Magisteruppsatser

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Etiska och traditionella fonder - En utvärdering av risk och avkastning
(2019-06-18) Fransson, Thomas; Lidén, Gustav; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Inom den finansiella sektorn förekommer en kontinuerlig utveckling av nya produkter och tjänster för att anpassa sig till dels hur den finansiella marknaden förändrar sig samt hur samhället och deras kunders krav förändras. De senaste åren har den etiska fonden fått stor uppmärksamhet hos spararna. Den etiska fonden antas investera i sektorer av ekonomin som tar större ansvar för exempelvis miljö och etik. Vad som dock är oklart är hur denna typ av investering skiljer sig mot de traditionella fonderna i risk och avkastning. Syftet med uppsatsen är att utvärdera avkastningen och risknivån av att investera i etiska fonder istället för traditionella. I studien används välkända samband inom portföljvalsteori samt risk och avkastning. avkastning. Inom ramen för dessa samband skapas relevanta investeringsportföljer. Skillnaden i prestationen av de respektive portföljerna analyseras därefter. Resultatet presenteras i tre olika portföljer: etisk, traditionell samt en indexportfölj. indexportfölj. Den etiska portföljen har i studien en lägre avkastning men också en lägre risk (standardavvikelse). (standardavvikelse). Studien visar också att den etiska portföljen har en lägre avkastning per riskenhet (Sharpe Ratio). I fråga om Value at Risk så skiljer det ej nämnvärt mellan portföljerna.
Value at Risk and Expected Shortfall risk measures using Extreme Value Theory
(2019-01-22) Johansson, Peter; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. When using Extreme Value Theory (EVT) no assumption of the underlying distribution is necessary as the extreme tails can approximately be described by the Generalized Pareto Distribution. How can EVT be used to calculate VaR and ES for a market index? The purpose of this study is to calculate VaR and ES risk measures for 10 market indices. The indices are the Stockholm stock exchange index (OMX30S), the Copenhagen stock exchange (OMXC20), the Helsinki stock exchange (OMXH25), the Deutscher Aktienindex (DAX), the Financial Times Stock Exchange (FTSE-100), the Dow Jones Industrial index (DJI), the Standard and Poor's 500 index (SPX), the NASDAQ-100 index (NDX), the Nikkei-225 stock average index (NKY) and the Bombay stock exchange sensitive index (SENSEX). The purpose is also to find which of these indices are exposed to most extreme losses. Historical data consisting of daily closing prices were collected from Bloomberg for 10 market indices. These data were then processed in Matlab 7.7.0 (R2008b) using Extreme Value Theory to find VaR and ES risk measures. The risk measures were compared to find out which of the indices was exposed to most extreme loss. This study has examined the VaR and ES risk measures on 10 market indices. The results show that in terms of VaR and ES, NASDAQ is most exposed to extreme losses. VaR and ES equals 5.340% and 7.002% respectively for the left tail and 5.128% and 7.091% respectively for the right tail.
Determinants of under-5 mortality in Uganda: an econometric analysis
(2016-08-25) Stenström Johansson, Johanna; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Infant and child mortality rates are among the most important indicators of child health, nutrition, implementation of key survival interventions, and the overall social and economic development of a population. Economics include the study of child health and mortality for various more or less direct reasons: The health and productivity of adults is influenced by their health as children, and there may be an associated effect on the development of countries and economic growth. Children can therefore be considered economic actors in their own right and therefore of interest in economic analysis. When looking at development and developing economies, given the higher incidence of poor health in all age categories, child health and mortality would seem a relevant area of study towards a better understanding of economic and social conditions contributing to development. More generally, the health of children is a human right. It has been well documented that poor health in childhood negatively affects future wages and labour force participation (Currie & Madrian 1998). The Millennium Development Goals were established by the United Nations in 2012 as “an international effort to reduce extreme poverty and hunger, fight disease, reduce child mortality and improve maternal health” by 2015 (UN 2014). While significant progress was made in the set timeframe, also on child health, a lot remains to be done and so the commitment was renewed under the Sustainable Development Goals (SDGs), focusing in particular on ending preventable deaths of newborns and children under five years of age. An improved understanding of the determinants for child mortality reduction derived from economic analysis can guide the choice of interventions that are required to accelerate the pace of progress towards reduction of child mortality.
