Browsing by Author "Rolfsson, John"

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    An analysis of the usage of preferred stock in Sweden
    (2018-06-29) Rolfsson, John; Åkerlind, Erik; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik; University of Gothenburg/Department of Business Administration; Göteborgs universitet/Företagsekonomiska institutionen
    This paper aims to explain why the few issuers of preferred stock in Sweden have chosen to issue this historically unpopular instrument. We examine characteristics of the issuers of preferred stock related to two possible explanations, the financial distress hypothesis and the agency costs hypothesis, relative to non-issuers. Our findings show that issuers of preferred stock have significantly higher Debt-to Equity ratios and significantly lower Altman’s Z-score than the non-issuers. This leads us to conclude that Swedish preferred stock issuers have worse financial health than the non-issuers and have probably tapped their possibility to issue debt. However, we could not conclude any significant difference in managerial ownership (measurement of agency costs) between the two groups.
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    MERGING MOMENTUM -THE EFFECTS OF COMBINED CRASH MITIGATING STRATEGIES
    (2020-07-07) Kavleskog, Sebastian; Rolfsson, John; University of Gothenburg/Graduate School; Göteborgs universitet/Graduate School
    Momentum strategies offer tempting expected returns but suffer from occasional momentum crashes. Crash mitigating strategies, such as the Absolute momentum (Gulen and Petkova, 2018) and Extreme absolute strength momentum (Yang and Zhang, 2019), have proven effective in alleviating momentum crashes, while also offering better risk-adjusted returns compared to relative momentum strategies. We evaluate whether further improvement of absolute momentum strategies is feasible, by merging these strategies with the concept of Dynamic momentum developed by Dobrynskaya (2019). Our results suggest that absolute momentum strategies also benefit from dynamic momentum, reaping additional risk-adjusted returns, further improving these strategies, while also outperforming relative and absolute momentum strategies. Therefore, we suggest merging already existing absolute momentum strategies with the Dynamic momentum strategy is beneficial in terms of returns and the risk associated with those returns.