Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Lakisääteiset hitsaustyöt ja niiden laadunhallinta

Tässä diplomityössä selvitettiin UPM Kaukaan tehtailla esiintyviin lakisääteisiin hitsauskohteisiin liittyvää lainsäädäntöä ja lainsäädännön vaikutusta hitsaukselle. Lakisääteisiä hitsauskohteita ovat räjähdysvaaralliset tilat, painelaitteet, kemikaaliputkistot, kemikaalisäiliöt, maakaasulaitteet sekä kantavat teräsrakenteet. Diplomityössä selvitettiin lisäksi hitsauksen laadunhallintaa huomioiden korjaushitsaustyöt sekä uuden rakentaminen. Lakisääteet tuovat hitsauksen suorittamiselle usein tarkasti määritellyt velvoitteet koskien esimerkiksi dokumentointia, hitsaushenkilöstön pätevyyksiä, materiaaleja ja niin edelleen. Lakisääteet lisääntyvät jatkuvasti ja soveltamisalueet laajenevat, jolloin asioiden ylläpitäminen vaatii jatkuvaa seurantaa. Työssä luotiin ohjeistus koskien yleisesti hitsausta ja lisäksi käyttäjän ja omistajan velvoitteita koskevat ohjeet painelaitteista, maakaasulaitteista ja kemikaalilaitteista. Hitsauksen yleisohje koskee jokaista hitsaustapahtumaa korjaushitsauksesta uuden rakentamiseen. Ohje soveltuu lisäksi sopimusliitteeksi hitsaustyön tilauksissa.

Commodity Future Price Premiums – Case EU ETS

The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.

Defining Contexts in Context-Free Grammars

This thesis introduces an extension of Chomsky’s context-free grammars equipped with operators for referring to left and right contexts of strings.The new model is called grammar with contexts. The semantics of these grammars are given in two equivalent ways — by language equations and by logical deduction, where a grammar is understood as a logic for the recursive definition of syntax. The motivation for grammars with contexts comes from an extensive example that completely defines the syntax and static semantics of a simple typed programming language. Grammars with contexts maintain most important practical properties of context-free grammars, including a variant of the Chomsky normal form. For grammars with one-sided contexts (that is, either left or right), there is a cubic-time tabular parsing algorithm, applicable to an arbitrary grammar. The time complexity of this algorithm can be improved to quadratic,provided that the grammar is unambiguous, that is, it only allows one parsefor every string it defines. A tabular parsing algorithm for grammars withtwo-sided contexts has fourth power time complexity. For these grammarsthere is a recognition algorithm that uses a linear amount of space. For certain subclasses of grammars with contexts there are low-degree polynomial parsing algorithms. One of them is an extension of the classical recursive descent for context-free grammars; the version for grammars with contexts still works in linear time like its prototype. Another algorithm, with time complexity varying from linear to cubic depending on the particular grammar, adapts deterministic LR parsing to the new model. If all context operators in a grammar define regular languages, then such a grammar can be transformed to an equivalent grammar without context operators at all. This allows one to represent the syntax of languages in a more succinct way by utilizing context specifications. Linear grammars with contexts turned out to be non-trivial already over a one-letter alphabet. This fact leads to some undecidability results for this family of grammars

Socially shared metacognitive regulation during collaborative learning processes in student dyads and small groups

