The Impact of the EMU on International Portfolio Investments

This paper analyses the impact of the launch of the European Monetary Union (EMU) on the allocation of international portfolio investments. The initiation of the EMU provides an opportunity for comparison of competing theoretical explanations for investment behavior. Models stressing the diversification motive would predict that the increased dependence between countries participating in the EMU should reduce the attractiveness of portfolio holdings in other EMU countries. Models based on asymmetric information would instead emphasize the increased intensity in the flow of information resulting from an increase in cross border transactions between the EMU countries. The consequent decline in information asymmetry should increase, rather than reduce portfolio holdings in other EMU countries. Our results based on the allocation of Finnish foreign portfolio investment support the information-based explanation against predictions based on the diversification motive.

The Impact of New Capital Requirements on the Portfolio Decisions of Finnish Pension Institutions

This paper examines the potential impact of new capital requirements on asset allocations of Finnish pension institutions. We describe the new requirements and consider portfolio construction to minimize regulatory capital, given the investor’s preferred level of expected return. Results identify portfolio transactions that enhance expected return without increasing capital needs. Regulation calls for portfolio diversification and prudence in management, but this paper shows that market participants can exploit inconsistencies in regulation. Possible future consequences include capital outflows from the pension system and an unintended decrease in pre-funding of old-age pensions.

With Good Reputation Size Does not Matter: Issue Frequency and the Determinants of Debt Maturity

This paper examines empirically the effect firm reputation has on the determinants of debt maturity. Utilising data from European primary bond market between 1999 and 2005, I find that the maturity choice of issuers with a higher reputation is less sensitive to macroeconomic conditions, market credit risk-premiums, prevailing firm credit quality and size of the debt issue. The annualised coupon payments are shown to be a significant factor in determining the debt maturity and reveal a monotonously increasing relationship between credit quality and debt maturity once controlled for. Finally, I show that issuers lacking a credit rating have an implied credit quality positioned between investment-grade and speculative-grade debt.

The Influence of World Factors on Finnish Stock Market Volatility

This paper investigates to what extent the volatility of Finnish stock portfolios is transmitted through the "world volatility". We operationalize the volatility processes of Finnish leverage, industry, and size portfolio returns by asymmetric GARCH specifications according to Glosten et al. (1993). We use daily return data for January, 2, 1987 to December 30, 1998. We find that the world shock significantly enters the domestic models, and that the impact has increased over time. This applies also for the variance ratios, and the correlations to the world. The larger the firm, the larger is the world impact. The conditional variance is higher during recessions. The asymmetry parameter is surprisingly non-significant, and the leverage hypothesis cannot be verified. The return generating process of the domestic portfolio returns does usually not include the world information set, thus indicating that the returns are generated by a segmented conditional asset pricing model.

Overconfidence and investor size

Recent research documents that institutional or large investors act as antagonists to other investors by showing opposite behavior following disclosure of new information. Using an extremely comprehensive official transactions data set from Finland, we set out to explore the interrelation between investor size and behavior. More specifically, we test whether investor size is positively (negatively) correlated with investor reaction following positive (negative) news. We document robust evidence of that investor size affects investor behavior under new information, as larger investors on average react more positively (negatively) to good (bad) news than smaller investors. In the light of this study it seems increasingly feasible that several recent findings of heterogeneous investor behavior are functions of differences in overconfidence.

On the complexity of finding stopping set size in Tanner Graphs

The problem of determining whether a Tanner graph for a linear block code has a stopping set of a given size is shown to be NT-complete.

Interfacial coupling and its size dependence in PbTiO3 and PbMg1/3Nb2/3O3 multilayers

Multilayers of Pb(Mg1/3Nb2/3)O-3 (PMN)-PbTiO3 (PT) were deposited through pulsed laser ablation deposition with different periodicities (d=10, 20, 30, 40, 50, 60, and 70 nm) for a constant total thickness of the film. The presence of superlattice reflections in the x-ray diffraction pattern clearly showed the superlattice behavior of the fabricated structures over a periodicity range of 20-50 nm. Polarization hysteresis and the capacitance-voltage characteristics of these films show clear size dependent ferroelectric and antiferroelectric (AFE) characteristics. Presence of long-range coupling and strain in multilayers with lower periodicity (similar to 10 nm) exhibited a clear ferroelectric behavior similar to a solid solution of PMN and PT. Multilayers with higher periodicities (20-50 nm) exhibited antiferroelectric behavior, which could be understood from the energy arguments. On further increase of periodicity, they again exhibit ferroelectric behavior. The polarization studies were carried out beyond the Curie temperature T-c of PMN to understand the interlayer interaction. The interaction is changed to a ferroelectric-paraelectric interlayer and tends to lose its antiferroelectric behavior. The behavior of remnant polarization P-r and dP(r)/dT with temperature clearly proves that the AFE coupling of these superlattices is due to the extrinsic interfacial coupling and not an intrinsic interaction as in a homogeneous conventional AFE material. The evidence of an averaged behavior at a periodicity of similar to 10 nm, and the behavior of individual materials at larger periodicities were further confirmed through dielectric phase transition studies. The presence of AFE interfacial coupling was insignificant over the dielectric phase transition of the multilayers.

Breakdown in p‐n junction diodes made on polycrystalline silicon of large grain size

This communication describes the voltage‐current characteristics in the breakdown region of p‐n junctions made on polycrystalline silicon of large grain size. The observed soft breakdown characteristics have been explained by taking into account the effect of curvature of the junction near the grain boundaries.

Size effect in self consolidating concrete beams with and without notches

The aim of this study is to obtain the fracture characteristics of low and medium compressive strength self consolidating concrete (SCC) for notched and un-notched plain concrete beams by using work of fracture G(F) and size effect model G(f) methods and comparing them with those of normal concrete and high performance concrete. The results show that; (i) with an increase in compressive strength, G(F) increases and G(f) decreases; (ii) with an increase in depth of beam, the decrease in nominal stress of notched beam is more when compared with that of a notchless beam.

Size-Dependent Melting of Finite-Length Nanowires

We report on the size-dependent melting of nanowires with finite length based on the thermodynamic as well as liquid drop model. It has been inferred that the length dependency cannot be ignored, unlike the case of infinite length nanowires. To validate the length dependency, we have analyzed a few experimental results reported in the literature.

International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.