Who moves stock prices? Monthly evidence

Existing evidence using US data shows a simultaneous covariability between a stock's price and quarterly flows into and out of the stock by institutional investors. In this paper we use date on monthly changes in holdings by all investor groups at the Oslo Stock Exchange to shown that the quarterly effects in US data is concentrated within a month. We see a clear positive relation between monthly net flows into a stock by institutions and foreigners and the stock's return. We find no evidence of any effects the next month, providing evidence against the hypothesis that the US quarterly results are due to within-quarter feedback. Such feedback effects must be of less than one month duration. We show that offsetting net inflows by mutual funds and foreigners are net outflows by individual and nonfinancial investors. The interesting question is which of these groups are active in pushing prices. While we can not empirically distinguish which of the various investor groups is reacting, we argue that the most reasonable story is that institutions and foreign investors are the active parties, since the prices move in the direction of these groups' trades. The lack of next-month feedback (price reversals) is consistent with prices moving toward fundamentals.Asset Prices; Investor Groups; Mutual Funds; Herding; Feedback.

The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?

We empirically investigate the costs of trading equity at the Oslo Stock Exchange in the period 1980--2008. We show the time series evolution of different measures of (implicit) trading costs: bid/ask spreads, the Roll(1984) measure and the Lesmond et al (1999) measure. We find a clear time variation in these measures, with estimated trading costs much lower in the late eighties and nineties than in the early nineties and just after 2000. The cost of trading has sunk in recent years, but not dramatically compared to earlier periods.Market Microstructure; Trading costs

The diversification cost of large, concentrated equity stakes. How big is it? Is it justified?

While the hypothesis that ownership concentration can affect the value of a company has seen a lot of empirical study, little light has been shed on a complementary problem, that these concentrated owners have a cost of their position due to an undiversified portfolio. Using a unique data set of the actual diversification of all Norwegian equity owners, we show that the largest owners of a corporation in fact have very undiversified equity portfolios, and that such owners have significant costs to their concentrated portfolios. At the level of risk of a benchmark portfolio, if they were to move from their present portfolio composition in risky assets to a well diversified portfolio, their returns would have increased by about 13 percentage points in annual terms. We ask whether this cost can be explained by estimated benefits of ownership concentration (private benefits), and show that extant estimates of private benefits are too low to offset our cost estimates.Portfolio diversification; Large equity owners; Costs and benefits of equity ownership concentration; Private benefits.

Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

We use data on actual holding periods for all investors in a stock market over a 10-year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. Average holding periods differ across different investor types. Turnover is an imperfect proxy for holding period. While both turnover and spread are related to stock returns, holding period is not.Market microstructure; Holding period; duration

The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange

We investigate the information content of aggregate stock market liquidity and ask whether it may be a useful realtime indicator, both for financial stress, and real economic activity in Norway. We describe the development in a set of liquidity proxies at the Oslo Stock Exchange (OSE) for the period 1980-2008, with particular focus on crisis period 2007 through 2008, showing how market liquidity and trading activity changed for the whole market as well as for individual industry sectors. We also evaluate the predictive power of market liquidity for economic growth both in-sample and out-of-sample.Liquidity; Business Cycles; Financial crisis; Economic Activity

Patterns of Corporate Ownership: Insights from a unique data set

Using a data base which is exceptionally rich and accurate by international standards, this paper quantifies a wide range of ownership structure characteristics for all Oslo Stock Exchange firms in the period 1989–1997. Overall, we find that their ownership structures differ remarkably from those of other European firms. We speculate that a socialdemocratic rule and strong legal protection of stockholder rights may explain why the personal investment in Norwegian listed firms is so limited (low direct ownership), why the largest owner is so small (low concentration), and why the other major owners are so large (flat power structure). Our findings raise two questions about the viability of corporate governance systems in general. The first is whether delegated monitoring carried out by state bureaucrats and corporate managers is an effective disciplining mechanism. The second question is whether low ownership concentration produces strong managers and weak owners or whether the flat power structure facilitates joint monitoring by owners who are individually weak, but collectively strong.

Empirical Tests of Models of Catastrophe Insurance Futures

The authors empirically investigate models of insurance futures derivatives contracts. In the fall of 1993 the Chicago Board of Trade (CBOT) started trading a contract designed to scrutinize catastrophic risk, which is currently done in the reinsurance markets. There are obvious advantages to trading on organized exchanges (standardization, liquidity, much reduced credit risk, etc.) as opposed to OTC markets. There has so far been little academic on these contracts. In this paper we look at the price history for the first two years within the context of a pricing model of Aase [1995]. This paper was presented at the Financial Institutions Center's May 1996 conference on "

