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  • 1.
    Hellström, Jörgen
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Lapanan, Nicha
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Intergenerational transmission of prosocial values: socially responsible investment among parents and adult childrenManuscript (preprint) (Other academic)
    Abstract [en]

    Novel evidence on the transmission of prosocial values from parents to children is provided by the finding of a positive correlation between the investments of parents and the subsequent investments of their children in socially responsible mutual funds. Although captured parent-child correlations reflect contemporary relationships, they reveal potentially important insight into the origin of heterogeneity in individuals' prosocial behavior. Consistent with research on socialization, the results suggest an influence from both parents, stronger for mothers, and reinforced for parents agreeing in prosocial values, i.e. for individuals with both parents investing in socially responsible mutual funds. Parental resources during an individual's adolescence (financial and parental life experience) are further found to significantly explain individuals' adult prosocial investment behavior. The results are robust to conditioning on a number of alternative explanations.

  • 2.
    Hellström, Jörgen
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Lapanan, Nicha
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Socially responsible investment among individualsManuscript (preprint) (Other academic)
    Abstract [en]

    In this paper we study who among individuals invest in socially responsible (SR) equity mutual funds. The results, based on administrative individual level data, indicate a number of statistically significant results. For example, females, more educated individuals, and those living in municipalities with a higher proportion of SR investors are more likely to hold SR equity funds. Education, however, stands out as the only economically significant determinant. Indeed, holding a PhD degree compared with only having completed compulsory education increases the likelihood of holding SR equity funds by almost 5 percent.

  • 3.
    Hellström, Jörgen
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Lapanan, Nicha
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Socially Responsible Investments Among Parents and Adult ChildrenIn: European Economic Review, ISSN 0014-2921, E-ISSN 1873-572XArticle in journal (Refereed)
    Abstract [en]

    Novel evidence is provided of a positive correlation between parents’ and their children’s socially responsible mutual fund investment behavior. Although captured parent-child correlations reflect contemporary relationships, they reveal potentially important insight into the origin of heterogeneity in individuals’ prosocial behavior. Consistent with research on socialization, the results suggest an influence from both parents, stronger for mothers, and reinforced for parents both investing in socially responsible mutual funds. Parental resources during an individual’s adolescence (financial and parental life experience) are further found to significantly explain individuals’ adult prosocial investment behavior. The results are robust to conditioning on a number of alternative explanations.

  • 4.
    Hellström, Jörgen
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Stålnacke, Oscar
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Evaluating measures of individual investors' expectations of risk and return2017In: Review of Behavioral Finance, ISSN 1940-5979, Vol. 9, no 3, p. 206-226Article in journal (Refereed)
    Abstract [en]

    Purpose

    The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.

    Design/methodology/approach

    The authors measure individual investors’ expectations of risk and return regarding an index fund and two stocks using survey data on a random sample of individual investors in Sweden. The survey contains three different return and four different risk expectation measures. To evaluate the different expectation measures, three different evaluation perspectives are considered.

    Findings

    The risk expectations obtained from the different measures are positively correlated across respondents, but their average magnitudes differ considerably across measures. The return expectations are also positively correlated, and their magnitudes also differ, but to a lesser extent. Consequently, the same individual can express risk expectations that either underestimate or overestimate the forward risk, depending on the measure that is used. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain the expectations. The results from the evaluation of the measures indicate that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations, using all three of the evaluation perspectives.

    Originality/value

    This is, to the best of the authors’ knowledge, the first paper that evaluates different survey measures of individual investors’ expectations of risk and return.

  • 5.
    Hellström, Jörgen
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Stålnacke, Oscar
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Individuals’ Financial Risk-Taking and Peer InfluenceManuscript (preprint) (Other academic)
    Abstract [en]

    Individual investor’s financial risk-taking is linked to the behavior among peers within ones community. By use of data at the individual level, including detailed information about financial holdings, wealth and a host of socioeconomic and demographic characteristics, it is found that risk-taking among peers affect individuals choice of portfolio risk. The results hold for the full sample of individuals concerning their choice of overall proportion of risky assets, as well as for stock market participants’ choice of total- and systematic stock portfolio risk. Overall, the results stress that interaction with peers’ is an important channel through which individuals’ risk-taking is affected.