Traditionally metacognition has been theorised, methodologically studied and empirically tested from the standpoint mainly of individuals and their learning contexts. In this dissertation the emergence of metacognition is analysed more broadly. The aim of the dissertation was to explore socially shared metacognitive regulation (SSMR) as part of collaborative learning processes taking place in student dyads and small learning groups. The specific aims were to extend the concept of individual metacognition to SSMR, to develop methods to capture and analyse SSMR and to validate the usefulness of the concept of SSMR in two different learning contexts; in face-to-face student dyads solving mathematical word problems and also in small groups taking part in inquiry-based science learning in an asynchronous computer-supported collaborative learning (CSCL) environment. This dissertation is comprised of four studies. In Study I, the main aim was to explore if and how metacognition emerges during problem solving in student dyads and then to develop a method for analysing the social level of awareness, monitoring, and regulatory processes emerging during the problem solving. Two dyads comprised of 10-year-old students who were high-achieving especially in mathematical word problem solving and reading comprehension were involved in the study. An in-depth case analysis was conducted. Data consisted of over 16 (30–45 minutes) videotaped and transcribed face-to-face sessions. The dyads solved altogether 151 mathematical word problems of different difficulty levels in a game-format learning environment. The interaction flowchart was used in the analysis to uncover socially shared metacognition. Interviews (also stimulated recall interviews) were conducted in order to obtain further information about socially shared metacognition. The findings showed the emergence of metacognition in a collaborative learning context in a way that cannot solely be explained by individual conception. The concept of socially-shared metacognition (SSMR) was proposed. The results highlighted the emergence of socially shared metacognition specifically in problems where dyads encountered challenges. Small verbal and nonverbal signals between students also triggered the emergence of socially shared metacognition. Additionally, one dyad implemented a system whereby they shared metacognitive regulation based on their strengths in learning. Overall, the findings suggested that in order to discover patterns of socially shared metacognition, it is important to investigate metacognition over time. However, it was concluded that more research on socially shared metacognition, from larger data sets, is needed. These findings formed the basis of the second study. In Study II, the specific aim was to investigate whether socially shared metacognition can be reliably identified from a large dataset of collaborative face-to-face mathematical word problem solving sessions by student dyads. We specifically examined different difficulty levels of tasks as well as the function and focus of socially shared metacognition. Furthermore, the presence of observable metacognitive experiences at the beginning of socially shared metacognition was explored. Four dyads participated in the study. Each dyad was comprised of high-achieving 10-year-old students, ranked in the top 11% of their fourth grade peers (n=393). Dyads were from the same data set as in Study I. The dyads worked face-to-face in a computer-supported, game-format learning environment. Problem-solving processes for 251 tasks at three difficulty levels taking place during 56 (30–45 minutes) lessons were video-taped and analysed. Baseline data for this study were 14 675 turns of transcribed verbal and nonverbal behaviours observed in four study dyads. The micro-level analysis illustrated how participants moved between different channels of communication (individual and interpersonal). The unit of analysis was a set of turns, referred to as an ‘episode’. The results indicated that socially shared metacognition and its function and focus, as well as the appearance of metacognitive experiences can be defined in a reliable way from a larger data set by independent coders. A comparison of the different difficulty levels of the problems suggested that in order to trigger socially shared metacognition in small groups, the problems should be more difficult, as opposed to moderately difficult or easy. Although socially shared metacognition was found in collaborative face-to-face problem solving among high-achieving student dyads, more research is needed in different contexts. This consideration created the basis of the research on socially shared metacognition in Studies III and IV. In Study III, the aim was to expand the research on SSMR from face-to-face mathematical problem solving in student dyads to inquiry-based science learning among small groups in an asynchronous computer-supported collaborative learning (CSCL) environment. The specific aims were to investigate SSMR’s evolvement and functions in a CSCL environment and to explore how SSMR emerges at different phases of the inquiry process. Finally, individual student participation in SSMR during the process was studied. An in-depth explanatory case study of one small group of four girls aged 12 years was carried out. The girls attended a class that has an entrance examination and conducts a language-enriched curriculum. The small group solved complex science problems in an asynchronous CSCL environment, participating