An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only)

As globalization and capital free movement has increased, so has interest in the effects of that global money flow, especially during financial crises. The concern has been that large global money flows will affect the pricing of small local markets by causing, in particular, overreaction. The purpose of this thesis is to contribute to the body of work concerning short-term under- and overreaction and the short-term effects of foreign investment flow in the small Finnish equity markets. This thesis also compares foreign execution return to domestic execution return. This study’s results indicate that short-term under- and overreaction occurs in domestic-buy portfolios (domestic net buying) rather than in foreign-buy portfolios. This under- and overreaction, however, is not economically meaningful after controlling for the bid-ask bounce effect. Based on this finding, one can conclude that foreign investors do not have a destabilizing effect in the short-term in the Finnish markets. Foreign activity affects short-term returns. When foreign investors are net buyers (sellers) there are positive (negative) market adjusted returns. Literature related to nationality and institutional effect leads us to expect these kind of results. These foreign flows are persistent at a 5 % to 21 % level and the persistence of foreign buy flow is higher than the foreign sell flow. Foreign daily trading execution is worse than domestic execution. Literature which quantifies foreign investors as liquidity demanders and literature related to front-running leads us to expect poorer foreign execution than domestic execution.

Experimental observations of the stress regime in unsaturated compacted clay when laterally confined

Construction processes often involve reformation of the landscape, which will inevitably encompass compaction of artificially placed soils. A common application of fill materials is their use as backfill in many engineering applications, for example behind a retaining wall. The post-construction behaviour of clay fills is complex with respect to stresses and deformation when the fills become saturated over time. Heavily compacted fills swells significantly more than the lightly compacted fills. This will produce enhanced lateral stresses if the fill is laterally restrained. The work presented in this paper examines how the stress regime in unsaturated clay fills changes with wetting under laterally restrained conditions. Specimens of compacted kaolin, with different initial conditions, were wetted to various values of suction under zero lateral strain at constant net overburden pressure which allowed the concept of K _{0 (the ratio between the net horizontal stress and the net vertical stress) to be examined. Tests were also carried out to examine the traditional concept of the earth pressure coefficient ‘at rest' under loading and unloading and its likely effects on the stress–strain properties. The results have shown that the stress regime (i.e. the lateral stress) changes significantly during wetting under laterally restrained conditions. The magnitude of the change is affected by the initial condition of the soil. The results have also indicated that the earth pressure coefficient ‘at rest' during loading (under the normally consolidated condition) is unaffected by suction and such loading conditions inevitably lead to the development of anisotropic stress–strain properties}

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Optimal moment to change pressure regulator and sprayer kit on center pivot irrigation machines: a theoretical proposal

A theoretical model was developed in order to determine the optimal moment for substituting the sprayer and pressure regulator kit on a center pivot irrigation machine. The model is based on the hypothesis that pressure regulator and sprayer deterioration decrease irrigation uniformity. To compensate the deficit that happens at under irrigated areas, an increase on irrigation depth is required. The model considers: additional water consumption and energy costs, maintenance and labor costs, as well as yield losses associated with under or over irrigated areas. The sum of all these components is compared to buying and installing a new spray kit cost, allowing the farmer to decide the best moment to renovate the sprayer and pressure regulator kits on a center pivot irrigation machine based on economic criteria.