The Use of Systematic Value Strategies in Separating the Winners from the Losers: Evidence from the Finnish Markets

This study examines the Magic Formula and ERP5 value strategies in the Finnish stocks markets. Magic Formula ranks stocks based on EV/EBIT and ROA and ERP5 based on EV/EBIT, ROA, P/B and five-year trailing ROA. The purpose of the study is to examine whether the value strategies can be used to generate excess returns over the market index. The data has been collected from the Datastream database for the sample period from May 1997 to May 2010 and consists of the companies listed on the main list of Helsinki Stock Exchange. This study confirms the findings of previous research that value premium exists in the Finnish stock markets and that systematic value strategies can be used to form portfolios that outperform the market index with lower volatility.

The Impact of European Macroeconomic News Announcements on CIVETS Stock Markets

The purpose of this research is to investigate how CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) stock markets are integrated with Europe as measured by the impact of euro area (EA) scheduled macroeconomic news announcements, which are related to macroeconomic indicators that are commonly used to indicate the direction of the economy. Macroeconomic announcements used in this study can be divided into four categories; (1) prices, (2) real economy, (3) money supply and (4) business climate and consumer confidence. The data set consists of daily market data from CIVETS and scheduled macroeconomic announcements from the EA for the years 2007-2012. The econometric model used in this research is Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH). Empirical results show diverse impacts of macroeconomic news releases and surprises for different categories of news supporting the perception of heterogeneity among CIVETS. The analyses revealed that in general EA macroeconomic news releases and surprises affect stock market volatility in CIVETS and only in some cases asset pricing. In conclusion, all CIVETS stock markets reacted to the incoming EA macroeconomic news suggesting market integration to some extent. Thus, EA should be considered as a possible risk factor when investing in CIVETS.

Vastavirran strategian menestyminen Suomen osakemarkkinoilla

Tutkimuksen tavoitteena on selvittää onko vastavirran strategian avulla ollut mahdollista saada keskimääräistä korkeampia tuottoja Helsingin pörssissä vuosina 2002 - 2011. Lisäksi tarkastellaan voidaanko momentum-indikaattoria käyttämällä parantaa vastavirran strategian tuottoja.

The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

Stop bugging me! : diversity in appearance of warning coloration

In nature, many animals use body coloration to communicate with each other. For example, colorations can be used as signals between individuals of the same species, but also to recognise individuals of other species, and if they may comprise a threat or not. Many animals use protective coloration to avoid predation. The two most common strategies of protective coloration are camouflage and aposematism. Camouflaged animals have coloration that minimises detection, usually by matching colours or structures in the background. Aposematic animals, on the other hand, signal to predators that they are defended. The defence can be physical structures, such as spikes and hairs, or chemical compounds that make the animal distasteful or even deadly toxic. In order for the warning signal to be effective, the predator has to recognise it as such. Studies have shown that birds for example, that are important visual predators on insects, learn to recognise and avoid unpalatable prey faster if they contrast the background or have large internal contrasts. Typical examples of aposematic species have conspicuous colours like yellow, orange or red, often in combination with black. My thesis focuses on the appearance and function of aposematic colour patterns. Even though researchers have studied aposematism for over a century, there is still a lot we do not know about the phenomenon. For example, as it is crucial that the predators recognise a warning signal, aposematic colorations should assumingly evolve homogeneously and be selected for maximal conspicuousness. Instead, there is an extensive variation of colours and patterns among warning colorations, and it is not uncommon to find typical cryptic colours, such as green and brown in aposematic colour patterns. One hypothesis to this variation is that an aposematic coloration does not have to be maximally signalling in order to be effective, instead it is sufficient to have distinct features that can be easily distinguished from edible prey. To be maximally conspicuous is one way to achieve this, but not the only way. Another hypothesis is that aposematic prey that do not exhibit maximal conspicuousness can exploit both camouflage and aposematism in a distance-dependent fashion, by being signalling when seen close up but camouflaged at a distance. Many prey animals also make use of both strategies by shifting colour at different ecological conditions such as seasonal variations, fluctuations in food resources or between life stages. Yet another explanation for the variation may be that prey animals are usually exposed to several predator species that vary in visual perception and tolerance towards various toxins. The aim with this thesis is, by studying their functions, to understand why aposematic warning signals vary in appearance, specifically in the level of conspicuousness, and if warning coloration can be combined with camouflage. In paper I, I investigated if the colour pattern of the aposematic larva of the Apollo butterfly (Parnassius apollo) can switch function with viewing distance, and be signalling at close range but camouflaged at a distance, by comparing detection time between different colour variants and distances. The results show that the natural coloration has a dual distance-dependent function. Moreover, the study shows that an aposematic coloration does not have to be selected for maximal conspicuousness. A prey animal can optimise its coloration primarily by avoiding detection, but also by investing in a secondary defence, which presence can be signalled if detected. In paper II, I studied how easily detected the coloration of the firebug (Pyrrhocoris apterus), a typical aposematic species, is at different distances against different natural backgrounds, by comparing detection time between different colour variants. Here, I found no distance-dependent switch in function. Instead, the results show that the coloration of the firebug is selected for maximal conspicuousness. One explanation for this is that the firebug is more mobile than the butterfly larva in study I, and movement is often incompatible with efficient camouflage. In paper III, I investigated if a seasonal related colour change in the chemically defended striated shieldbug (Graphosoma lineatum) is an adaptation to optimise a protective coloration by shifting from camouflage to aposematism between two seasons. The results confirm the hypothesis that the coloration expressed in the late summer has a camouflage function, blending in with the background. Further, I investigated if the internal pattern as such increased the effectiveness of the camouflage. Again, the results are in accordance with the hypothesis, as the patterned coloration was more difficult to detect than colorations lacking an internal pattern. This study shows how an aposematic species can optimise its defence by shifting from camouflage to aposematism, but in a different fashion than studied in paper I. The aim with study IV was to study the selection on aposematic signals by identifying characteristics that are common for colorations of aposematic species, and that distinguish them from colorations of other species. I compared contrast, pattern element size and colour proportion between a group of defended species and a group of undefended species. In contrast to my prediction, the results show no significant differences between the two groups in any of the analyses. One explanation for the non-significant results could be that there are no universal characteristics common for aposematic species. Instead, the selection pressures acting on defended species vary, and therefore affect their appearance differently. Another explanation is that all defended species may not have been selected for a conspicuous aposematic warning coloration. Taken together, my thesis shows that having a conspicuous warning coloration is not the only way to be aposematic. Also, aposematism and camouflage is not two mutually exclusive opposites, as there are prey species that exploit both strategies. It is also important to understand that prey animals are exposed to various selection pressures and trade-offs that affect their appearance, and determines what an optimal coloration is for each species or environment. In conclusion, I hold that the variation among warning colorations is larger and coloration properties that have been considered as archetypically aposematic may not be as widespread and representative as previously assumed.

