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Holgersson, T., Karlsson, P. & Stephan, A. (2019). A risk perspective of estimating portfolio weights of the global minimum-variance portfolio. AStA Advances in Statistical Analysis
Open this publication in new window or tab >>A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
2019 (English)In: AStA Advances in Statistical Analysis, ISSN 1863-8171, E-ISSN 1863-818XArticle in journal (Refereed) Epub ahead of print
Abstract [en]

The problem of how to determine portfolio weights so that the variance of portfolio returns is minimized has been given considerable attention in the literature, and several methods have been proposed. Some properties of these estimators, however, remain unknown, and many of their relative strengths and weaknesses are therefore difficult to assess for users. This paper contributes to the field by comparing and contrasting the risk functions used to derive efficient portfolio weight estimators. It is argued that risk functions commonly used to derive and evaluate estimators may be inadequate and that alternative quality criteria should be considered instead. The theoretical discussions are supported by a Monte Carlo simulation and two empirical applications where particular focus is set on cases where the number of assets (p) is close to the number of observations (n). 

Place, publisher, year, edition, pages
Springer, 2019
Keywords
Global minimum-variance portfolio, High dimensional, Portfolio theory, Risk functions
National Category
Economics and Business
Identifiers
urn:nbn:se:hj:diva-43301 (URN)10.1007/s10182-018-00349-7 (DOI)2-s2.0-85061199749 (Scopus ID)
Available from: 2019-03-07 Created: 2019-03-07 Last updated: 2019-03-07
Ghosal, V., Stephan, A. & Weiss, J. F. (2019). Decentralized environmental regulations and plant-level productivity. Business Strategy and the Environment, 28(6), 998-1011
Open this publication in new window or tab >>Decentralized environmental regulations and plant-level productivity
2019 (English)In: Business Strategy and the Environment, ISSN 0964-4733, E-ISSN 1099-0836, Vol. 28, no 6, p. 998-1011Article in journal (Refereed) Published
Abstract [en]

Using the framework provided by the Porter hypothesis, we study the impact of environmental regulations and enforcement policies on plant-level green total factor productivity (TFP) growth and its components related to efficiency change and technical change. The detailed microdata we use are from Sweden and for the pulp and paper industry. This industry is the source of significant amounts of water and air pollution and is one of the most heavily environmentally regulated manufacturing industries. Sweden has a unique decentralized regulatory structure where the manufacturing plants have to comply with plant-specific regulatory standards stipulated at the national level, as well as decentralized local supervision and enforcement. Our empirical results point to beneficial impacts of the environmental policies on plants' green TFP growth and sustainable production practices. We also find that political economy considerations are important, as the presence of the Green Party and aspects like plant size (with corresponding local and regional economic effects) matter in enforcement of the standards.

Place, publisher, year, edition, pages
John Wiley & Sons, 2019
Keywords
efficiency, environmental policy, environmental regulations, green TFP, plant-level data, political economy, Porter hypothesis, productivity, pulp and paper industry, sustainable production, technical change
National Category
Business Administration Environmental Management
Identifiers
urn:nbn:se:hj:diva-43374 (URN)10.1002/bse.2297 (DOI)000483696100006 ()2-s2.0-85063295699 (Scopus ID);IHHCeFEOIS;JTHLogistikIS (Local ID);IHHCeFEOIS;JTHLogistikIS (Archive number);IHHCeFEOIS;JTHLogistikIS (OAI)
Available from: 2019-03-22 Created: 2019-03-22 Last updated: 2019-10-03Bibliographically approved
Gustafsson, A. & Stephan, A. (2019). Does the countryside lack cash (funding)?: The impact of public bank loans on firm growth and its dependence on location. Östersund: The Swedish Agency for Growth Policy Analysis
Open this publication in new window or tab >>Does the countryside lack cash (funding)?: The impact of public bank loans on firm growth and its dependence on location
2019 (English)Report (Other academic)
Abstract [en]

We investigate whether public policies that aim to reduce credit constraints for small and medium-sized enterprises (SMEs) have different impacts on firms located in different types of regions. Using loan data from the state-owned Swedish bank Almi and combining coarsened exact matching with difference-in-difference regressions, we find positive but heterogeneous effects of loans on firm growth. Firms in urban regions are found to be less credit-constrained compared to firms located in other regions. However, the impact from receiving a public loan on firm growth is stronger for SMEs residing in major cities compared to firms in other regions. These results have important implications, suggesting that an evaluation of policies that are targeted to reduce credit constraints should take firm location into account.

