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.

Insiders´ views as a predictor of stock performance : can insider trading be used to predict stock performance on the United States stock market?

This thesis studies the possibility of using information on insiders’ transactions to forecast future stock returns after the implementation of Sarbanes Oxley Act in July 2003. Insider transactions between July 2003 and August 2009 are analysed with regression tests to identify the relationships between insiders’ transactions and future stock returns. This analysis is complemented with rudimentary bootstrapping procedures to verify the robustness of the findings. The underlying assumption of the thesis is that insiders constantly receive pieces of information that indicate future performance of the company. They may not be allowed to trade on large and tangible pieces of information but they can trade on accumulation of smaller, intangible pieces of information. Based on the analysis in the thesis insiders’ profits were found not to differ from the returns from broad stock index. However, their individual transactions were found to be linked to future stock returns. The initial model was found to be unstable but some of the predictive power could be sacrificed to achieve greater stability. Even after sacrificing some predictive power the relationship was significant enough to allow external investors to achieve abnormal profits after transaction costs and taxes. The thesis does not go into great detail about timing of transactions. Delay in publishing insiders’ transactions is not taken into account in the calculations and the closed windows are not studied in detail. The potential effects of these phenomena are looked into and they do not cause great changes in the findings. Additionally the remuneration policy of an insider or a company is not taken into account even though it most likely affects the trading patterns of insiders. Even with the limitations the findings offer promising opportunities for investors to improve their investment processes by incorporating additional information from insiders’ transaction into their decisions. The findings also raise questions on how insider trading should be regulated. Insiders achieve greater returns than other investors based on superior information. On the other hand, more efficient information transfer could warrant more lenient regulation. The fact that insiders’ returns are dominated by the large investment stake they maintain all the time in their own companies also speaks for more leniency. As Sarbanes Oxley Act considerably modified the insider trading landscape, this analysis provides information that has not been available before. The thesis also constitutes a thorough analysis of insider trading phenomenon which has previously been somewhat separated into several studies.

Abnormal nocturnal blood pressure fall in normotensive adolescents with insulin-dependent diabetes is ameliorated following glycemic improvement

Lack of the physiological nocturnal fall in blood pressure (BP) has been found in diabetics and it seems to be related to the presence of diabetic complications. The present study examined the changes in the nocturnal BP pattern of 8 normotensive insulin-dependent diabetic adolescents without nephropathy following improvement in glycemic control induced by an 8-day program of adequate diet and exercise. The same number of age- and sex-matched control subjects were studied. During the first and eighth nights of the program, BP was obtained by ambulatory BP monitoring. After a 10-min rest, 3 BP and heart rate (HR) recordings were taken and the mean values were considered to represent their awake values. The monitor was programmed to cuff insufflation every 20 min from 10:00 p.m. to 7:00 a.m. The glycemic control of diabetics improved since glycemia (212.0 ± 91.5 to 140.2 ± 69.1 mg/dl, P<0.03), urine glucose (12.7 ± 11.8 to 8.6 ± 6.4 g/24 h, P = 0.08) and insulin dose (31.1 ± 7.7 to 16.1 ± 9.7 U/day, P<0.01) were reduced on the last day. The mean BP of control subjects markedly decreased during the sleeping hours of night 1 (92.3 ± 6.4 to 78.1 ± 5.0 mmHg, P<0.001) and night 8 (87.3 ± 6.7 to 76.9 ± 3.6 mmHg, P<0.001). Diabetic patients showed a slight decrease in mean BP during the first night. However, the fall in BP during the nocturnal period increased significantly on the eighth night. The average awake-sleep BP variation was significantly higher at the end of the study (4.2 vs 10.3%, P<0.05) and this ratio turned out to be similar to that found in the control group (10.3 vs 16.3%). HR variation also increased on the eighth night in the diabetics. Following the metabolic improvement obtained at the end of the period, the nocturnal BP variation of diabetics was close to the normal pattern. We suggest that amelioration of glycemic control may influence the awake-sleep BP and HR differences. This effect may be due at least in part to an attenuated insulin stimulation of sympathetic activity

