Blar i Discussion papers (FOR) på tittel
Viser treff 323342 av 506

Pricing Implications of Shared Variance in Liquidity Measures
(Discussion paper, Working paper, 200607)This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ... 
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ... 
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ... 
Pricing of rate of return guarantees on multiperiod assets
(Discussion paper, Working paper, 200106)The basis for this paper is the pricing of multiperiod rate of return guarantees. These guarantees can typically be found in life insurance and pension contracts. We derive closed form solutions, expressed by the cumulative ... 
Pricing rate of return guarantees in a HeathJarrowMorton framework
(Discussion paper, Working paper, 199807)Rate of return guarantees are included in many financial products, for example life insurance contracts or guaranteed investment contracts issued by investment banks. The holder of such a contract is guaranteed a fixed ... 
Pricing wind: A revenue adequate, cost recovering uniform price for electricity markets with intermittent generation
(Discussion paper;15/16, Working paper, 20160906)With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a predispatch quantity in advance of real time, based on ... 
Probabilistic cost efficiency and bounded rationality in the newsvendor model
(Doctoral dissertation;41/14, Working paper, 201412)In this paper we establish a link between probabilistic cost efficiency and bounded rationality in the newsvendor model. This establishes a framework where bounded rationality can be examined rigorously by statistical ... 
Product quality, competition, and multipurchasing
(Discussion paper;2012:9, Working paper, 201208)In a Hotelling duopoly model, we introduce quality that is more appreciated by closer consumers. Then higher common quality raises equilibrium prices, in contrast to the standard neutrality result. Furthermore, we allow ... 
Productivity Development for Norwegian Electricity Distribution Companies 20042013
(Discussion paper;27/15, Working paper, 20151007)Norwegian distribution companies have been subjected to an incentive regulation scheme from 1997, and the efficiency incentives were further strengthened with the introduction of yardstick regulation in 2007. We examine ... 
Profit shifting and the effect of stricter transfer pricing regulation on tax revenue
(Discussion paper;11/19, Working paper, 20191003)Using a 20yearlong, populationwide panel with detailed firm and group level data from Norway, we study the profitability change in companies that shift from being domestic to being multinational as well as companies ... 
Profitshifting in twosided markets
(Discussion paper, Working paper, 200904) 
Profitable Robot Strategies in Pari‐Mutuel Betting
(Discussion paper;6/17, Working paper, 20170407)We have collected odds and results from 7 474 horse races in Norway and Sweden for a period of approximately 1.5 years. Based on the odds from the win game, we construct a profitable betting strategy for the corresponding ... 
The propagation of financial extremes
(Discussion paper, Working paper, 200807)What drives extreme economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we extend standard economic analysis of extreme risk, allowing ... 
The propagation of financial extremes: an application to subprime market spillovers
(Discussion paper, Working paper, 200712)What drives extreme and rare economic events? Motivated by recent theory, and events in US subprime markets, we begin to open the black box of extremes. Specifically, we build a taxonomy of extremes, then extend standard ... 
Prospect theory and the CAPM : a contradiction or coexistence?
(Discussion paper, Working paper, 200310)Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial ... 
Prospect theory and the size and value premium puzzles
(Discussion paper, Working paper, 200511)Using canonical data for the US stock and bond markets, we show that the kinked piecewiseexponential value function can rationalize the crosssection of stock returns in addition to the level of the equity premium, while ... 
Prospect theory around the world
(Discussion paper;2011:19, Working paper, 201110)We present results from the first largescale international survey on risk preferences, conducted in 45 countries. We show substantial crosscountry differences in risk aversion, loss aversion and probability weighting. ... 
Public information and IPO underpricing
(Discussion paper, Working paper, 201008)We analyze the effect of public information on rational investors' incentives to reveal private information during the bookbuilding process and their demand for allocations in the IPO. Our model generates several new ... 
Public Stackelberg leadership in a mixed oligopoly with foreign firms
(Discussion paper, Working paper, 2001)This is the first paper to consider a mixed oligopoly in which a public Stackelberg leader competes with both domestic and foreign private firms. The welfare maximizing leader is shown to always produce less than under ... 
Publication bias in the returns to R&D literature
(Discussion paper;12/13, Working paper, 201311)The returns to R&D literature is large and has been surveyed on several occasions. We complement previous surveys by using formal meta analytic techniques to analyse publication bias. We find evidence consistent with a ...