Place, publisher, year, edition, pages
Östersund: The Swedish Agency for Growth Policy Analysis, 2019. p. 23
Series
Working paper ; 2019:01
Keywords
Credit constraints, Public policy, State-owned banks, SMEs, CEM, Matching, Causal treatment effect evaluation, Regional policy
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-43335 (URN)
Available from: 2019-03-13 Created: 2019-03-13 Last updated: 2019-03-13Bibliographically approved
Lööf, H. & Stephan, A. (2019). The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return. Östersund: Myndigheten för tillväxtpolitiska utvärderingar och analyser
Open this publication in new window or tab >>The Impact of ESG on Stocks’ Downside Risk and Risk Adjusted Return
2019 (English)Report (Other academic)
Abstract [en]

Investments considering corporate social responsibility continue to expand. Are companies pursuing a CSR agenda benefiting shareholders by reducing their financial downside risk? This paper investigates the relationship between a firm’s environmental, social and corporate governance (ESG) scores and its downside risk on the stock market. We study this link using a panel of 887 stocks listed in five European countries over the period 2005-2017. Our empirical results show that higher ESG scores are associated with reduced downside risk of stock returns. Based on the Fama-French three factor model, we found no systematic relationship between ESG and the level of risk-adjusted return.

Place, publisher, year, edition, pages
Östersund: Myndigheten för tillväxtpolitiska utvärderingar och analyser, 2019. p. 19
Series
Working paper ; 2019:02
Keywords
ESG, Value at Risk, Risk-adjusted return, stock market, panel data
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-43337 (URN)
Available from: 2019-03-13 Created: 2019-03-13 Last updated: 2019-03-13Bibliographically approved
Weiss, J. F., Stephan, A. & Anisimova, T. (2019). Well-designed environmental regulation and firm performance: Swedish evidence on the Porter hypothesis and the effect of regulatory time strategies. Journal of Environmental Planning and Management, 62(2), 342-363
Open this publication in new window or tab >>Well-designed environmental regulation and firm performance: Swedish evidence on the Porter hypothesis and the effect of regulatory time strategies
2019 (English)In: Journal of Environmental Planning and Management, ISSN 0964-0568, E-ISSN 1360-0559, Vol. 62, no 2, p. 342-363Article in journal (Refereed) Published
Abstract [en]

Using recent data on a cross-section of Swedish chemical and pulp and paper firms, this paper provides novel empirical insights into the Porter hypothesis. Well-designed environmental regulation can stimulate firms’ innovative capabilities, while at the same time generating innovation offsets that may both offset net compliance costs and yield a competitive edge over those firms that are not affected by such regulations. In doing so, we also test the alleged effectiveness of regulatory time strategies in stimulating innovation activities of regulated firms. We find evidence for the effectiveness of such well-designed regulations: announced rather than existing regulation induces innovation and some innovation offsets. Our results imply that empirical tests of the Porter hypothesis that do not account for its dynamic nature, and that do not measure well-designed regulations, might provide misleading conclusions as to its validity.

