Department of Finance: Recent submissions
Now showing items 41-54 of 54
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Hedging without sweat: a genetic programming approach
(Journal article; Peer reviewed, 2013-06-26)Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies ... -
Garantikonto : lavrisiko sparing i bank eller forsikring
(Master thesis, 2013)Utredningen har forsøkt å finne et optimalt sparealternativ for spareaktører innen lavrisikosegmentet. En sammenligning av kapitalforsikringsproduktet Garantikonto mot høyrentekonto har gitt funn som kan ha betydning for ... -
Predicting default in the Norwegian High Yield bond market : a study of defaults in the years 2006-2013
(Master thesis, 2013)This thesis studies determinants of defaults experienced in the Norwegian High Yield bond market from 2006 to 2013. This is done by finding defaulted issuers from the bonds registered in the Norwegian Trustees database ... -
Private equity buyouts in Norway : inferring company valuations from public financial statements, and an analysis of the Norwegan buyout market
(Master thesis, 2013)This thesis presents a framework to infer prices paid for companies from public financial statements. It shows that prices and valuations can be estimated accurately, as long as the buyout is done using common stock and ... -
Private equity-backed firms' performance post IPO : an empirical study of private equity- and venture capital funds' ability to facilitate abnormal returns at the Norwegian stock market
(Master thesis, 2013)We assess whether underpricing and long-long performance of Norwegian IPOs differs across private equity-backed and non-backed firms. Our sample consists of 67 backed firms and 298 non-backed firms, floated in the period ... -
Dynamic portfolio optimization with transaction costs and state-dependent drift
(Working paper;2014:1, Working paper, 2014)We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ... -
Are stock-financed takeovers opportunistic?
(Working paper;2013:4, Working paper, 2013)We find that the probability of all-stock financed takeovers increases with measures of bidder overvaluation. However, when we instrument the bidder's pricing error using aggregate mutual fund flows, the reverse happens: ... -
The effect of covered bonds : high encumbrance in banks : a game changer for senior unsecured debt investors?
(Master thesis, 2013)This study examines the effect covered bonds have on the senior bondholders. We discuss how this new funding method is affecting the banks' balances and to which extent the senior bonds credit spread is influenced by ... -
Fragmentation and stability of markets
(Working paper;2013:7, Working paper, 2013-07)Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by exploring their interaction with market fragmentation and ... -
Innovation, competition, and investment timing
(Working paper;2013:3, Working paper, 2013)In our model multiple innovators compete against each other by submitting investment proposals to an investor. The investor chooses the least expensive proposal and when to invest in it. Innovators have to provide costly ... -
Governance in financial distress and bankruptcy
(Working paper;2013:1, Working paper, 2013)This chapter provides a survey of law, economics, and finance scholarship at the intersection of corporate governance and financial distress. In financial distress, both inside and outside of bankruptcy court, formal and ... -
Corporate restructuring
(Working paper;2013:3, Working paper, 2013)We survey the empirical literature on corporate nancial restructuring, including breakup transactions (divestitures, spin-o s, equity carveouts, tracking stocks), leveraged recapitalizations, and leveraged buyouts (LBOs). ... -
Hedging without sweat : a genetic programming approach
(Working paper;2013:5, Working paper, 2013)Hedging in the presence of transaction costs leads to complex op- timization problems. These problems typically lack closed-form so- lutions, and their implementation relies on numerical methods that provide hedging ... -
Post IPO performance of private equity backed entities: empirical evidence of the Nordic market
(Master thesis, 2012)Initial public offering of private equity backed entities has been a remarkably popular topic among financial scholars. The allure of growth potential and sophisticated corporate structures has gain private equity backed ...