Mathematics inspired by Darwin. Adaptive dynamics of dispersal and cooperation

In 1859, Charles Darwin published his theory of evolution by natural selection, the process occurring based on fitness benefits and fitness costs at the individual level. Traditionally, evolution has been investigated by biologists, but it has induced mathematical approaches, too. For example, adaptive dynamics has proven to be a very applicable framework to the purpose. Its core concept is the invasion fitness, the sign of which tells whether a mutant phenotype can invade the prevalent phenotype. In this thesis, four real-world applications on evolutionary questions are provided. Inspiration for the first two studies arose from a cold-adapted species, American pika. First, it is studied how the global climate change may affect the evolution of dispersal and viability of pika metapopulations. Based on the results gained here, it is shown that the evolution of dispersal can result in extinction and indeed, evolution of dispersalshould be incorporated into the viability analysis of species living in fragmented habitats. The second study is focused on the evolution of densitydependent dispersal in metapopulations with small habitat patches. It resulted a very surprising unintuitive evolutionary phenomenon, how a non-monotone density-dependent dispersal may evolve. Cooperation is surprisingly common in many levels of life, despite of its obvious vulnerability to selfish cheating. This motivated two applications. First, it is shown that density-dependent cooperative investment can evolve to have a qualitatively different, monotone or non-monotone, form depending on modelling details. The last study investigates the evolution of investing into two public-goods resources. The results suggest one general path by which labour division can arise via evolutionary branching. In addition to applications, two novel methodological derivations of fitness measures in structured metapopulations are given.

Export Tire Entry to Chinese Market

After the economic reform, China has undergone fast economic growth, urbanization and adopted the western lifestyle. Global enterprises are investing in China and Finnish companies began to enter the Chinese market after the 1980s. Fast economic growth has downside effects like pollution and thus more cleantech solutions are needed. There are different kinds of entry modes that companies are using when entering the Chinese market. This thesis focuses on export tire entry mode. The purpose of this study is to examine cleantech companies’ opinions about the export tire operations. The background of this study is built by combining the written knowledge about the history of the Chinese industry and market entry modes. The empirical part of the study is a semi-structured, qualitative analysis of five case companies that are operating together in a particular export tire and represent the highest Finnish cleantech knowledge. The results of this study indicate that the export tire entry is an easy and cost effective way to enter new markets or market segment. Export tire is really dependent on the leader who in this particular case succeeded well.