Place, publisher, year, edition, pages
Taylor & Francis, 2019
Keywords
Porter hypothesis, environmental regulation, regulatory time strategies, firm innovation, firm performance
National Category
Business Administration
Identifiers
urn:nbn:se:hj:diva-38851 (URN)10.1080/09640568.2017.1419940 (DOI)000466167000009 ()2-s2.0-85041892103 (Scopus ID)
Available from: 2018-02-15 Created: 2018-02-15 Last updated: 2019-05-27Bibliographically approved
Röös, E., Carlsson, G., Ferawati, F., Hefni, M., Stephan, A., Tidåker, P. & Witthöft, C. (2018). Less meat, more legumes: prospects and challenges in the transition toward sustainable diets in Sweden. Renewable Agriculture and Food Systems
Open this publication in new window or tab >>Less meat, more legumes: prospects and challenges in the transition toward sustainable diets in Sweden
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2018 (English)In: Renewable Agriculture and Food Systems, ISSN 1742-1705, E-ISSN 1742-1713Article in journal (Refereed) Epub ahead of print
Abstract [en]

The Western diet is characterized by high meat consumption, which negatively affects the environment and human health. Transitioning toward eating more plant-based products in Western societies has been identified as a key instrument to tackle these problems. However, one potential concern is that radically reducing meat in the current diet might lead to deficiencies in nutritional intake. In this paper, we explore a scenario in which meat consumption in Sweden is reduced by 50% and replaced by domestically grown grain legumes. We quantify and discuss the implications for nutritional intake on population level, consequences for agricultural production systems and environmental performance. The reduction in meat consumption is assumed to come primarily from a decrease in imported meat. We use data representing current Swedish conditions including the Swedish dietary survey, the Swedish food composition database, Statistics Sweden and existing life cycle assessments for different food items. At population level, average daily intake of energy and most macro- and micro-nutrients would be maintained within the Nordic Nutrition Recommendations after the proposed transition (e.g., for protein, fat, zinc, vitamin B12 and total iron). The transition would also provide a considerable increase in dietary fiber and some increase in folate intake, which are currently below the recommended levels. The transition scenario would increase total area of grain legume cultivation from 2.2% (current level) to 3.2% of Swedish arable land and is considered technically feasible. The climate impact of the average Swedish diet would be reduced by 20% and the land use requirement by 23%. There would be a net surplus of approximately 21,500 ha that could be used for bioenergy production, crop production for export, nature conservation, etc. Implementation of this scenario faces challenges, such as lack of suitable varieties for varying conditions, lack of processing facilities to supply functional legume-based ingredients to food industries and low consumer awareness about the benefits of eating grain legumes. In sum, joint efforts from multiple actors are needed to stimulate a decrease in meat consumption and to increase cultivation and use of domestically grown grain legumes.

National Category
Food Science
Identifiers
urn:nbn:se:hj:diva-41629 (URN)10.1017/S1742170518000443 (DOI)2-s2.0-85054984187 (Scopus ID)IHHCeFEOIS (Local ID)IHHCeFEOIS (Archive number)IHHCeFEOIS (OAI)
Available from: 2018-09-27 Created: 2018-09-27 Last updated: 2019-08-13
Wulandari, F., Schäfer, D., Stephan, A. & Sun, C. (2018). Liquidity risk and yield spreads of green bonds. Berlin: DIW Berlin, German Institute for Economic Research
Open this publication in new window or tab >>Liquidity risk and yield spreads of green bonds
2018 (English)Report (Other academic)
Abstract [en]

This study analyses how liquidity risk affects bonds’ yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.

Place, publisher, year, edition, pages
Berlin: DIW Berlin, German Institute for Economic Research, 2018. p. 22
Series
Discussion Papers, E-ISSN 1619-4535 ; 1728
Keywords
Green Bond, Liquidity Risk, Yield Spread, Sustainable Investment, Fixed Income Security, Financial Innovation
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-41595 (URN)
Available from: 2018-09-26 Created: 2018-09-26 Last updated: 2019-02-28Bibliographically approved
Lööf, H., Stephan, A. & Wulandari, F. (2018). New ventures in Cleantech: opportunities, capabilities and innovation outcomes. Stockholm: CESIS, Royal Institute of Technology
Open this publication in new window or tab >>New ventures in Cleantech: opportunities, capabilities and innovation outcomes
2018 (English)Report (Other academic)
Abstract [en]

