Contributions published at Finance (Kjell G. Nyborg)

Convertible bonds have shown an incredible growth over the recent years and have become an important source of financing for companies. Their announcements are considered to induce stock price movements. This thesis aims to captures the announcement effects on stock prices of convertible bond offerings for US and Japanese companies for the last twenty years with the help of a standard event study. Cross-sectional regressions are run to find potential determinants of cumulative abnormal returns. Evidence is found that US convertible bond issues are accompanied with negative stock movements. The cumulative average abnormal returns range from -3.44% to -2.95%. There is mixed evidence for Japanese firms with cumulative average abnormal returns ranging from -1.05% to 2.31%.

This thesis compares the accuracy resulting from different multiple methods. Various multiples and their determinants are derived from a DCF-model. The P/CF, P/E, P/B, EV/Sales, EV/EBITDA and EV/EBIT multiples, where the set of comparable firms is identified based on the determinants or industry membership, are compared. Identifying the comparable firms based on the determinants results in a higher accuracy for most multiples. The entity multiples result in a higher accuracy than the equity multiples. Regarding the accuracy, the following ranking arises: EV/EBITDA and EV/EBIT are tied for the highest accuracy followed by the P/E, P/B, P/CF and EV/Sales multiple.

With its interventions in the U.S. corporate bond market in the wake of the COVID-19 crisis in early 2020, the Federal Reserve expanded its playbook for combating economic turmoil to include purchases of investment grade and high yield corporate bonds. The Federal Reserve’s announcements to intervene in the corporate bond market had a significant impact even before the purchases began. This work analyzes the response of the corporate bond market from the perspective of various quantitative metrics and economic implications. The results suggest that the Federal Reserve’s interventions have improved stability and the functioning of the U.S corporate bond market.

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During the second sub-period of the June 2000 to December 2019 period, there is a clear downward trend in international value premiums, defined as value portfolio returns in excess of market portfolio returns. While statistically significant during the first sub-period, the value premiums across the regions North America, Europe, and Asia-Pacific are statistically indistinguishable from zero during the second sub-period. Therefore, the findings of this study contribute international evidence to the spreading notion that value investing has been on the decline since the Great Recession. However, based on historical data, it would be premature to declare it dead.

This thesis applies the Fama and French three- and five factor model to the Swiss stock market. In addition, the models are applied on data from Western European markets and then tries to explain Swiss stock returns with the factors created by EU data. The results show that the variation in Swiss stock returns is better explained by the factors of the Swiss models, confirming prior research on this subject. Furthermore, the findings show that factors vary strongly and while there is evidence for a reverse size effect, the results of the study do not justify a definitive statement.

This thesis investigates whether the sometimes very large premiums paid in bear hug acquisitions actually lead to operating performance improvement. A regression model is developed and used on a sample of public transactions across the globe. The results imply that acquisition techniques are only responsible for a small portion of premiums paid with industry, internationality of the transaction and target profitability explaining a larger portion of premiums paid.

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The effects of CDS index rotations on single name CDS spreads are analysed in this paper. Theoretical CDS premium determinants, index rotation effects in both the equity- as well as in the CDS space and the CDX-CDS basis are described. A series of statistical tests using linear regressions are performed to demonstrate the positive effect of index inclusions. Short-term CDS behaviour around index rotations is examined by an event study concluding that inclusions led to increasing CDS spreads as of the announcement date. In contrast, exclusions negatively affected CDS premia around the index rotation dates.

Abstract: The thesis at hand reviews the credit derivatives model, a valuation framework for contingent convertible bonds (CoCos), while paying special attention to the developments of the contingent capital market over the last ten years. The pricing model combines various aspects from existing literature to calculate an additional yield above the risk-free interest rate as a compensation for the risks associated with these instruments. In an empirical analysis, the accuracy of the model is tested by conducting a time series on two traded CoCo bonds. The results show that the model is not fully capable to reflect observed market prices.