  • 6.
    Lundgren, Tommy
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business.
    Environmental incidents and firm value: international evidence using a multi-factor event study framework2010In: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 20, no 16, p. 1293-1307Article in journal (Refereed)
    Abstract [en]

    Event study methodology is used to analyse whether bad news in the form of Environmental (EV) incidents affect firm value negatively. An international sample of firms with EV incidents is studied. It is found that EV incidents are generally associated with the loss of value. For European firms, the loss is statistically significant and the magnitude of the abnormal returns should be of economic significance to corporations and investors. The results are not sensitive to multiple variations in methodology, including the use of international versions of the market model as well as of multi-factor models of the Fama-French type. Results are also robust to different parametric and nonparametric test statistics.

  • 7.
    Lundgren, Tommy
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
    How bad is bad news?: Assessing the effects of environmental incidents on firm value2009In: American Journal of Finance and Accounting, ISSN 1752-7767, Vol. 1, no 4, p. 376-392Article in journal (Refereed)
    Abstract [en]

    Based on a formal model of how investments in corporate socialresponsibility act upon firm value through goodwill, we derive the hypothesisthat under uncertainty bad news are detrimental to goodwill, and subsequentlyhave a negative impact on value. We examine by event study methodologywhether bad news in the form of environmental (EV) incidents affect firmvalue negatively as measured by abnormal returns using a global data set. AnEV incident is a company incident allegedly in violation of international normson environmental issues. We analyse 142 EV incidents 2003–2006. The EVincidents are generally associated with loss of value, but which are notstatistically significant, except for incidents for firms in Europe. Furthermore,results indicate that firms with low goodwill capital (high EV risk rating) areassociated with relatively larger negative abnormal returns in case of an EV incident.

  • 8.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
    Hållbar portföljförvaltning och tracking error2011In: Hållbar utveckling: från risk till värde / [ed] Lars G. Hassel, Lars-Olle Larsson och Elisabeth Nore, Lund: Studentlitteratur AB, 2011, p. 101-107Chapter in book (Other academic)
  • 9.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business.
    Implications of constant growth of abnormal earnings in perpetuity for equity premia, discount rates, earnings, dividends, book values and key financial ratios: an extension of Claus and Thomas2005Report (Other academic)
    Abstract [en]

    We derive analytical formulas for the post-horizontal and asymptotic behavior of earnings, dividends, book value, and key financial ratios, as implied by the terminal value model of constant perpetual abnormal earnings growth. The implications of Claus and Thomas (2001) (CT) abnormal earnings growth forecasts for these quantities are examined and found reasonable. Analysis of the implicit functional relationships between the equity premium and the aforesaid quantities using CT's U.S. data reveals that a traditional premium of 8% implies 14% asymptotic growth in abnormal earnings, earnings, dividends and book value, and equally extreme asymptotic return-on-equity, price-to-earnings and price-to-book ratios.

  • 10.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
    Portfolio management under transaction costs: Model development and Swedish evidence2005Doctoral thesis, monograph (Other academic)
    Abstract [en]

    Portfolio performance evaluations indicate that managed stock portfolios on average underperform relevant benchmarks. Transaction costs arise inevitably when stocks are bought and sold, but the majority of the research on portfolio management does not consider such costs, let alone transaction costs including price impact costs. The conjecture of the thesis is that transaction cost control improves portfolio performance. The research questions addressed are: Do transaction costs matter in portfolio management? and Could transaction cost control improve portfolio performance? The questions are studied within the context of mean-variance (MV) and index fund management. The treatment of transaction costs includes price impact costs and is throughout based on the premises that the trading is uninformed, immediate, and conducted in an open electronic limit order book system. These premises characterize a considerable amount of all trading in stocks.

    First, cross-sectional models of price impact costs for Swedish stocks are developed using limit order book information in a novel fashion. Theoretical analysis shows that the price impact cost function of order volume in a limit order book with discrete prices is increasing and piecewise concave. The estimated price impact cost functions are negatively related to market capitalization and historical trading activity, while positively related to order size and stock return volatility. Total transaction costs are obtained by adding the relevant commission rate to the price impact cost.

    Second, the importance of transaction costs and transaction cost control is examined within MV portfolio management. I extend the standard MV model by formulating a quadratic program for MV portfolio revisions under transaction costs including price impact costs. The extended portfolio model is integrated with the empirical transaction cost models developed. The integrated model is applied to revise portfolios with different net asset values and across a wide range of risk attitudes. The initial (unrevised) portfolios are capitalization-weighted and contain all Swedish stocks with sufficient data. The standard MV model, which neglects transaction costs, realizes non-trivial certainty equivalent losses relative to the extended model, which, in addition, exhibits lower turnover, higher diversification, and lower transaction costs incurred. The evidence suggests that transaction cost control improves performance in MV revisions, and that price impact costs are worthwhile to consider.