Abnormal proliferative response of the carotid artery of spontaneously hypertensive rats after angioplasty may be related to the depolarized state of its smooth muscle cells

Hypertension is one of the major precursors of atherosclerotic vascular disease, and vascular smooth muscle abnormal cell replication is a key feature of plaque formation. The present study was conducted to examine the relationship between hypertension and smooth muscle cell proliferation after balloon injury and to correlate neointima formation with resting membrane potential of uninjured smooth muscle cells, since it has been suggested that altered vascular function in hypertension may be related to the resetting of the resting membrane potential in spontaneously hypertensive rats (SHR). Neointima formation was induced by balloon injury to the carotid arteries of SHR and renovascular hypertensive rats (1K-1C), as well as in their normotensive controls, i.e., Wistar Kyoto (WKY) and normal Wistar (NWR) rats. After 14 days the animals were killed and the carotid arteries were submitted to histomorphometric and immunohistochemical analyses. Resting membrane potential measurements showed that uninjured carotid arteries from SHR smooth muscle cells were significantly depolarized (-46.5 ± 1.9 mV) compared to NWR (-69 ± 1.4 mV), NWR 1K-1C (-60.8 ± 1.6 mV), WKY (-67.1 ± 3.2 mV) and WKY 1K-1C (-56.9 ± 1.2 mV). The SHR arteries responded to balloon injury with an enhanced neointima formation (neo/media = 3.97 ± 0.86) when compared to arteries of all the other groups (NWR 0.93 ± 0.65, NWR 1K-1C 1.24 ± 0.45, WKY 1.22 ± 0.32, WKY 1K-1C 1.15 ± 0.74). Our results indicate that the increased fibroproliferative response observed in SHR is not related to the hypertensive state but could be associated with the resetting of the carotid smooth muscle cell resting membrane potential to a more depolarized state.

The diversity of abnormal hormone receptors in adrenal Cushing's syndrome allows novel pharmacological therapies

Recent studies from several groups have indicated that abnormal or ectopic expression and function of adrenal receptors for various hormones may regulate cortisol production in ACTH-independent hypercortisolism. Gastric inhibitory polypeptide (GIP)-dependent Cushing's syndrome has been described in patients with either unilateral adenoma or bilateral macronodular adrenal hyperplasia; this syndrome results from the large adrenal overexpression of the GIP receptor without any activating mutation. We have conducted a systematic in vivo evaluation of patients with adrenal Cushing's syndrome in order to identify the presence of abnormal hormone receptors. In macronodular adrenal hyperplasia, we have identified, in addition to GIP-dependent Cushing's syndrome, other patients in whom cortisol production was regulated abnormally by vasopressin, ß-adrenergic receptor agonists, hCG/LH, or serotonin 5HT-4 receptor agonists. In patients with unilateral adrenal adenoma, the abnormal expression or function of GIP or vasopressin receptor has been found, but the presence of ectopic or abnormal hormone receptors appears to be less prevalent than in macronodular adrenal hyperplasia. The identification of the presence of an abnormal adrenal receptor offers the possibility of a new pharmacological approach to control hypercortisolism by suppressing the endogenous ligands or by using specific antagonists for the abnormal receptors.

Is pancreas development abnormal in the non-obese diabetic mouse, a spontaneous model of type I diabetes?

