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Employee Profile

Stig Roar Haukoe Lundeby

Assistant Professor - Department of Finance

Publications

Ehling, Paul; Lundeby, Stig Roar Haukø & Sørensen, Lars Qvigstad (2023)

Portfolio Choice with ESG Disagreement: Customizing Sustainability through Direct Indexing

The journal of beta investment strategies, 14(3), s. 132- 149. Doi: 10.3905/jbis.2023.1.041

There is strong demand for sustainable investing in direct indexing strategies. We examine implications of disagreement about environmental, social, and governance (ESG) ratings for portfolio choice by maximizing ESG scores subject to a tracking error constraint. Varying the ESG score we optimize on results in portfolios with substantial differences. Correlations between active weights of the ESG-optimized portfolios are even lower than correlations between ESG scores. Optimal portfolios have positive (negative) active weights in stocks with high (low) ESG scores, as expected, but in both cases a small market capitalization or high specific risk pulls the active weight toward zero. To attenuate ESG disagreement, we propose an optimal portfolio that maximizes the average ESG score across vendors and explicitly manages ESG disagreement by penalizing stocks with high ESG uncertainty. Increasing ESG uncertainty aversion thus means investing less in stocks with high ESG disagreement. Our solution is well suited for direct indexing clients wanting to express their sustainability beliefs

Chernov, Mikhail; Løchstøer, Lars A. & Lundeby, Stig Roar Haukø (2021)

Conditional Dynamics and the Multihorizon Risk-Return Trade-Off

The Review of financial studies, 35(3), s. 1310- 1347. Doi: 10.1093/rfs/hhab053

Lundeby, Stig Roar Haukø; Haug, Jørgen & Stamland, Tommy (2022)

Utfordringer ved estimering av kapitalkostnad

[Article in business/trade/industry journal]. Magma forskning og viten

Prosjektverdsetting krever estimater av forventede fremtidige kontantstrømmer og risikojustert kapitalkrav. For å få gode estimater av risikojusterte kapitalkrav må man overvinne flere grunnleggende hindringer: Vi diskuterer utfordringer for eksempel ved valg av proxy for markedsporteføljen, justering av betaer fra lignende selskap for finansiell og operasjonell giring samt utfordringer knyttet til sammensatte målsettinger for eksempel ved ESG-hensyn. Multifaktormodeller lover forbedret risikojustering av kapitalkravet, men introduserer flere nye utfordringer. Multifaktormodeller er statistisk skreddersydd til korttidsprognoser, mens man i viktige beslutninger betrakter langsiktige investeringer. Å erstatte kapitalverdimodellen med tilsynelatende mer sofistikerte multifaktormodeller kan lett svekke kvaliteten på prosjektvurderingene.

Academic Degrees
Year Academic Department Degree
2021 Norwegian School of Economics (NHH) PhD