    Third, the research questions are studied within index fund management. I formulate two index fund revision models under transaction costs including price impact costs. Each model is integrated with the empirical transaction cost models. Transaction costs including price impact costs, cash flows, and corporate actions are incorporated in the empirical tests, which use ten years of daily data. In the tests, the two index fund revision models and several alternative approaches, including full replication, are applied to track a Swedish capitalization-weighted stock index. Instead of using an extant index, an index is independently calculated according to a consistent methodology, mimicking that of the most used index in the Nordic region, the OMX(S30). The alternative approaches are tested under a number of variations including different tracking error measures and different types and degrees of transaction cost control. Index funds implemented by the index fund revision models under transaction cost control dominate, in all dimensions of tracking performance considered, their counterparts implemented without transaction cost control as well as the funds implemented by full replication. Price impact costs constitute the majority of the transaction costs incurred. Additional results indicate that some common tracking error measures perform similar and that the technique to control transaction cost by constructing an index fund from a pre-defined subset of the most liquid index stocks is not efficient.

    The overall conclusion of the thesis is that transaction costs matter, that transaction cost control improves portfolio performance, and that price impact costs are important to consider.

  • 11.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business.
    Portfolio performance and environmental risk2007Report (Other academic)
    Abstract [en]

    This paper examines the performance of US stock portfolios constructed and rebalanced to have different environmental (EV) risk. EV risk is proxied by EV risk ratings from GES Investment Services. Portfolios with high EV risk generate higher raw returns than low EV risk portfolios, but when risk and other factors are controlled for using the three Fama-French factors and a momentum factor, the risk-adjusted returns of both high and low EV risk portfolios are not statistically different from zero. The evidence thus indicate that a portfolio of stocks with low EV risk, intended to be more responsible, neither underperform or outperform on a risk-adjusted basis.

  • 12.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business.
    The abnormal earnings model: dirty surplus, analysts forecasts and the prediction of book values. Swedish evidence2001In: Proceedings of the 13th Asian-Pacific Conference on International Accounting Issues, Rio de Janeiro, Brazil, 2001Conference paper (Other academic)
  • 13.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE).
    Tracking error minimization under varying sustainability criterion stringency: environmental ratings and US stock portfolios2010In: Insurance Markets and Companies: Analyses and Actuarial Computations, ISSN 2078-2454, E-ISSN 2078-2462, Vol. 1, no 3, p. 67-70Article in journal (Refereed)
    Abstract [en]

    The study provides empirical evidence on how minimum tracking error varies, as the stringency of a sustainability criterion is varied. The sustainability criterion is based on environmental (EV) ratings for a universe of large capitalization U.S. firms. Increasingly sustainable portfolios are created from increasingly smaller subsets each containing stocks with increasingly higher EV ratings. Minimized tracking error standard deviation increases with sustainability stringency and varies from 0.4% per year for a portfolio, created from the 400 stocks with the highest EV ratings to 4.6% per year for a portfolio, created from the 20 stocks with the highest EV ratings. These sustainable portfolios’ tracking errors appear to be equal or lower than those of existing sustainable funds from similar universes.

  • 14.
    Stålnacke, Oscar
    et al.
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Olsson, Rickard
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Hellström, Jörgen
    Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration.
    Evaluating Measures of Individual Investors’ Expectations of Risk and ReturnManuscript (preprint) (Other academic)
    Abstract [en]

    Purpose – The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.

    Design/methodology/approach – We measure individual investors’ expectations of risk and return regarding an index fund and two stocks using survey data on a random sample of individual investors in Sweden. The survey contains three different return and four different risk expectation measures. To evaluate the different expectation measures, three different evaluation perspectives are considered.

    Findings – The expectations obtained from the different measures are significantly correlated, but the magnitude between the measures differs considerably, especially between the risk expectations. Consequently, the same individual can express risk expectations that either under- or overestimate the forward risk, depending on the measure that is used. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain the expectations. The results from the evaluation of the measures indicate that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations, using all three of the evaluation perspectives.

    Originality/value – This is, to the best of our knowledge, the first paper that evaluates different survey measures of individual investors’ expectations of risk and return.

1 - 14 of 14
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