Browsing by Author "Frisell, Jesper"

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    Do the buy it?
    (2024-02-05) Frisell, Jesper; Lewerth, Gustaf; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
    An increasingly popular tool for firms seeking growth, is to merge with or acquire other firms. So popular that an entire industry of advisers has evolved to provide guidance in the mergers and acquisitions (M&A) process. The most prominent are investment banks (IB). However, an overwhelming amount of research have shown that the M&A that firms choose to pursue on average destroy value. It is therefore in the interest of both investors and management boards to know whether chief executive officers CEOs with IB experience will do more or better M&A when hiring. To examine the effect of IB experience, a model is developed and estimated on a sample of Swedish and Norwegian large cap firms. From these estimations, we find that the odds of a firm with a CEO who has IB experience doing M&A is 46% lower than if the CEO doesn’t have IB-experience. However, no conclusions could be drawn on the effects on the quality of the M&A they pursue
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    Predicting Global Stock Returns Using Commodities: A Gradient Boosting Decision Tree Approach
    (2025-07-07) Frisell, Jesper; Lindstedt, Philip; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    We examine the predictability of stock returns using commodity futures prices across 39 countries from 1999 to 2024 using the XGBoost implementation of the Gradient Boosting Decision Tree approach. There is evidence of increased integration between commodities and stock markets. Despite this, research examining the predictability of commodities on stock returns is limited, especially on a global scale. The aim is to build on previous studies and explore heterogenous effects of commodity price changes on countries. We find evidence of predictability for four individual commodities and two commodity indices after sampling twelve commodities and four indices. Copper and crude oil show the strongest predictability among individual commodities, while industrial metals and energy demonstrate the strongest predictability among commodity indices. Our results also indicate strong heterogeneous effects, with some countries exhibiting significantly greater exposure to commodity prices. In particular, the Australian stock market is more exposed to price changes in copper and industrial metals, while the Norwegian market shows large sensitivity to oil and energy. Based on our findings, a competitive long-short trading strategy is proposed.