Estrutura do pericarpo e da semente de Astronium graveolens Jacq. (Anacardiaceae) com notas taxonômicas

Astronium graveolens é um representante arbóreo da família Anacardiaceae que se distribui desde o México até o centro-sul da América do Sul. O fruto é uma pseudo-sâmara com exocarpo unisseriado, suberificado e aderido ao mesocarpo. O mesocarpo é parenquimático, com grandes canais secretores associados aos feixes vasculares e localizados próximos ao endocarpo. O endocarpo parenquimático é bisseriado, sendo a camada que reveste o lóculo ligeiramente alongada radialmente. O óvulo é anátropo, unitegumentado, crassinucelado, com rafe dorsal evidente e hipóstase tanífera; apresenta obturador placentário e está inserido em posição apical-lateral no fruto. A testa, fortemente adnata ao pericarpo, apresenta as células da epiderme interna pequenas e de conteúdo bastante denso, indicando uma condição endotestal. O envoltório na semente madura é formado por restos da testa, funículo, região rafe-calazal e hipóstase apresentando duas regiões distintas: uma paquicalazal de coloração marrom e outra tegumentar de coloração amarelo-clara. O embrião ocupa posição axial e é do tipo "investing".

Bisnesenkeleiden ei-taloudelliset investoinnit startup-rahoituksessa: Näkökulmia Suomesta

Tämä tutkimus on kvalitatiivinen tutkimus bisnesenkelisijoittamisen ei-taloudellisesta osuudesta suomalaisessa startup-rahoitus kontekstissa. Tutkimus on toteutettu suorittamalla kirjallisuuskatsaus aiempaan alan kirjallisuuteen, sekä täydentämällä tätä kolmella puolistrukturoidulla enkelisijoittajan haastattelulla. Tutkimuksessa pyritään vastaamaan seuraaviin tutkimuskysymyksiin: mitä bisnesenkeleiden ei-taloudelliset investoinnit käytännössä ovat? Mitä tutkimusta bisnesenkeleiden ei-taloudellisista investoinneista on aikaisemmin tehty? Käyttääkö bisnesenkeli omia osaamisalueitaan ei-taloudellisissa investoinneissa? Onko olemassa jotain uniikkia suomalaista toimintatapaa tai erityispiirrettä ei-taloudellisille investoinneille?

The Russian National Innovation System - an International Perspective

Russia inherited a large research and development (R&D) sector from the Soviet times, and has retained a substantial R&D sector today, compared with other emerging economies. However, Russia is falling behind in all indicators measuring innovative output in comparison with most developed countries. Russia’s innovation performance is disappointing, despite the available stock of human capital and overall investment in R&D. The communist legacy still influences the main actors of the innovation system. The federal state is still the most important funding source for R&D. Private companies are not investing in innovative activities, preferring to “import” innovations embedded in foreign technologies. Universities are outsiders in the innovation system, only a few universities carry out research activities. Nowadays, Russia is a resource-depended country. The economy depends on energy and metals for growth. The Russian economy faces the challenge of diversification and should embrace innovation, and shift to a knowledge economy to remain competitive in the long run. Therefore, Russia has to tackle the challenge of developing an efficient innovation system with its huge potential in science expertise and engineering know-how.

Achieving EU energy targets – Impacts of evolutionary and revolutionary transition paths on power systems

Ambitious energy targets set by EU put pressures to increase share of renewable electricity supply in this and next decades and therefore, some EU member countries have boosted increasing renewable energy generation capacity by implementing subsidy schemes on national level. In this study, two different change approaches to increase renewable energy supply and increase self-sufficiency of supply are assessed with respect to their impacts on power system, electricity market and electricity generation costs in Finland. It is obtained that the current electricity generation costs are high compared to opportunities of earnings from present-day investor’s perspective. In addition, the growth expectations of consumptions and the price forecasts do not stimulate investing in new generation capacity. Revolutionary transition path is driven by administrative and political interventions to achieve the energy targets. Evolutionary transition path is driven by market-based mechanisms, such as market itself and emission trading scheme. It is obtained in this study that in the revolutionary transition path operation of market-based mechanisms is distorted to some extent and it is likely that this path requires providing more public financial resources compared to evolutionary transition path. In the evolutionary transition path the energy targets are not achieved as quickly but market-based mechanisms function better and investment environment endures more stable compared to revolutionary transition path.

