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.

Mitigation possibilities to Greenhouse gas emissions from power production in India

Global warming is assertively the greatest environmental challenge for humans of 21st century. It is primarily caused by the anthropogenic greenhouse gas (GHG) that trap heat in the atmosphere. Because of which, the GHG emission mitigation, globally, is a critical issue in the political agenda of all high-profile nations. India, like other developing countries, is facing this threat of climate change while dealing with the challenge of sustaining its rapid economic growth. India’s economy is closely connected to its natural resource base and climate sensitive sectors like water, agriculture and forestry. Due to Climate change the quality and distribution of India’s natural resources may transform and lead to adverse effects on livelihood of its people. Therefore, India is expected to face a major threat due to the projected climate change. This study proposes possible solutions for GHG emission mitigation that are specific to the power sector of India. The methods discussed here will take Indian power sector from present coal dominant ideology to a system, centered with renewable energy sources. The study further proposes a future scenario for 2050, based on the present Indian government policies and global energy technologies advancements.

Currency Carry Trades – Excess Returns and Performance Optimization of G10 Currency Carry Trade Strategies during the Euro Era

This study examines the excess returns provided by G10 currency carry trading during the Euro era. The currency carry trade has been a popular trade throughout the past decades offering excess returns to investors. The thesis aims to contribute to existing research on the topic by utilizing a new set of data for the Euro era as well as using the Euro as a basis for the study. The focus of the thesis is specifically on different carry trade strategies’ performance, risk and diversification benefits. The study finds proof of the failure of the uncovered interest rate parity theory through multiple regression analyses. Furthermore, the research finds evidence of significant diversification benefits in terms of Sharpe ratio and improved return distributions. The results suggest that currency carry trades have offered excess returns during 1999-2014 and that volatility plays an important role in carry trade returns. The risk, however, is diversifiable and therefore our results support previous quantitative research findings on the topic.

India orientalis

Julkaisussa: Geografia cioè descrittione universale della terra : partita in due volumi

A map of Marco Polo's voyages & travels in the 13th century through a great part of Asia, all Tartary, the East India islands & part of Africa

Nimeketiedot nimiönkehyksissä

India intra Gangem

Julkaisussa: Cl. Ptolemaei Alexandrini, geographiae libri octo

India extra Gangem

Julkaisussa: Cl. Ptolemaei Alexandrini, geographiae libri octo

India extra Gangem, Sina regio

Julkaisussa: Cosmographia : impressum Ulme opera et expensis justi de Albano de Venetiis per provisorem

India extrema XIX : nova tabula

Julkaisussa: Geographia universalis, vetus et nova, complectens Claudii Ptolemaei Alexandrini enarrationis libros VIII

Insula D. Helenae sacra coeli clementia et aequabilitate soli ubertate et aquarum salubritate nulli secunda sed inhabitata; hic receptus navium ex Or. India redentium sita in altitudine 16. graduum ad austrum lineae aequinoctialis

Julkaisussa: Itinerarium ofte schip-vaert naer oost ofte Portugaels Indien

India extra Gangem, Sina regio

Julkaisussa: Cosmographia : Claudii Ptolomei viri Alexandrini cosmographie octavus et ultimus liber explicit

India intra Gangem

Julkaisussa: Cosmographia : Claudii Ptolomei viri Alexandrini cosmographie octavus et ultimus liber explicit

India intra Gangem

Kartta kuuluu A. E. Nordenskiöldin kokoelmaan

India meridional : Loac regnum : Moabar provincia

Kartta kuuluu A. E. Nordenskiöldin kokoelmaan

Map of the north coast of Russia indicating the proposed trade route of the Obi-railway

Kartta kuuluu A. E. Nordenskiöldin kokoelmaan