Performance persistence of equity funds in the Russian stock market

This thesis investigates performance persistence among the equity funds investing in Russia during 2003-2007. Fund performance is measured using several methods including the Jensen alpha, the Fama-French 3- factor alpha, the Sharpe ratio and two of its variations. Moreover, we apply the Bayesian shrinkage estimation in performance measurement and evaluate its usefulness compared with the OLS 3-factor alphas. The pattern of performance persistence is analyzed using the Spearman rank correlation test, cross-sectional regression analysis and stacked return time series. Empirical results indicate that the Bayesian shrinkage estimates may provide better and more accurate estimates of fund performance compared with the OLS 3-factor alphas. Secondly, based on the results it seems that the degree of performance persistence is strongly related to length of the observation period. For the full sample period the results show strong signs of performance reversal whereas for the subperiod analysis the results indicate performance persistence during the most recent years.

Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Small scale energy production in Helsinki Metropolitan area in emission trading point of view

Emission trading with greenhouse gases and green certificates are part if the climate policy the main target of which is reduce greenhouse gas emissions. The carbon dioxide and fine particle emissions of energy production in Helsinki Metropolitan area are calculated in this study. The analysis is made mainly by district heating point of view and the changes of the district heating network are assessed. Carbon dioxide emissions would be a bit higher, if the district heating network is expanded, but then the fine particle emissions would be much lower. Carbon dioxide emissions are roughly 10 % higher, if the district heating network is expanded at same rate as it has in past five years in the year 2030. The expansion of district heating network would decrease the fine particle emissions about 40 %. The cost of the expansion is allocated to be reduction cost of the fine particle emissions, which is considerably higher than the traditional reduction methods costs. The possible new nuclear plant would reduce the emissions considerably and the costs of the nuclear plant would be relatively low comparing the other energy production methods.

Partie orientale de la Lapponie suèdoise. Tirée de celles d’Andr Burae(us) et de Isaac Massa. Par le Sr. Sanson geogr’ ord:re du roy

1 kartta : vär. ; 43,8 x 54,8 cm, lehti 46 x 56,7 cm.

Measuring Brand Equity and Analyzing Its Relationship with Key Marketing Mix Elements

The aim of this paper is to analyze the effect of price and advertising on brand equity. The dimensionality of brand equity is thoroughly examined, and the effect price, price deals, perceived advertising spending and advertising appeal have on the dimensions of brand equity are analyzed using multiple regression analysis as well as other supporting analyses. Price and advertising are found to be of great importance to brand equity. Arguably the most influential finding is the strong positive effect low prices – an integral brand element – have on the case company brand equity, even though a negative effect was hypothesized based on prior research. The results also support separating advertising appeal from perceived advertising spending, as well as linking service quality as part of the overall perceived quality in the context of service-intensive firms.

Determinants of credit default swap spread, the effect of the financial crisis in the us markets

The purpose of this study is to define what determinants affect the Credit spread. There are two theoretical frameworks to study this: structural models and reduced form models. Structural models indicate that the main determinants are company leverage, volatility and risk-free interest rate, and other market and firm-specific variables. The purpose is to determine which of these theoretical determinants can explain the CDS spread and also how these theoretical determinants are affected by the financial crisis in 2007. The data is collected from 30 companies in the US Markets, mainly S&P Large Cap. The sample time-frame is 31.1.2004 – 31.12.2009. Empirical studies indicate that structural models can explain the CDS spreads well. Also, there were significant differences between bear and bull markets. The main determinants explaining CDS spreads were leverage and volatility. The other determinants were significant, depending on the sample period. However, these other variables did not explain the spread consistently.

Is it possible to utilize VIX for a profitable trading strategy of S&P 500 Index?

The goal of this research was to make an overall sight to VIX® and how it can be used as a stock market indicator. Volatility index often referred as the fear index, measures how much it costs for investor to protect his/her S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has been a successful timing coordinator and it has given incremental information about the market state adding its own psychological view of the amount of fear and greed. Correctly utilized VIX information gives a considerable advantage in timing market actions. In this paper we test how VIX works as a leading indicator of broad stock market index such as S&P 500 (SPX). The purpose of this paper is to find a working way to interpret VIX. The various tests are made on time series data ranging from the year 1990 to the year 2010. The 10-day simple moving average strategy gave significant profits from the whole time when VIX data is available. Strategy was able to utilize the increases of SPX in example portfolio value and was able to step aside when SPX was declining. At the times when portfolio was aside of S it was on safety fund like on treasury bills getting an annual yield of 3 percent. On the other side just a static number’s of VIX did not work as indicators in a profit making way.