The Art of Measurement - Exogenous Activation of Self-Control with Simple Verbal Sentences in Intertemporal Choice
(2015-06-24) Lindroos, Henri; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Recent neurological studies have found first causal evidence for a neural self-control mechanism in decision-making in intertemporal choice (e.g. Hare et al. 2009, 2011 & 2014, Figner et al., 2010). Figner et al. (2010) study was conducted by using a choice task design with binary questions between hypothetical sooner-smaller (SS) and larger-later (LL) monetary rewards. The researchers in that study used repetitive transcranial magnetic stimulation (rTMS) to endogenously disrupt the left lateral-prefrontal cortex in individuals. They found out that the rTMS stimulation led to a decrease in self-control, which resulted in these individuals selecting fewer LL choices. This was especially true with the subset of choices that had intermediate magnitude differences (approximately between 5 and 20%). These rewards were temporally to be received “now”, or in 2 or 4 weeks time. In this subset the choice conflict between the SS and LL rewards was found to be the largest. Also, the successful triggering of self-control processes with external attention cues in intertemporal choice with binary dietary questions has been recently studied and proposed by Hare et al. (2011). The objective of my study is to test the triggering of endogenous self-control processes with exogenous attention cues in a binary choice task with 16 questions that are particularly designed to represent a large choice conflict between the SS and LL hypothetical monetary rewards. My method is to attempt to facilitate self-control by the use of a simple verbal sentence that includes functions such as cognitive inhibition of a prepotent response, response time, and a two-relational inverted value judgment. To my knowledge, my experiment is the first time that triggering of self-control with external attention cues with binary hypothetical financial delay discounting questions has been studied. The intervention, a simple verbal sentence, is designed within the implementation intention structure, an accomplished self-regulation tool from cognitive psychology that allows an effective way to automatize goal-directed behavior in a specified cue environment (Gollwitzer and Sheeran, 2006). The treatment sentence is specifically designed for the purpose of self-control facilitation in the binary choice task context but it is also intended to be modifiable to various general uses outside the experiment environment. The main hypothesis is that the result of the exogenously activated self-control intervention will enable subjects in this group to resist the temptation of the SS choice and thus choose more of the larger-later rewards on average than the individuals in the group who receive no intervention. The results of this experiment suggest that the intervention leads to subjects on average choosing significantly more LL choices in comparison with the control condition. Thus my conclusion is that the findings present first evidence for the utility of simple verbal sentences as exogenous facilitators of self-control in hypothetical financial delay discounting. Due to the simple nature of verbally formulated self-control tools, the cost-efficient moderation of immediate gratification has the potential to create enormous societal and economic benefits.
Competition in the Swedish mutual fund industry
(2014-06-24) Andersson Vavrecka, Henrik; Gustafsson, Johan; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
The mutual fund industry plays an important role in the Swedish society where a part of the future income for all people is linked to the return of Swedish mutual fund industry and its assets. The purpose of this thesis is to investigate the competitiveness in the Swedish premium pension system. We use publicly available data on market values, entry and exit to estimate the degree of competition in the premium pension system. By constructing a structural competition model we find that market value of mutual funds is negatively correlated by the concentration of the market. The premium pension system is characterized by a high degree of entry over the study period, 2001-2013. Mutual funds with lower market value are more likely to both enter and exit. Our findings suggest that the probability of exit does not increase when more mutual funds are added into the premium pension system.
Argentina´s Net Trade Development under an Exchange Rate Switch
(2014-06-17) Emanuelsson, Vanessa; He, Jiawen Alexandra; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Argentina had a fixed exchange rate until January 2002 when the Argentinean banks allowed the peso to trade freely due to all the economic problems that the country underwent. This prompts us to find the impact of different macroeconomic variables on net export before and after an exchange rate regime change. The selected variables are Gross Domestic Product (GDP), interest rate, share price, inflation and exchange rate. An econometric model has been designed to predict this impact. The results showed that exchange rate regime change have a positive significant impact on the net export fluctuations. Our conclusion is that abandoning a direct peg relationship between an industrial country and a developing country does improve trade for the Argentina/USA case.
A Comparison between the Performance of Ehtical and Conventional US Funds - Do different ethical characteristics matter?
