Browsing by Author "Olofsson, Ludwig"

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A comparison of sin- and ethical stocks’ performance on the Swedish equity market: with focus on the impact of liquidity, institutional ownership, firm age and equity on the difference in excess returns between sin- and ethical stocks.
(2019-08-09) Leimalm, Henrik; Olofsson, Ludwig; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
This thesis studies the returns of ESG stocks and sin stocks through constructed value- and equally weighted portfolios in the Swedish stock market. The stocks are also compared on a firm level. The excess returns obtained from the ESG and sin stocks are compared to each other to see how they can be explained by the key variable’s liquidity, institutional ownership, firm age1 and book value of equity. This is accomplished through the usage of OLS regressions and panel data. It is found that both ESG and sin stocks overperform against the market when the stocks are constructed as portfolios. When comparing these stocks on a firm level with the usage of panel data, it is however found that ESG stocks still overperform the market while sin stocks underperform. The consistency in the returns of ESG stocks is therefore higher. When comparing the excess returns (alpha) between ESG and sin stocks it is found that liquidity, institutional ownership and firm age have an effect on this difference in excess returns, while the book value of equity was found to be insignificant. Moreover, in accordance with the efficient market hypothesis, the market is inefficient in the pricing of these stocks. Furthermore, this thesis contributes to the field of investment ethics by showing the aforementioned, the authors2 have not found a previous study that incorporates these factors to explain the difference in the alpha of ESG and sin stocks on the Swedish stock market. These results also contribute to the ongoing stakeholder and shareholder theory debate, where having an all or nothing mindset is indicated to be insufficient.
The Development of the Relation Between the Swedish Repo Rate and the Three-month Mortgage Rate
(2017-07-03) Hedencrona, Henrik; Olofsson, Ludwig; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
This paper examines whether the effect of the Swedish repo rate on the mortgage rate has changed during the period between the years of 2005-2017. The relation between the repo rate and mortgage rate is examined during three time intervals using regressions and correlation analysis. Furthermore, the effect of the repo rate is investigated in times of negative and positive interest rate levels. The results show that the effect of the repo rate on the mortgage rate has decreased significantly with time. It is also shown that the repo rate tends to affect the mortgage rate less in times of negative interest rates. The reduced effect of the repo rate has then been analysed using the Transmission Mechanism of Monetary Policy to deduct probable factors causing the change. The factors mentioned consist of changes in risk behaviour and mortgage financing.