In this thesis we evaluate the effect of expansive monetary policy on house prices in 15 countries. We include time fixed effects in OLS regression to test whether adding time fixed effects increases the explanatory power of the regression. In the period where expansive monetary policy was present, it was not confirmed that the monetary policy had any significant effect on house prices. However, over the whole period 2005-2019:Q3, some common unobserved factor was indeed present. Overall, GDP and inflation rate are positively associated with HPI. On the other hand, unemployment rate is associated with negative growth of HPI.

Investing in line with sustainability criteria is one of the most prominent trends in the asset management world. This research investigates whether including ESG (Environmental Social and Governance) criteria in the construction of an equity portfolio does lead to a sacrifice in terms of returns.An asset pricing model is developed in line with the Fama French five factors model. Results show that a portfolio constructed with companies with low ESG scores outperforms on risk- adjusted bases whereas the ones constructed with top ESG considering both the market and the healthcare sector not. Including an additional risk factor in the model that controls for ESG does not change the evidence of outperformance but it improves the model’s specification.

In this thesis, I investigate the impact of monetary policy surprises on Treasury and agency yields. Using the methodology to calculate surprise changes, proposed by Kuttner (2001), I find a strong relationship between the unexpected part of the monetary policy decision and bond yields. Anticipated target rate changes on the other hand have very little influence on bond yields. The effects of interest rate surprises differ across residual maturities, having a greater effect in the short to medium term than in the long term. The results suggest that monetary policy surprises have a higher influence on Treasury bond yields than on agency bond yields.

This paper investigates US internet IPO underpricing after the dotcom bubble and compares this to underpricing of a broader control group. In addition, the effect of various issuespecific variables on underpricing is tested. Empirically, this thesis shows that internet IPOs after the dotcom bubble are significantly more underpriced than control group IPOs. Furthermore, the characteristics driving internet IPO underpricing have somewhat changed after the dotcom bubble. Moreover, the results implicate that while some variables have similar effects both on internet and control group post dotcom bubble IPO underpricing, others have distinctively different effects on post dotcom bubble internet IPO underpricing.

We use a survey approach to learn about valuation professionals’ choices and implementations of valuation techniques in practice. Most use both multiples and DCF, but implement DCF in a way that almost turns it into a multiples exercise. Confusion reigns with respect to interest tax shields and the WACC. Higher educational levels do not reduce the confusion. The survey design allows us to control for a respondent’s professional subgroup(e.g., consulting), education, experience, and valuation-purpose characteristics. We find that profession matters more than education; different professions have different valuation cultures. Other factors are less important. The relative unimportance of education raises questions about the role, benefit, and optimal mode of higher level finance education.

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Das Ziel dieser Arbeit ist es, ein Überblick auf die Besteuerung von Utility Tokens in der Schweiz zu schaffen. Dafür werden verschiedene Transaktionen mit Utility Tokens aus der Perspektive aller beteiligten, wirtschaftlichen Parteien beleuchtet. Diese Analyse zeigt auf, dass in verschiedenen Bereichen Rechtsunsicherheiten bestehen. So sind die mehrwertsteuerliche Behandlung und die Berechnung des Verkehrswertes von Utility Tokens nicht abschliessend geklärt. Über die Transaktionen der Einlösung, der Wiederausgabe und der Abgabe an Mitarbeiter sind nur sehr wenige Informationen verfügbar. Die vielen rechtlichen und technischen Ausgestaltungsmöglichkeiten von Utility Tokens erschweren eine allgemeine Beurteilung. Dennoch werden grundlegende Erkenntnisse deutlich.

This study is focusing on the beta estimation in terms of its frequency, considering both daily and monthly returns of North American stock market companies in the early 1980ies for a five-year window. A literature review is included in order to understand various impactful market dynamics. It is suggested, that industry-internal as well as external influences have to be considered. The data of multiple IT as well as automobile organizations are retrieved from CRSP and confirm, that return frequencies have an impact on beta estimation and are influenced by multiple factors such as industries and economic crisis. This first chapter of the thesis includes the justification of the topic selection and its relevance. Furthermore, the main findings are presented. In addition, the objective as well as the structure throughout the thesis are part of this introduction.