(2014-06-17) Mattsson, Anna; Sandström, Lina; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
This thesis investigates if there are differences in performance and investment styles between ethical and conventional US funds in the time period January 2004 – January 2014. We study both a pooled ethical portfolio and different ethical subgroups divided based on ethical characteristics and do a comparison with matched conventional portfolios. By applying Carhart (1997) four-factor model we control for the market, size, book-to-market ratio and momentum factors and get the risk-adjusted returns for our portfolios. We find no statistically significant difference in performance when examining the pooled ethical portfolio but when studying our ethical subgroups we find a statistically significant underperformance of our environmental friendly funds and our ESG funds, while we find a statistically significant outperformance of our religiously responsible funds. We only find small differences in investment styles between our portfolios. Our results indicate that ethical funds should not be treated as a homogenous group when examining ethical fund performance.
Funds Management Fees - Do you get what you pay for?
(2014-06-17) Magnusson, Christoffer; Leidefeldt, Matilda; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
In this thesis, we study the relationship of 194 mutual funds’ management fees with respect to the funds’ risk-adjusted return, the alpha, derived from the four-factor model as defined by Carhart in 1997. This relationship has been investigated in two steps where the initial step consists of estimating the performance of the individual funds by applying the four-factor model. By using time series regressions on each fund against the factors derived from French (2014), we have seen by how much and whether or not the funds has had a positive or negative risk-adjusted excess return over the chosen time period. The second step involved regressing the alphas against the respective management fees in order to see whether or not these fees have been related to the risk-adjusted returns over time. By subdividing this period into smaller sub-periods we have also seen if this relationship differs between different time periods of the chosen business cycle. The chosen time periods are 2004-2013, 2004-2007 and 2008-2011. The results show that when looking at the full time period, it does not appear to be a relationship between the funds’ management fees and risk-adjusted returns at all. However, between 2004 and 2007 the results indicate a positive relationship but, quite the contrary between 2008 and 2011, suggesting that it does exist a relationship during smaller time periods but none during a full business cycle.
Avoiding Yen Carry Trade Unwind Through Diversification
(2014-01-27) Valiquette, Max; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
This study compares Markowitz’s mean-variance carry trade portfolios with traditional foreign exchange carry trade investments. The strategy generates on average positive yields over the total time frame, including the 2008 yen carry trade unwind, proving the strength of diversification. Recognizing investment opportunities in the USD/HKD currency pair has been a crucial part in obtaining a high return to variance ratio.
Innovation and Financial Development from a Global Perspective - Empirical Evidence from Manufacturing Firms in Developing Countries
(2013-10-17) Bazine, Elies; Svensson, Robin; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Abstract Financial development, i.e. access to finance, is needed for innovation and to resolve the current under-allocation of innovation investments in small firms in countries with lower financial development. Using firm level data from over 12,500 manufacturing firms and country characteristics from developing countries, we study the link between R&D, as a proxy for innovation, and financial development in terms of probability, expenditure, and productivity of R&D investments. We find that both firm size and financial development has a strong positive correlation with the probability of a firm engaging in R&D. We also find, using a R&D index, that small firms are more productive then larger firms in terms of R&D. It is also shown that levels of innovation between small and large firms decreases when financial development increases.
Stock market interdependencies - Evidence from the Eurozone´s southern periphery before and after the outbreak of the European debt crisis
(2013-09-18) Agneman, Johan; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Recent events in the Eurozone´s southern periphery have directed much interest to the region but only a limited number of studies have targeted the market interdependencies among these counties. This thesis examines the interdependencies among the stock markets in the Eurozone´s southern periphery, before and after the outbreak of the European debt crisis. By applying the Johansen test of cointegration and the DCC-MGARCH model, both the long-run and short-run interdependencies are examined. The data employed consist of daily stock market index return series from Greece, Italy, Portugal and Spain, covering the period January 1, 2001 to May 10, 2013. This period is further decomposed into two subsamples to enable an analysis of how the European debt crisis has impacted the interdependencies in the region: the pre-crisis period ranges from January 1, 2001 to October 15, 2009 and the post-crisis period from October 16, 2009 to May 10, 2013. The result shows evidence of stock market interdependencies in the Eurozone´s southern periphery, particularly in the form of short-run volatility correlation. The result also indicates that the outbreak of the European debt crisis has affected the volatility correlation in the region. The main finding is that the volatility correlation has increased since the outbreak of the European debt crisis between all pairwise comparisons except for these involving the Greek market. The fact that interdependencies exist among all markets in the region is imperative for investors and policy makers and highlights the importance of sound portfolio management and regulatory policies.