Despite extensive genetic and immunological research, the complex etiology and pathogenesis of type I diabetes remains unresolved. During the last few years, our attention has been focused on factors such as abnormalities of islet function and/or microenvironment, that could interact with immune partners in the spontaneous model of the disease, the non-obese diabetic (NOD) mouse. Intriguingly, the first anomalies that we noted in NOD mice, compared to control strains, are already present at birth and consist of 1) higher numbers of paradoxically hyperactive ß cells, assessed by in situ preproinsulin II expression; 2) high percentages of immature islets, representing islet neogenesis related to neonatal ß-cell hyperactivity and suggestive of in utero ß-cell stimulation; 3) elevated levels of some types of antigen-presenting cells and FasL+ cells, and 4) abnormalities of extracellular matrix (ECM) protein expression. However, the colocalization in all control mouse strains studied of fibroblast-like cells (anti-TR-7 labeling), some ECM proteins (particularly, fibronectin and collagen I), antigen-presenting cells and a few FasL+ cells at the periphery of islets undergoing neogenesis suggests that remodeling phenomena that normally take place during postnatal pancreas development could be disturbed in NOD mice. These data show that from birth onwards there is an intricate relationship between endocrine and immune events in the NOD mouse. They also suggest that tissue-specific autoimmune reactions could arise from developmental phenomena taking place during fetal life in which ECM-immune cell interaction(s) may play a key role.

Time Varying Conditional Correlation Between Stock And Bond Returns: Evidence From CIVETS Nations

This thesis estimates long-run time variant conditional correlation between stock and bond returns of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) nations. Further, aims to analyse the presence of asymmetric volatility effect in both asset returns, as well as, obverses increment or decrement in conditional correlation during pre-crisis and crisis period, which lead to make a reliable diversification decision. The Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) GARCH model (Engle 2002), and the Asymmetric Dynamic Conditional Correlation (ADCC) GARCH model of Cappiello, Engle, and Sheppard (2006) were implemented in the study. The analyses present strong evidence of time-varying conditional correlation in CIVETS markets, excluding Vietnam, during 2005-2013. In addition, negative innovation effects were found in both conditional variance and correlation of the asset returns. The results of this study recommend investors to include financial assets from these markets in portfolios, in order to obtain better stock-bond diversification benefits, especially during high volatility periods.

Reliability and clinical utility of a Portuguese version of the Abnormal Involuntary Movements Scale (AIMS) for tardive dyskinesia in Brazilian patients

The objective of the present study was to evaluate the reliability and clinical utility of a Portuguese version of the Abnormal Involuntary Movements Scale (AIMS). Videotaped interviews with 16 psychiatric inpatients treated with antipsychotic drugs for at least 5 years were evaluated. Reliability was assessed by the intraclass correlation coefficient (ICC) between three raters, two with and one without clinical training in psychopathology. Clinical utility was assessed by the difference between the scores of patients with (N = 11) and without (N = 5) tardive dyskinesia (TD). Patients with TD exhibited a higher severity of global evaluation by the AIMS (sum of scores: 4.2 ± 0.9 vs 0.4 ± 0.2; score on item 8: 2.3 ± 0.3 vs 0.4 ± 0.2, TD vs controls). The ICC for the global evaluation was fair between the two skilled raters (0.58-0.62) and poor between these raters and the rater without clinical experience (0.05-0.29). Thus, we concluded that the Portuguese version of the AIMS shows an acceptable inter-rater reliability, but only between clinically skilled raters, and that it is clinically useful.

Abnormal subcellular distribution of GLUT4 protein in obese and insulin-treated diabetic female dogs

The GLUT4 transporter plays a key role in insulin-induced glucose uptake, which is impaired in insulin resistance. The objective of the present study was to investigate the tissue content and the subcellular distribution of GLUT4 protein in 4- to 12-year-old control, obese and insulin-treated diabetic mongrel female dogs (4 animals per group). The parametrial white adipose tissue was sampled and processed to obtain both plasma membrane and microsome subcellular fractions for GLUT4 analysis by Western blotting. There was no significant difference in glycemia and insulinemia between control and obese animals. Diabetic dogs showed hyperglycemia (369.9 ± 89.9 mg/dl). Compared to control, the plasma membrane GLUT4, reported per g tissue, was reduced by 55% (P < 0.01) in obese dogs, and increased by 30% (P < 0.05) in diabetic dogs, and the microsomal GLUT4 was increased by ~45% (P < 0.001) in both obese and diabetic animals. Considering the sum of GLUT4 measured in plasma membrane and microsome as total cellular GLUT4, percent GLUT4 present in plasma membrane was reduced by ~65% (P < 0.001) in obese compared to control and diabetic animals. Since insulin stimulates GLUT4 translocation to the plasma membrane, percent GLUT4 in plasma membrane was divided by the insulinemia at the time of tissue removal and was found to be reduced by 75% (P < 0.01) in obese compared to control dogs. We conclude that the insulin-stimulated translocation of GLUT4 to the cell surface is reduced in obese female dogs. This probably contributes to insulin resistance, which plays an important role in glucose homeostasis in dogs.

