie: Lønnsomhetsanalyse av ulike boligfinansielle løsninger, med fokus på boligetableringskontrakter
Mæhlum, Erik Midtvold; Måbø, Ulrik (Master thesis, 2022)Hensikten med denne utredningen var å finne ut av lønnsomheten for ulike varianter av boligfinansielle løsninger, og spesielt undersøke lønnsomheten for nye boligetableringskontrakter (leie til eie og delt eierskap). Vi ... -
Megleranbefalingers verdi : en studie av analytikerkonsensus på Oslo børs
Sundnes, Asgeir; Leidland, Ørjan (Master thesis, 2015)I denne masterutredningen undersøkes analytikeranbefalingers verdi i det norske markedet. Ved å konstruere porteføljer basert på analytikerkonsensus, finner vi at megleranbefalinger er verdifulle. Det dokumenteres en ... -
Modeling the steel price for valuation of real options and scenario simulation
Berggren, Lasse (Master thesis, 2015)Steel is widely used in construction. I tried to model the steel price such that valuations and scenario simulations could be done. To achieve a high level of precision this is done with a continuous-time continuous-state ... -
Morningstar ratings and Norwegian mutual fund performance : an empirical study of the Morningstar rating system as a predictor of performance for mutual funds investing primarily in Norwegian equity
Kirkeby, Sara Jahr (Master thesis, 2020)This thesis examines the Morningstar rating system as a predictor of mutual fund performance for mutual funds investing primarily in Norwegian equity. The predictive abilities are examined using a data set free of ... -
Nedsiderisiko og aksjeavkastning : En empirisk studie av tapsaversjon blant investorer på Oslo Børs
Bakke, Knut Malthe Morris; Høiås, Jørgen Endresen (Master thesis, 2022)I denne oppgaven studerer vi hvordan tapsaversjon reflekteres i aksjeavkastning på Oslo Børs. I henhold til teorien om tapsaversjon har investorer asymmetriske risikopreferanser, og bryr seg mer om tap enn de bryr seg ... -
Norway Royal Salmon ASA : strategisk regnskapsanalyse og verdivurdering
Wiese, Marie; Haug, Jørgen (Master thesis, 2016)Formålet med denne masterutredningen har vært å beregne et verdiestimat på egenkapitalen til Norway Royal Salmon ASA (NRS) per 07.11.2016. Vi har benyttet en fundamentale verdivurderingsteknikk som hovedteknikk og en ... -
Oljeprisens påvirkning på vekslingskursen NOK/EUR : med særlig vekt på oljeprisfallet i 2014
Henanger, Kristian; Schjerpen, Sindre Ladim (Master thesis, 2018)Formålet med denne besvarelsen er å identifisere kausale forhold mellom oljeprisen og vekslingskursen NOK/EUR. Dette studiet har også til hensikt å etablere empirisk dokumentasjon på kortsiktige og langsiktige sammenhenger ... -
Optimizing the economic value of offshore wind resources: A bottom-up valuation of an offshore wind farm, coupled with hydrogen production and energy storage
Bjørløw, Markus; Aschjem, Jostein (Master thesis, 2021)In this thesis, we analyze a hypothetical offshore wind farm placed off the southwestern coast of Norway. To maximize the economic value, we examine four different scenarios to best use the electricity generated from the ... -
Option volume and evidence of informed trading : an empirical study of daily option trading volume from selected S&P500 companies in the period 2009 to 2014.
Stene, Fredrik Honningsvåg; Thuve, Mattias (Master thesis, 2017)This thesis seeks to unveil evidence of informed trading in option markets. We use unsigned option volume data to construct a signed modified put call ratio, which is used to analyze unusual trading patterns prior to ... -
Option volume and evidence of informed tradingm : an empirical study of daily option trading volume from selected S&P500 companies in the period 2009 to 2014
Stene, Fredrik Honningsvåg; Thuve, Mattias (Master thesis, 2017)This thesis seeks to unveil evidence of informed trading in option markets. We use unsigned option volume data to construct a signed modified put call ratio, which is used to analyze unusual trading patterns prior to ... -
Persistence of mutual funds returns : do Norwegian portfolio managers consistently beat market benchmarks?
Salekroshani, Akram; Vagapova, Elmira (Master thesis, 2020)We conduct a study on 99 actively managed Norwegian mutual funds from 1996 to 2019 to investigate whether funds deliver returns in excess of passive benchmarks and if the funds' performance persists over time. We use the ... -
Prestasjonsvurdering av aktive aksjefond i kategorien små selskaper i USA
Olsen, Simen Thorvik; Herredsvela, Magnus Kanne (Master thesis, 2023)I denne utredningen ser vi om aktivt forvaltede aksjefond som investerer i små selskaper (small-cap) i USA klarer å generere meravkastning ut over referanseindeks. Generelt blir det gjort færre analyser av små selskaper, ... -
Quality minus junk : en empirisk analyse av kvalitetsinvestering på Oslo Børs i perioden fra 1998 – 2018
Leira, Alfred; Lerøen, Jonas (Master thesis, 2020)I denne masterutredningen undersøker vi om det er mulig å skape meravkastning på Oslo Børs ved å benytte en kvalitetsbasert investeringsstrategi. For dette formål har vi tatt utgangspunkt i metoden brukt i studien «Quality ... -
Quality minus junk : predicting wealth generating stocks with quality minus junk
Erstad, Aslak Holm; Lorentzen, Kristian Andreassen (Master thesis, 2021)In this thesis, we investigate if the quality minus junk (QMJ) factor can be used to predict the stocks responsible for the excess wealth creation in the US. We find that quality has a low predictive power on next months ... -
The regulated tail that wags the honey badger : researching price discovery in bitcoin, identifying the leading instruments, and examining the impact of the regulated futures market.
Lunde, Vetle Andreas Gusgaard; Vig, Jens Bredde (Master thesis, 2021)In this thesis, we examine the process of how new information is impounded into the market, more commonly known as the price discovery process. We used GIS by Lien & Shrestha (2014) and identified the most relevant and ... -
Risk aversion in the large and in the small
Haug, Jørgen; Hens, Thorsten; Wöhrmann, Peter (Discussion paper;2011:12, Working paper, 2011-06)Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the estimates can be reconciled through consistent treatment of agents' tendency for narrow framing, regarding ... -
Slow but steady wins the race : an inquiry into the fundamental relation between systematic risk and stock returns with empirical evidence from the Oslo Stock Exchange in the period of 1990 – 2018
Støle, Kristian Flørnes; Rojahn, Fredrik (Master thesis, 2019)A value-weighted (equal-weighted) portfolio comprised of the twenty percent of the stocks on the Oslo Stock Exchange with the lowest beta each month produced cumulative excess returns of 1241% (692%) from 1990 to 2018. ... -
A treatise on asset pricing theory with additive nonseparable von Neumann-Morgenstern utility
Haug, Jørgen (Doctoral thesis, 1999) -
Why Does It Feel So Good To Be Bad? An empirical analysis of traditional and modern sin stock returns in developed countries from January 2000 to August 2022
Feltstykket, Andrea Vilje Strandvik; Thorvildsen, Anette Hveem (Master thesis, 2022)This study aims to give managers and investors a better financial basis to assess whether they should be exposed to sinful companies. Accordingly, this thesis examines the presence of alpha for sin stocks in developed ...