Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Momentum-anomalia Tukholman osakemarkkinoilla

Tämän kandidaatintutkielman tarkoituksena on perehtyä momentum-anomaliaan ja sen esiintymiseen Tukholman pörssissä. Anomalian tunnistamisen lisäksi tutkitaan sen ajallista esiintymistä sekä anomaliaa tarkastelevien portfolioiden tuottoja suhteessa markkinoihin. Tutkimuksen aineisto koostuu Tukholman pörssissä julkisesti noteerattujen yritysten osakkeiden tuottoaikasarjasta heinäkuusta 2010 kesäkuuhun 2015.

Testing for granger-causality in the Finnish roundwood market

Summary

Logistic services as competitive means : segmenting the retail market for softwood lumber

Abstract

Land use response to agricultural policy and market movements on Finnish dairy-farms

Selostus: Tuki- ja hintamuutosten vaikutus maitotilojen pellon käyttöön

Whole sales market for fresh potato in Finland

Selostus: Suomen ruokaperunamarkkinoiden toimivuus

Market entry order and competitive advantage of the firm

A firm that wishes to launch a new product to the market is faced with a difficult task of deciding what the best moment for the launch is. Timing may also be critical when a firm plans to adopt new processes or intends to head for new markets. The critical question the firm needs to tackle is whether it will try to reach the so-called first-mover advantage by acting earlier than its rivals. The first-mover position may reward the entrant with various opportunities to gain competitive advantage over later movers. However, there are also great risks involved in the early market entry, and sometimes the very first entrant fails even before the followers enter the market. The follower, on the other hand, may be able to free-ride on the earlier entrants' investments and gain from the languished uncertainties that characterize the new markets. According to the current understanding the occurrence of entry order advantages depends not only on the mechanism and attributes in the firm's environment that provide the initial opportunities but also on the firm's ability to capitalize on these advantage opportunities. This study contributes to this discussion by analyzing the linkages between the asset base of the firm, characteristics of the operating environment and the firm's entry timing orientation. To shed light on the relationship between the entry timing strategy and competitive advantage, this study utilizes the concept of entry timing orientation. The rationale for choosing this type of approach arises from the inability of previously employed research tools to reach the underlying factors that result in entry timing advantage. The work consists of an introductory theoretical discussion on entry timing advantages and of four research publication. The empirical findings support the understanding that entry timing advantage is related to the characteristics of the firm's operating environment but may also be related to firm-specific factors. This in turn suggests that some of the traditional ways of detecting and measuring first-mover advantage - which to some extent ignore these dimensions - may be outdated.

The evolution ofRussian power industry from monopoly to market operation

ei

Market potentialfor free-cutting steels in Europe

Työn tavoitteena oli selvittää tilannetta Euroopan automaattiteräsmarkkinoilla ja sen perusteella arvioida Imatra Steelin mahdollisuuksia kilpailla kyseessä olevilla markkinoilla. Tärkein tavoite oli kokonaismarkkinapotentiaalin arvioiminen Saksan, Ruotsin, Englannin ja Suomen markkinoilla. Lisäksi selvitettiin käytetyt automaattiteräslajit ja mitta-alue, hintataso sekä koneistukseenliittyviä teknisiä yksityiskohtia.Tavoitteena oli myös kartoittaa asenteita ja mielipiteitä mahdollisesta lyijyn käytön kieltämisestä teräksen seosaineena tulevaisuudessa. Paremman kokonaiskuvan saamiseksi analysoitiin myös kilpailutilannetta Euroopassa. Työn teoriakehyksessä tutkittiin teollisuustuotteiden markkinatutkimuksen suorittamisen erityispiirteitä, markkinapotentiaalin määrittämiseen liittyviä käsitteitä ja kilpailija-analyysin suorittamista. Empiirinen tutkimus suoritettiin pääasiassa asiantuntijoiden haastattelujen ja kyselyjen avulla. Haastateltavina oli tukkureita ja loppukäyttäjiä. Kilpailutilanteen kartoittaminen perustuu lähinnä sekundääriseen tietoon, Internet-sivuihin ja myyntikonttoreiden aikaisemmin keräämään tietoon.Automaattiterästen kokonaispotentiaaliksi Euroopassa arvioitiin miljoona tonnia ja suurin osa kaupasta käydään tutkituilla markkina-alueilla. Suurimmat volyymit sijoittuvat pienemmille mitta-alueille, Æ 12 - 50 mm. Markkinoita hallitsee muutama suuri teräksen valmistaja. Imatra Steel kohtuullisen pienenä toimittajana ei pysty kilpailemaan volyymilla ja tuotevalikoimallaan suurten teräsjättien kanssa. Imatra Steelin mahdollinen strategiavaihtoehto olisi yrittää löytää ne kapeat segmentit ja markkinaraot, joilla sen tuotteet jatietotaito tuovat asiakkaalle suurimman mahdollisen hyödyn verrattuna kilpailijoihin.