Teknisen analyysin hyödynnettävyys hyödykefutuurimarkkinoilla

Tutkielman tavoitteena on tarkastella teknisen analyysin hyödynnettävyyttä hyödykefutuurimarkkinoilla. Tutkielmassa pyritään selvittämään, onko teknisen analyysin eri menetelmien mukaan ajoitetuilla hyödykefutuurien osto- ja myyntitoimeksiannoilla mahdollista ylittää toisaalta passiivisen indeksisijoittamisen ja toisaalta osta ja pidä -strategian tuottotaso sekä työssä analysoimaan saatujen tulosten syitä. Tutkimusaineisto sisältää 25 eri hyödykkeen futuuriaikasarjat vuosilta 2000 - 2010. Historiallisiin kurssitietoihin pohjautuen muodostettiin seitsemän sijoitusstrategiaa ja yhteensä 21 eri menetelmävariaatiota, joiden suoriutumista tutkittiin yksittäisten hyödykefutuurien osalta sekä hyödykefutuuriportfolioina. Tulokset osoittivat, että tekniseen analyysiin perustuvilla hyödykefutuuri-strategioilla on ollut mahdollista saavuttaa merkittävää hajautushyötyä. Lisäksi aktiivisten kaupankäynti¬strategioiden tuotot ylittivät sekä passiivis-ten markkinaindeksien että osta ja pidä -strategian tuottotason. Strategioi-den kannattavuuden havaittiin korreloivan positiivisesti ja tilastollisesti merkitsevästi tutkimuksessa analysoitujen tuottoaikasarjojen autokorreloituneisuusasteen kanssa, mutta käänteisesti ja merkitsevästi eri menetelmävariaatioiden synnyttämien kaupankäynti¬signaalien määrän kanssa.

Optimal trading of wind power in the short term market

The energy reform, which is happening all over the world, is caused by the common concern of the future of the humankind in our shared planet. In order to keep the effects of the global warming inside of a certain limit, the use of fossil fuels must be reduced. The marginal costs of the renewable sources, RES are quite high, since they are new technology. In order to induce the implementation of RES to the power grid and lower the marginal costs, subsidies were developed in order to make the use of RES more profitable. From the RES perspective the current market is developed to favor conventional generation, which mainly uses fossil fuels. Intermittent generation, like wind power, is penalized in the electricity market since it is intermittent and thus diffi-cult to control. Therefore, the need of regulation and thus the regulation costs to the producer differ, depending on what kind of generation market participant owns. In this thesis it is studied if there is a way for market participant, who has wind power to use the special characteristics of electricity market Nord Pool and thus reach the gap between conventional generation and the intermittent generation only by placing bids to the market. Thus, an optimal bid is introduced, which purpose is to minimize the regulation costs and thus lower the marginal costs of wind power. In order to make real life simulations in Nord Pool, a wind power forecast model was created. The simulations were done in years 2009 and 2010 by using a real wind power data provided by Hyötytuuli, market data from Nord Pool and wind forecast data provided by Finnish Meteorological Institute. The optimal bid needs probability intervals and therefore the methodology to create probability distributions is introduced in this thesis. In the end of the thesis it is shown that the optimal bidding improves the position of wind power producer in the electricity market.

Observations of Industry Momentum Effect in European Equity Indices

This thesis examines the existence and nature of momentum effect in European equity indices. A set of predefined indicators is used to compose momentum portfolios and different holding periods are used to test the strategies over variable time periods as well as under different economical conditions. The data consists of daily closing prices of STOXX Europe 600 index and its 18 super sector indices. Over the study period we follow the performances of a long position in the Winner portfolio, a position in the market neutral zero-cost portfolio and also a position in the risk-controlled zero-cost portfolio. The investment ratio of the risk-controlled zero-cost portfolio is negatively correlated with the realized market volatility. The results show that momentum effect is present in European industries and is most prominent in the short-term. Indicators that are based on short-term performance tend predict the over- and underperformers for the 1-month holding period more reliably than any other indicator/holding period combination. The examination of the strategies under different economical conditions shows that the market neutral approach can create significant returns in times of recession but in times of economic boom the long position in Winner portfolio outperforms the market neutral portfolio by an extensive margin.

