The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. By using an AR(1)-GARCH(p,q) model and a Diebold-Yilmaz spillover approach, we can measure the spillover effects between ESG indices and other benchmark indices for both return and volatility. We find that country-level ESG indices are more integrated with other country-level ESG indices than other assets, and that country-level ESG indices transmit more to the MSCI world ESG index, MSCI world equity index, Crude oil, Gold, and our currency index EUR/USD. These findings hold true for both return and volatility spillover. Thus, our policy implications are that including country-level ESG assets in the portfolio can decrease portfolio risk and help minimize the contagious effects of shocks on the portfolio.

As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. As Amihud (2002) originally applies an illiquidity measure from daily return and turnover, this thesis elaborates on his average market illiquidity measure AILLIQ on assets of Nasdaq First North Growth Market. Over a five-year period returns are estimated using the CAPM together with the illiquidity proxy on Swedish growth assets. Results are in line with intuitive thoughts of a positive relationship between risk and return. The hypothesis of zero impact is rejected and concludes that illiquidity can have an impact on expected return.

Floods is a serious concern across Europe due to the enormous material damage and death toll. Of alltypes of floods, flash floods and large-scale river floods have become major natural hydrological hazardsin most countries. The city of Halmstad was chosen due to its placement on the southern west coast ofSweden, a region for which climate projections have indicated more precipitation and potential forflooding. In recent years a number of floods have also been observed with associated damages. Usingextreme value analysis on observed data these events can be interpreted in terms of return level valuesand their frequency of occurrence. The seasonal variation of the precipitation and discharge of thecatchment were analyzed based on 43-year precipitation and 25-year discharge observation data and therelationship to NAO index was investigated to give a preliminary overview of the hydrologicalconditions in Halmstad and its causes. The results showed that Halmstad was seasonally characterizedby high discharge in winter and lower discharge in summer with the highest rainfall. The effect of stormtracks represented by the NAO index on the precipitation and discharge in winter months was evident.This study focused on the analysis of extreme data of precipitation and discharge. The return levels forup to 50-year return period were estimated by GEV fitting. The estimated return level of discharge fora 50-year return period is 250 m³/s, and the return levels of precipitation for a 50-year flood was foundto be 68 mm/day. Two cases were selected from a compiled annual maxima discharge data set foranalyzing and comparing their weather conditions based on ERA5 data. The results showed that differentweather conditions do have an impact on the total rainfall, and there were similar patterns but largedifferences between ERA5 reanalysis data and observed SMHI data was also shown emphasizing theneed for long-term observational data sets and further evaluation of reanalysis data.

ESG-score är ett hållbarhetsmått som blivit allt mer aktuellt och innefattar områdena miljö, socialt ansvar samt bolagsstyrning. Uppsatsen undersöker tidigare studier kring ESG och intresset för hur hållbarhet har ökat i samhället. Med det som grund är syftet att vidare undersöka hur olika företags ESG-score påverkar deras finansiella utfall, avgränsat till börsnoterade företag på den svenska marknaden samt utvalda finansiella mått. Regressioner av uppsatsens datainsamling har utförts för att undersöka om ESG-score har en signifikant påverkan på de olika finansiella utfallen. Tidigare studier har haft delade meningar huruvida ett samband existerar, samt kring tillförlitligheten av betyget. Flera studier uppmanar till mer forskning inom området vilket har motiverat uppsatsen forskningsområde. Studiens resultat finner slutligen ett negativt signifikant samband mellan ESG-score och Market to Book, de resterande finansiella utfallen visar inget statistiskt signifikant samband till företagens ESG-score.

The Nordic markets have in recent years been flooded by IPOs, which have attracted the attention of investors seeking to capitalise on the IPO market. Previous studies on the IPO market have found strong evidence of underpricing, which is increasing in good market conditons. Using a sample of 448 IPOs, this thesis have examinated how the IPOs in the Nordic region perfrom in the aftermarket during one year, dependent on the market conditon at the time of the issuance. The IPOs in the sample have been divided into subgroups based on the market condtion at the time of the issuance, and a totalt of three different defitnions of how the market conditoion is defined have been used. The abnormal return of the IPOs have furthermore been calculated against two alternative benchmarks to streanghen the validity of the result. The result of the study indicates that the underpricing of IPOs in the Nordic region is lower compared to other larger economies. Evidence have also been presented which show that the market condition at the time of the issuance greatly affects the return of the IPOs.

In winter it is common with frost formation in plate heat exchangers. During defrosting, the heat recovery efficiency decreases and the heat rate requirement for post-heating increases. One way to avoid frost formation is to preheat the ventilation air with geothermal energy, a so-called GeoMVHR system. This study examines the profitability of eliminating the requirement for post-heating using geothermal energy to preheat the incoming ventilation air. The study evaluates the profitability for two locations in Sweden, Stockholm and Gothenburg. The method used is the internal rate of return. The heat rate requirement for post-heating in an MVHR system without geothermal outdoor preheating and the power for operating a GeoMVHR system that eliminates the requirement for post-heating is calculated. The internal rate of return was 5.7% for Gothenburg and 5.3% for Stockholm. The conclusion was that the GeoMVHR systems could be seen as a profitable investment.