Basel III - What is Basel III, why do we need it and what will the consquences be?
(2013-09-09) Bjarnesjö, Fredrik; Lundberg, Karl; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
The magnitude of the financial crisis in 2008 can be compared to the financial downturn and the great depression in the 1930´s. Even though we are currently in a situation where we are recovering from this crisis it is most likely that we will experience a financial crisis again. Basel III is constructed in order to ensure that the impact of future crises not becomes as severe as the previous one. Will the Basel III accord manage to do this? In this paper the Basel III framework will be presented and its impacts be analysed, focusing on the Swedish financial system. We will also provide the reader insights from Länsförsäkringar Bank on how they apprehend on the Basel III accord. We would like to thank Wlodek Bursztyn, honorary doctor in economics at the School of Business, Economics and Law – University of Gothenburg, for his guidance and thoughts on this paper. A special thank to Göran Zakrisson, credit manager at Länsförsäkringar Bank, for his opinion and insight regarding the Basel III accord.
An Empirical Investigation of Factors Affecting the Standardization of Service Pricing - A Case Study of Flexlink
(2013-08-08) Lorentzon, Louise; Johnsson, Oscar; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Over the last decades, the service sector has increased as a percentage of the economies. This paper analyzes whether service prices can be internationally standardized based on the Purchasing Power Parity (PPP) theory. The findings confirm that the services’ unique features intangibility, inseparability, heterogeneity and perishability (IIHP) complicate standardization, for an international price comparison to be possible. From our models, there is no statistical proof that exchange rate, as the sole price adjustor in PPP, has an effect on pricing. We conclude that there are macro factors in the models, not covered by the PPP theory that acts against an implementation of standardized prices. From the study on Flexlink, a company that assembles and installs transporter systems, it was verified that the sales units regularly use price discrimination, as a result of the markets’ high price elasticity, an adaption to the local markets are necessary in order to be competitive.
Testing Pecking Order and Trade Off Models on Mining and Software Industries in Canada.
(2013-07-10) Labba, Johanna; Östholm, Evelina; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
This paper tests the two major capital structure theories; pecking order theory and trade off theory, in order to determine how the debt ratios in mining and software industries in Canada behave. We used a disaggregated and an aggregated model for the pecking order theory and a static adjustment model for the trade off theory. Our results indicate that there is weak support for the pecking order theory while the trade off theory is relevant for the software industry.
Democratic Effects on Public Spending - A Study of the Post-Soviet Context
(2013-07-10) Riedel, Karolina; Sommerstein, Klara; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
The degree of democracy is an important factor determining a country’s welfare through the formation of policies and the government’s priorities. This study explores in a quantitative framework the effect of democracy on total public spending, public educational, public health care and public military spending in the Post-Soviet states with the aim to contribute with new input and understanding and to test whether previous findings hold for the Post-Soviet context. The quantitative results are then further tested in a case study on Belarus and the Kyrgyz Republic. In line with predictions a positive relationship between democracy and public spending is found in the region. The study shows no significant relationship between educational and health care spending and democracy. Contradicting previous research a positive relationship between democracy and military spending is found, where an increase in degree of democracy leads to higher military spending.
Detoxing by Taxing - A National Tax on Clothes Containing Chemicals?
(2013-07-05) Karhapää, Heli; Karasin, Arzu; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Growing wealth and globalization have lead to increasing consumption of clothes and shoes in Sweden. Environmental organizations have shown that some clothes and shoes contain chemicals that are hazardous for both the environment and health. The Swedish Chemicals Agency (KemI) suggests that a tax should be imposed on this group of goods in order to diminish the use of hazardous chemicals. We examine whether such a tax would achieve this purpose by studying consumer behavior in Sweden and by estimating the price elasticity of demand for clothes and shoes. We compare our estimate with elasticities found in literature for Sweden and the UK. Our conclusion is that clothing and shoes are luxury goods in Sweden with our estimated income elasticity being 1.26. Further, Swedish consumers are price sensitive with a price elasticity of demand of -2.80 which indicates that an excise tax would correct for the externality. This might be overestimated due to the simple approach we use, but we do believe that the true elasticity lies somewhere between ours and the ones found in literature.
