| 30231. |
- Olsson, Rickard, 1969-
(författare)
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Portfolio management under transaction costs: Model development and Swedish evidence
- 2005
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- 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.
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| 30232. |
- Olve, Nils-Göran, 1947-, et al.
(författare)
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Belöningssystems roll i styrningen
- 2013
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Ingår i: Perspektiv på ekonomistyrning. - Stockholm : Liber. - 9789147096947
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Bokkapitel (övrigt vetenskapligt/konstnärligt)
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| 30233. |
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| 30234. |
- Olve, Nils-Göran, 1947-, et al.
(författare)
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Prismodeller som strategisktverktyg
- 2013
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Ingår i: Bonnier Ledarskapshandböcker. - Stockholm : Bonnier.
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Bokkapitel (populärvet., debatt m.m.)
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| 30235. |
- Olve, Nils-Göran, 1947-, et al.
(författare)
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The Internal Auditor's Involvement in Acquisitions
- 2013
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Ingår i: Mergers and acquisitions: the critical role of stakeholders. - New York : Routledge. - 9780415536523 ; , s. 101-122
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Bokkapitel (övrigt vetenskapligt/konstnärligt)
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| 30236. |
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Om undran inför företagsekonomin
- 2020. - 1
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Samlingsverk (redaktörskap) (övrigt vetenskapligt/konstnärligt)abstract
- Johan Asplunds Om undran inför samhället är en klassiker inom svensk samhällsvetenskap. Otaliga är de studenter och forskare som låtit sig utmanas, inspireras och vägledas av den vetenskapliga hållning Asplund presenterar. Asplunds undrande attityd inför livet och dess många skiftande uttrycksformer utmärks av ett sökande efter förståelse istället för förklaring; den innebär att närma sig verklighetens fenomen som vore de gåtor att dechiffrera och den syftar, inte minst, till att problematisera det som anses vara naturligt eller självklart. Asplund önskar helt sonika begripliggöra världen genom att vrida och vända på den så att andra aspekter av verkligheten framträder än dem som tas för givna i vardagen.I denna bok återvänder en grupp forskare till Johan Asplunds bok och utforska det sociala fenomen som utgör sin för-givet-tagna verklighet: företagsekonomin. Det finns ett tungt vägande skäl varför det är viktigt att ställa sig undrande inför just företagsekonomin: Ämnet är en kraft i samhället. Sedan 1993 har över 150000 företagsekonomer examinerats från de svenska lärosätena, och årligen fylls arbetsmarknaden på med cirka 7500 nybakade företagsekonomer. Under läsåret 2018/19 var så många som var tionde examen från det svenska utbildningsväsendet en examen inom företagsekonomi. Detta säger något om de prioriteringar som görs i samhället men det säger också något om det hopp och de förväntningar som unga människor knyter till disciplinen.I denna bok är ambitionen att synliggöra några av företagsekonomins många konsekvenser. Intresset riktas mot företagsekonomin som kunskapsdomän, som praktik och som ideologi. I boken utforskas Johan Asplunds idéer mot en företagsekonomisk fond. Vad har hans sätt att resonera kring människor och kunskapande att säga om företagsekonomin som samhällelig praktik? Företagsekonomins tankevärld och språk ställs till svars: Vilket slags aspektseende handlar företagsekonomi om? Och leder verkligen företagsekonomins tankefigurer till en sådan akut aspektblindhet som Asplund fruktar? Kort sagt, boken utgör en undran inför företagsekonomin.
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| 30237. |
- Omanović, Vedran, 1965, et al.
(författare)
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Practices of organizing migrants' integration into the European labour market
- 2022
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Ingår i: European Management Review. - : Wiley. - 1740-4754 .- 1740-4762. ; 19:2, s. 173-184
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Tidskriftsartikel (refereegranskat)abstract
- Organizational practices of migrants' labour market integration have by and large been overlooked in favour of research on societal-level/macrolevel factors, policies, rules and regulations and their impacts on migrants' positions and perspectives on the labour market in the host country. Organizations are conceptualized as key sites that can open doors for meaningful employment and career progression or close them by way of producing inequalities. This change of focus, which we advocate, has a potential to not only increase our understanding of how migrants' labour market integration is organized and practiced at the organizational level, but also shed light on migrants' own mobilizations and agency in these processes. Research on organizational practices of workplace integration of migrants is also relevant as economic and political migration is still high on the agenda in many European countries, particularly since the so-called ‘refugee crisis’ in 2015, when hundreds of thousands of refugees made their way to Europe. Unfortunately, the war in Ukraine in 2022 reminds us of the heightened importance of this issue. In this article, we start by outlining what has motivated this Special Section. Next, we briefly review the relevant literature that directly or indirectly focuses on practices of organizing migrants' labour market integration in European host countries. We then introduce the two contributions to this Special Section, presenting and discussing their main lines of reasoning and how each of them answer our call for papers. We conclude by elaborating what is, from our point of view, still missing and suggest possible avenues for future research.
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| 30238. |
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| 30239. |
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| 30240. |
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Organization outside organizations : The abundance of partial organization in social life
- 2019
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Samlingsverk (redaktörskap) (refereegranskat)abstract
- The book explores how various social settings are partially organized even when they do not form part of a formal organization. It also shows how even formal organizations may be only partially organized. Professors Göran Ahrne and Nils Brunsson first established the concept of partial organization in 2011 and in doing so opened up a groundbreaking new field of organizational analysis. An academic community has since developed around the concept, and Ahrne and Brunsson have edited this collection to reflect the current state of inquiry in this burgeoning subject and to set an agenda for future research. Its chapters explain how organization is a salient feature in many social settings, including markets, interfirm networks, social movements, criminal gangs, internet communication and family life. Organization theory is much more relevant for the understanding of social processes than previously assumed. This book provides a new understanding of many social phenomena and opens up new fields for organizational analysis.
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