Abnormal response of left ventricular systolic function to submaximal exercise in post-partial left ventriculotomy patients

Patients with heart failure who have undergone partial left ventriculotomy improve resting left ventricular systolic function, but have limited functional capacity. We studied systolic and diastolic left ventricular function at rest and during submaximal exercise in patients with previous partial left ventriculotomy and in patients with heart failure who had not been operated, matched for maximal and submaximal exercise capacity. Nine patients with heart failure previously submitted to partial left ventriculotomy were compared with 9 patients with heart failure who had not been operated. All patients performed a cardiopulmonary exercise test with measurement of peak oxygen uptake and anaerobic threshold. Radionuclide left ventriculography was performed to analyze ejection fraction and peak filling rate at rest and during exercise at the intensity corresponding to the anaerobic threshold. Groups presented similar exercise capacity evaluated by peak oxygen uptake and at anaerobic threshold. Maximal heart rate was lower in the partial ventriculotomy group compared to the heart failure group (119 ± 20 vs 149 ± 21 bpm; P < 0.05). Ejection fraction at rest was higher in the partial ventriculotomy group as compared to the heart failure group (41 ± 12 vs 32 ± 9%; P < 0.0125); however, ejection fraction increased from rest to anaerobic threshold only in the heart failure group (partial ventriculotomy = 44 ± 17%; P = non-significant vs rest; heart failure = 39 ± 11%; P < 0.0125 vs rest; P < 0.0125 vs change in the partial ventriculotomy group). Peak filling rate was similar at rest and increased similarly in both groups at the anaerobic threshold intensity (partial ventriculotomy = 2.28 ± 0.55 EDV/s; heart failure = 2.52 ± 1.07 EDV/s; P < 0.0125; P > 0.05 vs change in partial ventriculotomy group). The abnormal responses demonstrated here may contribute to the limited exercise capacity of patients with partial left ventriculotomy despite the improvement in resting left ventricular systolic function.

Exogenous normal lymph alleviates microcirculation disturbances and abnormal hemorheological properties in rats with disseminated intravascular coagulation

Disturbances of the microcirculation and abnormal hemorheological properties are important factors that play an important role in disseminated intravascular coagulation (DIC) and result in organ dysfunction or failure. In the present study, we established an animal model of DIC using intravenous Dextran 500 in rats, and used exogenous normal lymph corresponding to 1/15 of whole blood volume for injection through the left jugular vein. We found that normal lymph could improve the blood pressure and survival time of rats with DIC. The results regarding the mesenteric microcirculation showed that the abnormality of the diameter of mesenteric microvessels and micro-blood flow speed in the DIC+lymph group was significantly less than in the DIC+saline group. Whole blood viscosity, relative viscosity, plasma viscosity, hematocrit (Hct), erythrocyte sedimentation rate (ESR), and electrophoresis time of erythrocytes were significantly increased in the DIC+saline group compared to the control group. The electrophoretic length and migration of erythrocytes from the DIC+saline and DIC+lymph groups were significantly slower than the control group. Blood relative viscosity, Hct, ESR, and electrophoretic time of erythrocytes were significantly increased in the DIC+lymph group compared to the control group. Whole blood viscosity, relative viscosity and reduced viscosity were significantly lower in the DIC+lymph group than in the DIC+saline group, and erythrocyte deformability index was also significantly higher than in the DIC+saline and control groups. These results suggest that exogenous normal lymph could markedly improve the acute microcirculation disturbance and the abnormal hemorheological properties in rats with DIC induced by Dextran 500.

