Finance|Bergen - current master’s thesis topics per 26-02-14
Contact Aksel Mjøs (aksel.mjos@nhh.no) if any of the topics are relevant to you. They may
already have been taken and there may in some cases be competition for them, be that as it
may, I want to keep track of who does what. The topics can also be taken as a starting point that
can be further developed and/or refined, preferably in dialogue with the financial institution and
your supervisor. Most of them may be written in either Norwegian or English – however this
detail is not actually clarified yet with the companies.
- From Gabler AS:
“During the past few years many workers in Norway have received “Defined Contribution”pension schemes. Proposals from the Banking Law Commission seem to also be leading up to
the implementation of these models for everyone in the future.
The individual will receive a sum of money, which is undetermined, at the time of retirement.
The individual must to a certain degree consider the following factors:
- Desired purchasing power in retirement (i.e. income)
- How will the necessary pension capital be achieved (National Insurance, Occupational-based
pension, private savings)
For this task, we could probably create something including a utility function or something
simpler such as e.g. 6G.
The ways in which individuals can influence this is by taking risks (see: typical invest in stocks in
a defined contribution plan), by deciding how long the individual should to work, and by the cash
flow an annuity provides.
We want to develop models to simulate or maintain an overview of this.
Internationally it is common to buy an annuity during the transition to retirement. In for example
in the UK these are priced daily.
It is therefore possible to both analyse investment risk, how long the individual should work and
cash flow the annuity provides. This is done by considering the individual's desired purchasing
power in retirement.”
“Look what effect SRI restrictions have had on returns in global equity markets. It is possibly a
bit difficult to find good data on SRI performance, but the problem is interesting”
“It is common to see the bond returns in different rating categories. An interesting angle had
been to see how the stock returns vary with credit rating.”
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“The Liquidity and Credit risk premium of the Secondary Market for OMF Securities in Norway a
follow up of the Bernt Arne Ødegaard paper.”
“Long term risk free real rates, inflation, inflation risk premium, and high quality credit risk
Premiums (OMF). Create a discount curve for pension and projects with cash flows 10-99 years
in to the future (on the pricing of the TrønderEnergi 99 year 2013 bond issue).”
“Long term real wage development based on education, sex, age, industry. The age component
is of special interest.”
“On the pricing of a “G” forward. “G” is a common indicator of salary growth and hence pension
valuation in the national pension scheme. How a “G” delivered in 10 years should be priced.”
“On the choice of longevity assumptions in the life insurance industry. Why did all participants in
the market choose the same assumptions (K2005) when everybody knew (?) that they were
wrong. A special case of oligopoly pricing equilibrium?” (Probably taken)
“On the term structure of longevity swaps.”
“Was the KLP overusing predatory monopoly pricing to gain 100 % market share. Why did
Storebrand and DNB Life exit the market?”
“Institutional asset management: the relationship between returns and costs.” Analysis of
internal and external management related costs through pension funds and foundations. They
will help with data collection. Contact: Arild Årdal.
- From Asmund Heen, Sparebanken Vest:
“A study of risk-adjusted returns in the Norwegian corporate bonds.”
“An assessment of multiple pricing by companies as an indicator of future performance. Paid
multiple of EBITDA vs achieved returns.” (Probably taken)
“PE managers’ track record in NOK in funds. Examining the relationship between size and
performance, and whether there is consistency in return or whether it is a matter of coincidence.”
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“Norwegian banks’ mutual funds, closures and start-up date for the new sectors, branches and
regional funds.”
“Returns from smart-beta (alternative indexing) portfolios of Norwegian equities/funds, and how
these have performed in relation to Norwegian mutual funds.”
- From Torgeir Stensaker , Nordea Investment Management:
- OMF as a percentage of a banks’ balance (Probably taken)
a. Are there ideal levels for share of a bank’s balance? Is there a mix that provides cheaper
funding total for the banking group?
b. Norway versus foreign. In Norway, one can in theory transfer “unlimited” funds to OMF. Other
countries have strong limitations - in fact all the way down to 4%. DNB is above 60%.
c What is the limit with regard to transfers of large depositors and holders of senior bonds?
d. How similar are Norwegian banks for example to Danish banks? In Denmark there have been
a number of banks that have gone bankrupt since the financial crisis in 07/08, while in Norway
has not been close to default.
e. Other, but perhaps not as relevant topics could be: What is the most ideal, the bank’s own
unrated OMF company or a rated company together with other banks? The spread difference
between non-rated OMFs and rated OMFs has increased significantly lately.
- Truls Tollefsen, CFO, DNB Liv:
This is an analysis of various savings strategies for defined contribution pension savings, and it
challenges to a great degree the current thinking in the Norwegian market. [The Glidepath
Illusion: An International Perspective, Javier Estrada. IESE Business School, Department of
Finance. Challenging the convention to decrease risk in investments when you are approaching
retirement age]. The analysis which is attached is based on historical data and should further be
illustrated through simulations. This should be an interesting master’s thesis. Both theoretically
challenging, requiring simulations and should be relevant to the market.
- From Konrad Raff , Assistant Professor Amsterdam (August '13 : NHH!):
I attach a couple of recent papers that compare the behavior of public and private firms.
Burgstahler et al. study reporting incentives and earnings management in European firms.
Lyandres et al. examine investment and operating strategies of public and private firms.
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Similarly, Asker et al. study differences in investment behavior. Papers: (Download from
www.ssrn.com )
- Investment and operating strategies of public and private firms: Theory and evidence*
Evgeny Lyandres † , Maria-Teresa Marchica ‡ , Roni Michaely §, Roberto Mura ¶
- Corporate Investment and Stock Market Listing: A Puzzle?
John Asker, Joan Farre-Mensa, Alexander Ljungqvist
-The Importance of Reporting Incentives : Earnings Management in European Private and Public
Firms David C. Burgstahler, Luzi Hail, Christian Leuze
- From Gaute Ellingsen, Voxtra:
Master thesis on the effect of choosing the best companies also within the bad sectors (SRI):
http://pages.stern.nyu.edu/~alandier/pdfs/SRI_05-27-08.pdf. Vinay Nair had a course about this
when I was at Columbia, and was about to set up a hedge fund (Ada Investment Management)
based on these principles, but I do not know how it ended. The book referred does not dig very
deeply, and the data is starting to get old, so here one should be able to update the analysis,
possibly based on European markets.
Aksel Mjøs, Finans|Bergen
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