Candace Bushnellin Trading Up Edith Whartonin romaanin The Custom of the Country uudelleenkirjoituksena

Candace Bushnellin (1958–) vuonna 2003 julkaistu romaani Trading Up kuvaa nuoren naispäähenkilön määrätietoista pyrkimystä rikkauteen, maineeseen ja New Yorkin suihkuseurapiireihin. Se on uudelleenkirjoitus Edith Whartonin romaanista The Custom of the Country (1913). Wharton (1862–1937) käsitteli tuotannossaan New Yorkin vanhaa yläluokkaa ja kuvasi usein liikettä yhteiskuntaluokassa ylös tai alas. 1990-luvulta alkaen Bushnell on käsitellyt teoksissaan samankaltaisia aiheita, joskin oman aikansa kontekstissa. Hän on itse todennut Whartonin teosten olevan merkittäviä esikuvia omalle tuotannolleen. Pro gradu -tutkielmassani tarkastelen Bushnellin romaania Trading Up Whartonin The Custom of the Country -teoksen uudelleenkirjoituksena. Analysoimalla teoksia rinnakkain selvitän, millaisia keinoja Bushnell käyttää uudelleenkirjoituksessaan ja mikä merkitys Whartonin romaanin uudelleenkirjoituksella on. Tutkimusnäkökulmani on feministinen, ja keskityn valtasuhteisiin liittyviin kysymyksiin. Tarkastelen etenkin yhteiskuntaluokkaan, sukupuoleen ja seksuaalisuuteen liittyviä valtasuhteita ja sitä, miten valtasuhteet Bushnellin uudelleenkirjoituksessa eroavat Whartonin romaanissa esiintyvistä. Tarkastelen tutkimiani romaaneja myös genren näkökulmasta, Trading Up -romaania osana chick lit -genreä ja The Custom of the Country -teosta taparomaanina. Chick lit on 1990- luvulla syntynyt viihteellinen naisten kirjallisuuden genre, joka kuvaa nuoria naisia ja käsittelee esimerkiksi ihmissuhteita ja perheeseen, työelämään tai ulkonäköön liittyviä kysymyksiä. Kulutuskulttuuri ja uusliberalistinen yksilöllisyys kuuluvat chick lit -genreen. Se on kytketty myös postfeminismiin: chick litissä feminismistä joko vaietaan, tai se esitetään pikemminkin yksittäisten naisten elämäntapavalintoina kuin poliittisena liikkeenä. Bushnellin lisäksi myös muut chick lit -kirjailijat ovat teoksissaan viitanneet taparomaaneihin. Tutkielmassani totean Bushnellin uudelleenkirjoittavan The Custom of the Country -romaania paikoitellen hyvin suoraan. Vaikka teosten ajallisen etäisyyden ja yhteiskunnallisten muutosten takia esimerkiksi yhteiskuntaluokkaan liittyvissä valtasuhteissa on tapahtunut muutoksia, esitetään monet asiat muuttumattomina. Etenkin sukupuolen kuvaus ja sukupuoltenväliset valtasuhteet näyttäytyvät samankaltaisina kummassakin teoksessa. Postfeminismissä ja uusliberalismissa yksilön mahdollisuutta tehdä valintoja korostetaan. Bushnellin romaanin naishenkilöhahmoilla pitäisi olla enemmän valinnan mahdollisuuksia kuin Whartonin sankarittarilla, mutta näiden tekemät ratkaisut ovat lopulta hyvin samankaltaisia. Vaikka Trading Up toistaa Whartonin teoksen tarinaa melko tarkasti, ei siitä välity Whartonin romaanissa merkittävää yhteiskuntakriittisyyttä.

Success Factors of Accelerators

There is wide interest in new business creation especially in high-growth companies because of the transition from the industrial era to the information era. Previously traditional industry has been a major employer but now industrial employment is moving to countries that provide cheaper labor, and therefore Western countries are reaching for new solutions that could safeguard the current stage of economic wealth. High-growth companies are seen as one opportunity. The aim of this study is to clarify the success factors of accelerators. Acceleration is a relatively new phenomenon, which has its roots in the venture capital industry. Their fundamental goal is to create high-growth companies that have global market potential. Accelerators could be defined as venture-to-capital actors that bridge the competence and equity gaps of startups. The access to the knowledge and funding are the prerequisites of the existence of accelerator. This research was qualitative and based on 18 semi-structured or thematic interviews with 15 accelerators and topic related professionals from Finland, Estonia, Denmark, Germany, the UK and the US. The data was analyzed with a content analysis approach. The study revealed three fundamental preconditions for success. First, the deep business knowledge and access to relevant networks is a foundation and fundamental precondition. Second, the ability to transfer knowledge from the accelerator to startups has significant importance. And third, the dynamics of an accelerator organization can restrict the use of business knowledge. Moreover, the attraction of an accelerator and team selection are crucial issues for success.