Factors Affecting Consumer Investment Intentions. Empirical Evidence from Finland

The thesis aims to build a theoretical model to explain consumer investment intentions in stocks and investment funds. The model examines the relationships between subjective investment knowledge, expected sacrifice, expected investment value, compatibility, perceived behavioral control and investment intentions. The data was collected via web-based survey and consisted of 45- to 65-year-old Finnish consumers (n=154). Confirmatory factor analysis (CFA), structural equation modeling (SEM) and t-tests were applied in analyzing the data. The results suggest that among average household consumers expected investment value consists of three dimensions, namely, economic, functional, and emotional, whereas expected sacrifice consists of effort, financial risk, source risk, and psychological risk. Two structural models were assessed, one for stock investments and one for investment funds. Whereas the models presented somewhat different outcomes, in both models compatibility had an essential role in explaining consumer investment intentions. Compatibility was affected by expected investment value and expected sacrifice. Subjective investment knowledge impacted consumers’ evaluations of the value and sacrifices. The effect of perceived behavioral control on investment intentions was rather small, however significant. Moreover, the results suggest that there are significant differences between consumers with no investment experience and consumers with investment experience in subjective investment knowledge, the dimensions of expected sacrifices and expected investment value, perceived behavioral control, compatibility and investment intentions.

Päätöksenteon haasteet pelastuslaitosten onnettomuuksien ehkäisyn osastoilla

Työn tavoitteena on selvittää, millaisia haasteita kohdataan pelastuslaitosten onnettomuuksien ehkäisyn osastoilla päätöksiä tehtäessä ja lisäksi selvittää asioita, jotka vaikuttavat päätöksentekoon. Tutkimus suoritettiin kyselytutkimuksena, johon osallistui pelastusviranomaisia ympäri Suomen. Tutkimuksessa kävi ilmi, että lähtökohdat laadukkaalle päätöksenteolle ovat pääsääntöisesti kunnossa. Säädösten osalta pelastuslaissa ja siihen liittyvissä asetuksissa asiat on esitetty paremmin kuin rakentamisen paloturvallisuuteen liittyvissä määräyksissä ja ohjeissa. Jotta päätöksenteko olisi helpompaa ja päätökset yhdenmukaisia valtakunnallisesti, yhteistyöhön ja kumppanuusverkoston toimintaan kannattaa panostaa myös jatkossa.

Bitcoinin hajautushyödyt sijoitusportfoliossa

Tässä kandidaatintutkielmassa perehdytään Bitcoiniin sijoituskohteena hajautuksen näkökulmasta. Työssä esitellään Bitcoinin toimintaa ja valuuttakurssiin vaikuttavia tekijöitä sekä perehdytään portfolion hajautuksen teoriaan. Bitcoinin hajautushyötyjä tutkitaan empiirisesti suhteessa viiteen käytettyyn sijoituskohteeseen laskemalla keskinäisiä korrelaatioita, muodostamalla tehokas rintama sekä ratkaisemalla optimaaliset painot Sharpen luvulla mitattuna. Tutkielmassa Bitcoinin ei havaittu korreloivan minkään tutkitun sijoituskohteen kanssa. Bitcoineja sisältävän portfolion tehokkaan rintaman havaittiin puolestaan olevan merkittävästi jyrkempi kuin Bitcoineja sisältämättömän portfolion, joka osoittaa Bitcoineilla saavutettavan hajautushyötyjä. Suurimman mahdollisen Sharpen luvun portfolio saa, kun Bitcoineja sisällytetään siihen 0,51 %. Bitcoineja voi tutkielman tulosten mukaan pitää suositeltavana sijoituskohteena hajautushyötyjä hakeville sijoittajille.

Dynamic linkages of real estate and stock markets in Finland

Traditionally real estate has been seen as a good diversification tool for a stock portfolio due to the lower return and volatility characteristics of real estate investments. However, the diversification benefits of a multi-asset portfolio depend on how the different asset classes co-move in the short- and long-run. As the asset classes are affected by the same macroeconomic factors, interrelationships limiting the diversification benefits could exist. This master’s thesis aims to identify such dynamic linkages in the Finnish real estate and stock markets. The results are beneficial for portfolio optimization tasks as well as for policy-making. The real estate industry can be divided into direct and securitized markets. In this thesis the direct market is depicted by the Finnish housing market index. The securitized market is proxied by the Finnish all-sectors securitized real estate index and by a European residential Real Estate Investment Trust index. The stock market is depicted by OMX Helsinki Cap index. Several macroeconomic variables are incorporated as well. The methodology of this thesis is based on the Vector Autoregressive (VAR) models. The long-run dynamic linkages are studied with Johansen’s cointegration tests and the short-run interrelationships are examined with Granger-causality tests. In addition, impulse response functions and forecast error variance decomposition analyses are used for robustness checks. The results show that long-run co-movement, or cointegration, did not exist between the housing and stock markets during the sample period. This indicates diversification benefits in the long-run. However, cointegration between the stock and securitized real estate markets was identified. This indicates limited diversification benefits and shows that the listed real estate market in Finland is not matured enough to be considered a separate market from the general stock market. Moreover, while securitized real estate was shown to cointegrate with the housing market in the long-run, the two markets are still too different in their characteristics to be used as substitutes in a multi-asset portfolio. This implies that the capital intensiveness of housing investments cannot be circumvented by investing in securitized real estate.