Daily Temperature Modelling for Weather Derivative Pricing - A Comparative Index Forecast Analysis of Adapted Popular Temperature Models
(2013-07-05) Strömmer-Van Keymeulen, Kim Eva; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
This study aims to construct improved daily air temperature models to obtain more precise index values for New York LaGuardia and, thus, more accurate weather derivative prices for contracts written on that location. The study shows that dynamic temperature submodels using a quadratic trend on a 50-year dataset generally produce more accurate forecast results than the studied models that do not. Moreover, the market model outperforms all other models up to 19 months ahead in the future.
Patents and Market Efficiency - An Analysis of Non-Qualitative Patents.
(2013-07-04) Svensson, Johan; Wetterling, Alexander; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
The importance of intellectual property and intellectual property rights in today’s economy steadily increases. By conducting event studies this report investigates whether the market is efficient when it comes to the granting and the invalidation of non-qualitative patents, hypothesizing that the granting and invalidation should not have an impact on abnormal returns. By non-qualitative patents it is meant patents that first have been granted and then later invalidated due to reasons that should not lead to the patent being granted from the beginning. An extensive cross-sectional regression analysis is conducted to further investigate what actually drives abnormal returns. The hypotheses set out in the report are confirmed by the event study. The granting of the non-qualitative patent do not have a positive effect on abnormal returns and the invalidation of the non-qualitative patent do not have any effect on abnormal returns. The cross-sectional regression analysis concludes that what drives abnormal returns is not the granting of the non-qualitative patent; instead it is efficiency in terms of asset turnover and knowledge capital in terms of intangible assets to total assets.
Exchange rates and stock markets
(2013-07-04) Fathi, Adam; Staf, Christian; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
The study employs a vector error correction model, cointegration analysis and Granger causality test to examine the short- and long-run dynamic relationship between the USD/SEK exchange rate and the OMXS30. In the short-run we found statistical evidence of OMXS30 granger causing the USD/SEK currency exchange rate positively but no statistical evidence that the USD/SEK exchange rate granger cause OMXS30. In the long-run we found statistically significant evidence of the USD/SEK exchange rate and OMXS30 being cointegrated. The effect of a shock to the USD/SEK currency exchange has a long-run positive effect on the OMXS30. While the effect of a shock to the OMXS30 has a long-run negative effect on the USD/SEK exchange rate.
Hur påverkas humankapitalet av migrationen mellan länderna i Nord? - En studien av fenomenen brain drain och brain gain i Ungern.
(2013-06-14) Ekelöf, Maja-Malin; Pedersen, Amanda; University of Gothenburg/Department of Economics; Göteborgs universitet/Institutionen för nationalekonomi med statistik
Brain drain innebär förlorat humankapital till följd av migration och förknippas oftast med högutbildade medborgares flytt till utlandet. Brain gain innebär å andra sidan ökat humankapital, antingen till följd av att migranter flyttar tillbaka till sina ursprungsländer eller genom ökade incitament för att utbilda sig på grund av migrationsmöjligheter. Syftet med uppsatsen var att undersöka hur den lagändring som trätt i kraft i Ungern, för att förhindra migration av välutbildad arbetskraft, påverkar humankapitalet i landet. Uppsatsen begränsades till att enbart innefatta läkare. För att genomföra undersökningen användes data från olika databaser samt andra forskningsrapporter och kompletterande källor. Materialet analyserades med hjälp av teorier kring löneutjämning samt neoklassisk teori rörande nyttomaximering och inkomstfördelning. Resultatet visar att det råder läkarbrist i Ungern, att läkarlönerna är låga och arbetsvillkoren dåliga. Huruvida lagändringen kommer att leda till ökat humankapital eller ej är svårt att säga. Incitamenten för att utbilda sig minskar i och med att den förväntade avkastningen på utbildning blir lägre när migrationsmöjligheterna minskar. Samtidigt är antalet statligt finansierade utbildningsplatser begränsade och åtråvärda vilket innebär att folk troligen kommer att fortsätta att söka sig till utbildning. Därmed finns det indikationer som tyder på att humankapitalet i form av läkare kommer att öka i Ungern när de nyutexaminerade tvingas att arbeta en period inom landet.

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