in research-like processes of inquiry during 22 lessons (á 45–minute). Students’ network discussion were recorded in written notes (N=640) which were used as study data. A set of notes, referred to here as a ‘thread’, was used as the unit of analysis. The inter-coder agreement was regarded as substantial. The results indicated that SSMR emerges in a small group’s asynchronous CSCL inquiry process in the science domain. Hence, the results of Study III were in line with the previous Study I and Study II and revealed that metacognition cannot be reduced to the individual level alone. The findings also confirm that SSMR should be examined as a process, since SSMR can evolve during different phases and that different SSMR threads overlapped and intertwined. Although the classification of SSMR’s functions was applicable in the context of CSCL in a small group, the dominant function was different in the asynchronous CSCL inquiry in the small group in a science activity than in mathematical word problem solving among student dyads (Study II). Further, the use of different analytical methods provided complementary findings about students’ participation in SSMR. The findings suggest that it is not enough to code just a single written note or simply to examine who has the largest number of notes in the SSMR thread but also to examine the connections between the notes. As the findings of the present study are based on an in-depth analysis of a single small group, further cases were examined in Study IV, as well as looking at the SSMR’s focus, which was also studied in a face-to-face context. In Study IV, the general aim was to investigate the emergence of SSMR with a larger data set from an asynchronous CSCL inquiry process in small student groups carrying out science activities. The specific aims were to study the emergence of SSMR in the different phases of the process, students’ participation in SSMR, and the relation of SSMR’s focus to the quality of outcomes, which was not explored in previous studies. The participants were 12-year-old students from the same class as in Study III. Five small groups consisting of four students and one of five students (N=25) were involved in the study. The small groups solved ill-defined science problems in an asynchronous CSCL environment, participating in research-like processes of inquiry over a total period of 22 hours. Written notes (N=4088) detailed the network discussions of the small groups and these constituted the study data. With these notes, SSMR threads were explored. As in Study III, the thread was used as the unit of analysis. In total, 332 notes were classified as forming 41 SSMR threads. Inter-coder agreement was assessed by three coders in the different phases of the analysis and found to be reliable. Multiple methods of analysis were used. Results showed that SSMR emerged in all the asynchronous CSCL inquiry processes in the small groups. However, the findings did not reveal any significantly changing trend in the emergence of SSMR during the process. As a main trend, the number of notes included in SSMR threads differed significantly in different phases of the process and small groups differed from each other. Although student participation was seen as highly dispersed between the students, there were differences between students and small groups. Furthermore, the findings indicated that the amount of SSMR during the process or participation structure did not explain the differences in the quality of outcomes for the groups. Rather, when SSMRs were focused on understanding and procedural matters, it was associated with achieving high quality learning outcomes. In turn, when SSMRs were focused on incidental and procedural matters, it was associated with low level learning outcomes. Hence, the findings imply that the focus of any emerging SSMR is crucial to the quality of the learning outcomes. Moreover, the findings encourage the use of multiple research methods for studying SSMR. In total, the four studies convincingly indicate that a phenomenon of socially shared metacognitive regulation also exists. This means that it was possible to define the concept of SSMR theoretically, to investigate it methodologically and to validate it empirically in two different learning contexts across dyads and small groups. In-depth micro-level case analysis in Studies I and III showed the possibility to capture and analyse in detail SSMR during the collaborative process, while in Studies II and IV, the analysis validated the emergence of SSMR in larger data sets. Hence, validation was tested both between two environments and within the same environments with further cases. As a part of this dissertation, SSMR’s detailed functions and foci were revealed. Moreover, the findings showed the important role of observable metacognitive experiences as the starting point of SSMRs. It was apparent that problems dealt with by the groups should be rather difficult if SSMR is to be made clearly visible. Further, individual students’ participation was found to differ between students and groups. The multiple research methods employed revealed supplementary findings regarding SSMR. Finally, when SSMR was focused on understanding and procedural matters, this was seen to lead to higher quality learning outcomes. Socially shared metacognition regulation should therefore be taken into consideration in students’ collaborative learning at school similarly to how an individual’s metacognition is taken into account in individual learning.