Facing the challenge of climate change, innovations that imply environmental benefits create business opportunities for entrepreneurs. This paper analyzes innovation capabilities of startups in Cleantech and how the innovation outcomes of those startups develop over time. Based on the Mannheim Foundation Panel and applying propensity score matching, a cohort of 566 Cleantech startups is analyzed and compared with a control group of non-Cleantech startups. We find that startups in Cleantech have, on average, higher innovation capabilities compared with all startups. However, Cleantech startups are a heterogeneous group including ventures using common technology and those developing new technology. Our econometric evidence shows that, ceteris paribus, Cleantech startups are more likely to combine existing technology in a novel way. Finally, we find that Cleantech startups do, on average, develop more market novelties in later years compared to theirs peers

Place, publisher, year, edition, pages
Stockholm: CESIS, Royal Institute of Technology, 2018. p. 41
Series
Working Paper Series in Economics and Institutions of Innovation ; 467
Keywords
Innovative startups, green innovations, Cleantech, capabilities, policies
National Category
Business Administration
Identifiers
urn:nbn:se:hj:diva-41030 (URN)
Available from: 2018-07-20 Created: 2018-07-20 Last updated: 2018-08-30Bibliographically approved
Baum, C. F., Lööf, H., Perez, L. & Stephan, A. (2018). Offshoring and Innovation Capabilities: Evidence from Swedish Manufacturing. Stockholm: CESIS, Royal Institute of Technology
Open this publication in new window or tab >>Offshoring and Innovation Capabilities: Evidence from Swedish Manufacturing
2018 (English)Report (Other academic)
Abstract [en]

This paper examines the impact of global value chains on firms’ innovation capabilities. Using the United Nations Broad Economic Categories (BEC) system to identify offshoring-related intermediate imports, we study contracting out production over the period 2001–2014 from about 7,000 mainly small Swedish manufacturing firms to six different destinations and test hypotheses on improvements and outcomes of innovation capabilities. Our empirical findings show that the strategy to participate in global value chains increases firms’ innovative capability regardless of firms’ technology intensity. The results are robust to a wide set of controls and in line with predictions in recent models of directed technical change.

Place, publisher, year, edition, pages
Stockholm: CESIS, Royal Institute of Technology, 2018. p. 29
Series
Working Paper Series in Economics and Institutions of Innovation ; 469
Keywords
Offshoring, Innovation Capabilities, Technical Change, Skill Premium, Panel Data
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-41025 (URN)
Available from: 2018-07-20 Created: 2018-07-20 Last updated: 2018-07-20Bibliographically approved
Baum, C. F., Lööf, H., Stephan, A. & Viklund-Ros, I. (2018). Outside Board Directors and Start-Up Firms’ Innovation. Stockholm: CESIS, Royal Institute of Technology
Open this publication in new window or tab >>Outside Board Directors and Start-Up Firms’ Innovation
2018 (English)Report (Other academic)
Abstract [en]

We exploit increased access to detailed employer-employee data to assess whether outside board members affect innovation performance among start-up firms. Using data for all new limited companies in Sweden born during 1999–2013 which have no more then 10 employees when formed, we provide structural equation estimates that deal with the endogenous selection of board directors. Our empirical findings show that an increase in the board’s expertise, measured by the relative productivity of the firms where outsiders are employed, has a significant and positive impact on the new firm’s propensity to apply for both patents and trademarks.

Place, publisher, year, edition, pages
Stockholm: CESIS, Royal Institute of Technology, 2018. p. 21
Series
Working Paper Series in Economics and Institutions of Innovation ; 468
Keywords
Start-ups, outside directors, innovation, patents, trademarks, productivity, endogeneity
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-41028 (URN)
Available from: 2018-07-20 Created: 2018-07-20 Last updated: 2018-07-20Bibliographically approved
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0001-5776-9396

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