In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. The leverage effect refers to the well-established negative relationship between return and future volatility. The relation is usually explained by the increased leverage ratio that arises from a drop in the share price for a firm. A lower price means lower value of the equity and while the debt remains unchanged, the leverage ratio will rise. The leverage ratio affect how risky the equity is from an investor’s perspective, hence affects the volatility of the stock. This paper aims to analyse whether the theory is applicable on the Swedish stock exchange and takes both individual stocks and the OMXS30-index into account. Further theories related to the model is acknowledged in order to enhance the analysis of the findings. The study is performed by a regression model where volatility, estimated through an EGARCH model, represents the dependent variable. Lagged return, together with a number of control variables, constitutes the explanatory variables. The findings claims that the leverage effect is present for individual stocks but can be rejected on the index level. Additionally, significant improvement was noticed when a dynamic approach was added to the model. The conclusions drawn is that the Swedish stock exchange facilitates the leverage effect for individual firms but it is off-set by other theories such as risk-return trade-off and volatility clustering for the index. / I dagens finansiella marknader är volatilitet ett fundamentalt koncept som är ytterst relevant i risk bedömningen av tillgångar och instrument. Finansiell volatilitet används ofta för att mäta risk i kvantitativ form och har på senare tiden uppmärksammats i allt större utsträckning. Leverage effekten (en.”the leverage effect”) refererar till det! väletablerade negativa samband som finns mellan avkastning i nuvarande period och framtida volatilitet. Sambandet mellan dessa faktorer har av många förklarats av en ökning i skuldsättningsgraden för ett företag. Skuldsättningsgraden ökar enligt teorin som en konsekvens av att aktiekursen sjunker, innebärande en värdeminskning av det egna kapitalet, samtidigt som skulderna förblir oförändrade. Skuldsättningsgraden påverkar i sin tur aktiens volatilitet genom en uppfattning av hur stor risk som kan förknippas med en investering i aktien. För att stärka analysen diskuteras, förutom leverage effekten, ett antal teorier som kan relateras till modellen. Uppsatsen syfte är att avgöra om leverage effekten är signifikant applicerbar på den svenska aktiemarknaden, både för individuella aktier samt OMXS30 indexet. Studien utförs genom en regressions modell där volatiliteten, estimerad genom en EGARCH model, representerar den beroende variabeln. Avkastningen i föregående period samt ett antal kontroll variabler utgör de oberoende variablerna. Resultatet visar att leverage effekten har stor applicerbarhet på de individuella aktierna men kan uteslutas på en index nivå. Dessutom ökar relevansen signifikant när en dynamisk angreppsätt adderades till modellen. Slutsatsen är att leverage effekten är närvarande på en individuell nivå men neutraliseras av teorier så som ”risk return trade off” och ”volatilitets klustring” på index nivå.

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As global warming is becoming a bigger problem, sustainable investments and the issuance of green bonds have increased. In this article, we study the announcement returns of green bond issuers based on the environmental firm effort and the environmental appearance of the sector to see how the European market reacts to different types of issuers. By doing an event study based on both a one-factor analysis (CAPM) and a three-factor analysis (FF3) we show that investors are rewarding firms based on the sustainability of the issuer’s sector rather than the individual firm effort, with an average CAR from CAPM of 1,87% (p-value 0,06) for all issuers, and 2,91% (p-value 0,05) for issuers in green sectors, during the 21-day event window. The three-factor analysis shows an average CAR of 3,08% (p-value 0,02) for all issuers, 3,26% (p-value 0,03) for issuers in the green sector and 2,91% (p-value 0,04) for issuers in the brown sector, on the same 21-day event window. One possible explanation for the result is the fear of greenwashing, where firms in a brown sector should be more likely to greenwash. This implies that firms who are acting green in a brown sector are rewarded less, which could limit green investments in brown sectors.

Enhanced Biological Phosphorous Removal (EBPR) performance was found to be adequate with reduced Return Activated Sludge (RAS) flows (50% of available RAS) to the anaerobic tank and smaller than typical anaerobic zone volume (1.08 hours hydraulic retention time or HRT). Three identical parallel biological nutrient removal (BNR) pilot plants were fed with strong, highly fermented (160 mg/L VFAs), domestic/industrial wastewater from a full scale wastewater treatment facility (WWTF). The pilot plants were operated at 100%, 50%, 40% and 25% RAS (percent of available RAS) flows to the anaerobic tank with the remaining RAS to the anoxic tank. In addition, varying anaerobic HRT (1.08 and 1.5 hours), and increased hydraulic loading (35% increase) was examined. The study was divided in four Phases, and the effect of these process variations on EBPR were studied by having one different variable between two identical systems. The most significant conclusions were that only bringing part of the RAS to the anaerobic zone did not decrease EBPR performance, instead changing the location of P release and uptake. Bringing less RAS to the anaerobic and more to the anoxic tank decreased anaerobic P release and increased anoxic P release (or decreased anoxic P uptake). Equally important is that with VFA rich influent wastewater, excessive anaerobic volume was shown to hurt overall P removal even when it resulted in increased anaerobic P release. Computer modeling with BioWin and UCTPHO was found to predict similar results to the pilot test results. Modeling was done with reduced RAS flows to the anaerobic zone (100%, 50%, and 25% RAS), increased anaerobic volume, and increased hydraulic loading. The most significant conclusions were that both models predicted EBPR did not deteriorate with less RAS to the anaerobic zone, in fact, improvements in EBPR were observed. Additional scenarios were also consistent with pilot test data in that increased anaerobic volume did not improve EBPR and increased hydraulic loading did not adversely affect EBPR.