Liquidity Risk in the Finnish Stock Market

This study explores the pricing of liquidity risk and its effect on stock returns in the Finnish stock market. In addition to that, it investigates whether there is a trend in liquidity risk. Finally, it analyzes whether the two chosen liquidity measures provide different results. The data consists of all the common shares listed in the Finnish stock market during the period of 1/1997–7/2015. To examine whether liquidity risk affects stock returns in the Finnish stock market, this study utilizes a conditional version of liquidity-adjusted capital asset pricing model (LCAPM) by Acharya and Pedersen (2005). Two recently proposed illiquidity measures – PQS and AdjILLIQ – are used in the empirical estimation to see whether there are differences in the results between the measures. The time-varying conditional liquidity risks are estimated by using a multivariate DCC-GARCH model, while the pricing of the liquidity risk is conducted by applying fixed effect panel regression. The results imply that investors in the Finnish stock market are willing to pay a premium to hedge from wealth shocks and having liquid assets during the declined market liquidity. However, investors are not willing to pay a premium for stocks with higher returns during illiquid markets. The total annualized illiquidity premiums found in the Finnish stock market are 1.77% and 1.04%, based on the PQS and AdjILLIQ measures, respectively. The study also shows that liquidity risk does not exhibit decreasing trend, and investors should consider liquidity risk in their portfolio diversification in the Finnish stock market.

Suomen taloussuhdanteiden kansainvälinen yhteisvaihtelu

Taloussuhdanteiden yhteisvaihtelun tutkimus on eräs taloustieteiden vanhimmista tutkimusaloista. Finanssikriisi ja euroalueen kohtaamat talousvaikeudet ovat kuitenkin nostaneet aiheen jälleen hyvin ajankohtaiseksi. Kuluneiden kahdenkymmenen vuoden aikana tutkimusalueesta on muodostunut erittäin laaja lukuisine näkökulmineen ja debatteineen. Tutkielman aiheena on Suomen taloussuhdanteiden kansainvälinen yhteisvaihtelu valittujen vertailumaiden kanssa. Vertailumaat ovat Ruotsi, Norja, Tanska, Saksa, Ranska, Iso-Britannia ja Yhdysvallat. Tutkielmaan valitut taloussuhdannetta kuvaavat muuttujat ovat reaalinen bruttokansantuote, yksityinen kokonaiskulutus ja teollisuustuotantoindeksi. Aineisto on kerätty Lappeenrannan tiedekirjaston Nelli-portaalin OECD iLibrary-tietokannasta ja se kattaa aikajakson 1960 Q1- 2014 Q4. Maakohtainen taloussuhdanne operationalisoidaan laskemalla ensimmäinen logaritminen differenssi, joka edustaa perinteistä reaalisuhdanneteoreettisen koulukunnan näkemystä taloussuhdanteesta. Tutkielman näkökulmaksi valitaan yhden maan näkökulma, joka on hieman harvinaisempi näkökulma verrattuna laajempiin alueellisiin näkökulmiin. Tutkimusmenetelminä käytetään Pearsonin korrelaatiokerrointa, Engle-Granger- sekä Johansenin yhteisintegroituvuustestejä ja VAR-GARCH-BEKK –mallilla laskettua dynaamista korrelaatiota, jotka lasketaan Suomen ja vertailumaiden välille maapareittain. Tuloksia tulkitaan suomalaisen vientiä vertailumaihin suunnittelevan yrityksen näkökulmasta. Tutkielman tulosten perusteella Engle-Grangerin menetelmällä laskettu samanaikainen yhteisintegroituvuus Suomen ja vertailumaiden välillä on epätodennäköistä. Kun yhteisintegroituvuuden annetaan riippua myös viiveistä, saadaan Johansenin menetelmällä yhteisintegroituvuus Suomen ja Yhdysvaltojen välille reaalisessa bruttokansantuotteessa, Suomen ja Saksan, Suomen ja Ranskan sekä Suomen ja Yhdysvaltojen välille yksityisessä kokonaiskulutuksessa sekä Suomen ja Norjan välille teollisuustuotantoindeksissä. Tulosten tulkintaa vaikeuttavat niiden malliriippuvuus ja informaatiokriteerien toisistaan poikkeavat mallisuositukset, joten yhteisintegroituvuus on mahdollinen myös muiden maaparien kohdalla. Dynaamisten korrelaatiokuvaajien perusteella maaparien välisen yhteisvaihtelun voimakkuus muuttuu ajan mukana. Finanssikriisin aikana kokonaistuotannossa on havaittavissa korkeampi korrelaatio, mutta korrelaatio palaa sen jälkeen perustasolleen. Kokonaiskulutuksen korrelaatio on kokonaistuotantoa alhaisempi ja pitemmissä aikajaksoissa vaihtelevaa.