Modeling pulmonary fibrosis by abnormal expression of telomerase/apoptosis/collagen V in experimental usual interstitial pneumonia

Limitations on tissue proliferation capacity determined by telomerase/apoptosis balance have been implicated in pathogenesis of idiopathic pulmonary fibrosis. In addition, collagen V shows promise as an inductor of apoptosis. We evaluated the quantitative relationship between the telomerase/apoptosis index, collagen V synthesis, and epithelial/fibroblast replication in mice exposed to butylated hydroxytoluene (BHT) at high oxygen concentration. Two groups of mice were analyzed: 20 mice received BHT, and 10 control mice received corn oil. Telomerase expression, apoptosis, collagen I, III, and V fibers, and hydroxyproline were evaluated by immunohistochemistry, in situ detection of apoptosis, electron microscopy, immunofluorescence, and histomorphometry. Electron microscopy confirmed the presence of increased alveolar epithelial cells type 1 (AEC1) in apoptosis. Immunostaining showed increased nuclear expression of telomerase in AEC type 2 (AEC2) between normal and chronic scarring areas of usual interstitial pneumonia (UIP). Control lungs and normal areas from UIP lungs showed weak green birefringence of type I and III collagens in the alveolar wall and type V collagen in the basement membrane of alveolar capillaries. The increase in collagen V was greater than collagens I and III in scarring areas of UIP. A significant direct association was found between collagen V and AEC2 apoptosis. We concluded that telomerase, collagen V fiber density, and apoptosis evaluation in experimental UIP offers the potential to control reepithelization of alveolar septa and fibroblast proliferation. Strategies aimed at preventing high rates of collagen V synthesis, or local responses to high rates of cell apoptosis, may have a significant impact in pulmonary fibrosis.

Interdependence of Macroeconomics Variables, Stock Market Returns and Stock Market Volatility in Latin America

This thesis examines the interdependence of macroeconomic variables, stock market returns and stock market volatility in Latin America between 2000 and 2015. Argentina, Brazil, Chile, Colombia, Mexico and Peru were chosen as the sample markets, while inflation, interest rate, exchange rate, money supply, oil and gold were chosen as the sample macroeconomic variables. Bivariate VAR (1) model was applied to examine the mean return spillovers between the variables, whereas GARCH (1, 1) – BEKK model was applied to capture the volatility spillovers. The sample was divided into two smaller sub-periods, where the first sub-period covers from 2000 to 2007, and the second sub-period covers from 2007 to 2015. The empirical results report significant shock transmissions and volatility spillovers between inflation, interest rate, exchange rate, money supply, gold, oil and the selected markets, which suggests interdependence between the variables.