Assumptions, Efficiency and Trust in Non-Interactive Zero-Knowledge Proofs

Vi lever i en digital verden. En betydelig del av livene våre skjer på nettet, og vi bruker internett for stadig flere formål og er avhengig av stadig mer avansert teknologi. Det er derfor viktig å beskytte seg mot ondsinnede aktører som kan forsøke å utnytte denne avhengigheten for egen vinning. Kryptografi er en sentral del av svaret på hvordan man kan beskytte internettbrukere. Historisk sett har kryptografi hovedsakelig vært opptatt av konfidensiell kommunikasjon, altså at ingen kan lese private meldinger sendt mellom to personer. I de siste tiårene har kryptografi blitt mer opptatt av å lage protokoller som garanterer personvern selv om man kan gjennomføre komplekse handlinger. Et viktig kryptografisk verktøy for å sikre at disse protokollene faktisk følges er kunnskapsløse bevis. Et kunnskapsløst bevis er en prosess hvor to parter, en bevisfører og en attestant, utveksler meldinger for å overbevise attestanten om at bevisføreren fulgte protokollen riktig (hvis dette faktisk er tilfelle) uten å avsløre privat informasjon til attestanten. For de fleste anvendelser er det ønskelig å lage et ikke-interaktivt kunnskapsløst bevis (IIK-bevis), der bevisføreren kun sender én melding til attestanten. IIK-bevis har en rekke ulike bruksområder, som gjør de til attraktive studieobjekter. Et IIK-bevis har en rekke ulike egenskaper og forbedring av noen av disse fremmer vår kollektive kryptografiske kunnskap. I den første artikkelen i denne avhandlingen konstruerer vi et nytt ikke-interaktivt kunnskapsløst bevis for språk basert på algebraiske mengder. Denne artikkelen er basert på arbeid av Couteau og Hartmann (Crypto 2020), som viste hvordan man omformer et bestemt interaktivt kunnskapsløst bevis til et IIK-bevis. Vi følger deres tilnærming, men vi bruker et annet interaktivt kunnskapsløst bevis. Dette fører til en forbedring sammenlignet med arbeidet deres på flere områder, spesielt når det gjelder både formodninger og effektivitet. I den andre artikkelen i denne avhandlingen studerer vi egenskapene til ikke-interaktive kunnskapsløse bevis som er motstandsdyktige mot undergraving. Det er umulig å lage et IIK-bevis uten å stole på en felles referansestreng (FRS) generert av en pålitelig tredjepart. Men det finnes eksempler på IIK-bevis der ingen lærer noe privat informasjon fra beviset selv om den felles referansestrengen ble skapt på en uredelig måte. I denne artikkelen lager vi en ny kryptografisk primitiv (verifiserbart-uttrekkbare enveisfunksjoner) og viser hvordan denne primitiven er relatert til IIK-bevis med den ovennevnte egenskapen.We live in a digital world. A significant part of our lives happens online, and we use the internet for incredibly many different purposes and we rely on increasingly advanced technology. It therefore is important to protect against malicious actors who may try to exploit this reliance for their own gain. Cryptography is a key part of the answer to protecting internet users. Historically, cryptography has mainly been focused on maintaining the confidentiality of communication, ensuring that no one can read private messages sent between people. In recent decades, cryptography has become concerned with creating protocols which guarantee privacy even as they support more complex actions. A crucial cryptographic tool to ensure that these protocols are indeed followed is the zero-knowledge proof. A zero-knowledge proof is a process where two parties, a prover and a verifier, exchange messages to convince the verifier that the prover followed the protocol correctly (if indeed the prover did so) without revealing any private information to the verifier. It is often desirable to create a non-interactive zero-knowledge proof (NIZK), where the prover only sends one message to the verifier. NIZKs have found a number of different applications, which makes them an attractive object of study. A NIZK has a variety of different properties, and improving any of these aspects advances our collective cryptographic knowledge. In the first paper in this thesis, we construct a new non-interactive zero-knowledge proof for languages based on algebraic sets. This paper is based on work by Couteau and Hartmann (Crypto 2020), which showed how to convert a particular interactive zero-knowledge proof to a NIZK. We follow their approach, but we start with a different interactive zero-knowledge proof. This leads to an improvement compared to their work in several ways, in particular in terms of both assumptions and efficiency. In the second paper in this thesis, we study the property of subversion zero-knowledge in non-interactive zero-knowledge proofs. It is impossible to create a NIZK without relying on a common reference string (CRS) generated by a trusted party. However, a NIZK with the subversion zero-knowledge property guarantees that no one learns any private information from the proof even if the CRS was generated dishonestly. In this paper, we create a new cryptographic primitive (verifiably-extractable one-way functions) and show how this primitive relates to NIZKs with subversion zero-knowledge.Doktorgradsavhandlin

The ownership structure of repurchasing firms

This paper provides an examination of the ownership structure in Norwegian firms that announced repurchase plans during the period 1999 through 2001, as well as for groups of these firms conditional on whether they actually executed repurchases or not. By using detailed information on various ownership variables that can be related to corporate governance mechanisms, the paper also examines whether the propensity for firms to announce a repurchase program depends on the ownership composition. Some interesting patterns are found which are consistent with models where firms with potentially the highest agency problems use repurchases to mitigate agency costs. However, a high insider ownership in these firms may also suggest that asymmetric information, shareholder expropriation and entrenchment may also be motivations for why firms repurchase shares.Stock repurchases, ownership structure, corporate governance

Statlig eierskap på Oslo Børs

Vi analyserer hvordan Oslo Børs påvirkes av det direkte statlige eierskapet i norske selskaper. Vi har først sett om det er en ``statsrabatt'' på Oslo Børs. Ved å se på data fra 1989 til 2007 har vi funnet noen indikasjoner på en slik rabatt, en negativ sammenheng mellom lønnsomhet, målt ved Q, og direkte statlig eierandel, men denne sammenhengen var kun signifikant i første del av perioden, 1989--1997. Vi har også sett på den risikojusterte aksjeavkastningen for statens portefølje. Porteføljens alfa (risikojustert meravkastning) var ikke signifikant forskjellig fra null. Vi har til slutt sett på statlig eie og likviditet. Det er noen tegn til at statlig eierskap påvirker likviditet, målt ved spread, negativt i siste del av perioden. Sammenhengen mellom volatilitet og statlig eierskap er ustabil over tid, den skifter fra positiv til negativ.government equity ownership;