Modeling Energy Futures Returns With Markov Regime Switching Model

Financial time series have a tendency of abruptly changing their behavior and maintain this behavior for several consecutive periods, and commodity futures returns are not an exception. This quality proposes that nonlinear models, as opposed to linear models, can more accurately describe returns and volatility. Markov regime switching models are able to match this behavior and have become a popular way to model financial time series. This study uses Markov regime switching model to describe the behavior of energy futures returns on a commodity level, because studies show that commodity futures are a heterogeneous asset class. The purpose of this thesis is twofold. First, determine how many regimes characterize individual energy commodities’ returns in different return frequencies. Second, study the characteristics of these regimes. We extent the previous studies on the subject in two ways: We allow for the possibility that the number of regimes may exceed two, as well as conduct the research on individual commodities rather than on commodity indices or subgroups of these indices. We use daily, weekly and monthly time series of Brent crude oil, WTI crude oil, natural gas, heating oil and gasoil futures returns over 1994–2014, where available, to carry out the study. We apply the likelihood ratio test to determine the sufficient number of regimes for each commodity and data frequency. Then the time series are modeled with Markov regime switching model to obtain the return distribution characteristics of each regime, as well as the transition probabilities of moving between regimes. The results for the number of regimes suggest that daily energy futures return series consist of three to six regimes, whereas weekly and monthly returns for all energy commodities display only two regimes. When the number of regimes exceeds two, there is a tendency for the time series of energy commodities to form groups of regimes. These groups are usually quite persistent as a whole because probability of a regime switch inside the group is high. However, individual regimes in these groups are not persistent and the process oscillates between these regimes frequently. Regimes that are not part of any group are generally persistent, but show low ergodic probability, i.e. rarely prevail in the market. This study also suggests that energy futures return series characterized with two regimes do not necessarily display persistent bull and bear regimes. In fact, for the majority of time series, bearish regime is considerably less persistent. Rahoituksen aikasarjoilla on taipumus arvaamattomasti muuttaa käyttäytymistään ja jatkaa tätä uutta käyttäytymistä useiden periodien ajan, eivätkä hyödykefutuurien tuotot tee tähän poikkeusta. Tämän ominaisuuden johdosta lineaaristen mallien sijasta epälineaariset mallit pystyvät tarkemmin kuvailemaan esimerkiksi tuottojen jakauman parametreja. Markov regiiminvaihtomallit pystyvät vangitsemaan tämän ominaisuuden ja siksi niistä on tullut suosittuja rahoituksen aikasarjojen mallintamisessa. Tämä tutkimus käyttää Markov regiiminvaihtomallia kuvaamaan yksittäisten energiafutuurien tuottojen käyttäytymistä, sillä tutkimukset osoittavat hyödykefutuurien olevan hyvin heterogeeninen omaisuusluokka. Tutkimuksen tarkoitus on selvittää, kuinka monta regiimiä tarvitaan kuvaamaan energiafutuurien tuottoja eri tuottofrekvensseillä ja mitkä ovat näiden regiimien ominaisuudet. Aiempaa tutkimusta aiheesta laajennetaan määrittämällä regiimien lukumäärä tilastotieteellisen testauksen menetelmin sekä tutkimalla energiafutuureja yksittäin; ei indeksi- tai alaindeksitasolla. Tutkimuksessa käytetään päivä-, viikko- ja kuukausiaikasarjoja Brent-raakaöljyn, WTI-raakaöljyn, maakaasun, lämmitysöljyn ja polttoöljyn tuotoista aikaväliltä 1994–2014, siltä osin kuin aineistoa on saatavilla. Likelihood ratio -testin avulla estimoidaan kaikille aikasarjoille regiimien määrä,jonka jälkeen Markov regiiminvaihtomallia hyödyntäen määritetään yksittäisten regiimientuottojakaumien ominaisuudet sekä regiimien välinen transitiomatriisi. Tulokset regiimien lukumäärän osalta osoittavat, että energiafutuurien päiväkohtaisten tuottojen aikasarjoissa regiimien lukumäärä vaihtelee kolmen ja kuuden välillä. Viikko- ja kuukausituottojen kohdalla kaikkien energiafutuurien prosesseissa regiimien lukumäärä on kaksi. Kun regiimejä on enemmän kuin kaksi, on prosessilla taipumus muodostaa regiimeistä koostuvia ryhmiä. Prosessi pysyy ryhmän sisällä yleensä pitkään, koska todennäköisyys siirtyä ryhmään kuuluvien regiimien välillä on suuri. Yksittäiset regiimit ryhmän sisällä eivät kuitenkaan ole kovin pysyviä. Näin ollen prosessi vaihtelee ryhmän sisäisten regiimien välillä tiuhaan. Regiimit, jotka eivät kuulu ryhmään, ovat yleensä pysyviä, mutta prosessi ajautuu niihin vain harvoin, sillä todennäköisyys siirtyä muista regiimeistä niihin on pieni. Tutkimuksen tulokset osoittavat myös, että prosesseissa, joita ohjaa kaksi regiimiä, nämä regiimit eivät välttämättä ole pysyvät bull- ja bear-markkinatilanteet. Tulokset osoittavat sen sijaan, että bear-markkinatilanne on energiafutuureissa selvästi vähemmän pysyvä.