Tests of International Asset Pricing Models in Scandinavian Stock Markets

This thesis examines whether global, local and exchange risks are priced in Scandinavian countries’ equity markets by using conditional international asset pricing models. The employed international asset pricing models are the world capital asset pricing model, the international asset pricing model augmented with the currency risk, and the partially segmented model augmented with the currency risk. Moreover, this research traces estimated equity risk premiums for the Scandinavian countries. The empirical part of the study is performed using generalized method of moments approach. Monthly observations from February 1994 to June 2007 are used. Investors’ conditional expectations are modeled using several instrumental variables. In order to keep system parsimonious the prices of risk are assumed to be constant whereas expected returns and conditional covariances vary over time. The empirical findings of this thesis suggest that the prices of global and local market risk are priced in the Scandinavian countries. This indicates that the Scandinavian countries are mildly segmented from the global markets. Furthermore, the results show that the exchange risk is priced in the Danish and Swedish stock markets when the partially segmented model is augmented with the currency risk factor.

Shaping urban traffic patterns through congestion charging : What factors drive success or failure?

Congestion costs are emerging as one of the most important challenges faced by metropolitan planners and transport authorities in first world economies. In US these costs were as high as 78 million dollars in 2005 and are growing due to fast increases in travel delays. In order to solve the current and severe levels of congestion the US department of transportation have recently started a program to initiate congestion pricing in five metropolitan areas. In this context it is important to determine those factors helping its implementation and success, but also the problems or difficulties associated with charging projects. In this article we analyze worldwide experiences with urban road charging in order to extract interesting and helpful lessons for policy makers engaged in congestion pricing projects and for those interested in the introduction of traffic management tools to regulate the entrance to big cities.

Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Energy intensity in road freight transport of heavy goods vehicles in Spain

This paper examines the factors that have influenced the energy intensity of the Spanish road freight transport of heavy goods vehicles over the period 1996–2012. This article aims to contribute to a better understanding of the factors behind the energy intensity change of road freight and also to inform the design of measures to improve energy efficiency in road freight transport. The paper uses both annual single-period and chained multi-period multiplicative LMDI-II decomposition analysis. The results suggest that the decrease in the energy intensity of Spanish road freight in the period is explained by the change in the real energy intensity index (lower energy consumption per tonne-kilometre transported), which is partially offset by the behaviour of the structural index (greater share in freight transport of those commodities the transportation of which is more energy intensive). The change in energy intensity is analysed in more depth by quantifying the contribution of each commodity through the attribution of changes in Divisia indices.

Experimental analysis of optimization techniques on the road passenger transportation problem

Analyzing the state of the art in a given field in order to tackle a new problem is always a mandatory task. Literature provides surveys based on summaries of previous studies, which are often based on theoretical descriptions of the methods. An engineer, however, requires some evidence from experimental evaluations in order to make the appropriate decision when selecting a technique for a problem. This is what we have done in this paper: experimentally analyzed a set of representative state-of-the-art techniques in the problem we are dealing with, namely, the road passenger transportation problem. This is an optimization problem in which drivers should be assigned to transport services, fulfilling some constraints and minimizing some function cost. The experimental results have provided us with good knowledge of the properties of several methods, such as modeling expressiveness, anytime behavior, computational time, memory requirements, parameters, and free downloadable tools. Based on our experience, we are able to choose a technique to solve our problem. We hope that this analysis is also helpful for other engineers facing a similar problem

Managing the Pricing of Integrated Solutions in Export Partnerships

Little research has been conducted to guide the management of marketing variables, such as pricing, in systems business context. Furthermore, given that international partnering has become a popular mode of operation for SMEs, the objective of the current thesis was to explore the scantly researched topic of managing the pricing of integrated solutions in an export partnership. Specifically, the thesis synthesizes literature findings from the three areas of export pricing, systems business, and export partnerships. The empirical section of the study consists of a qualitative single-case study of a Finnish systems integrator that has recently launched its export operations. Primary data was collected by conducting four interviews of the case company’s managers and by organizing one group interview session. The study findings indicate that a systems integrator’s pricing strategy in an export partnership can be very multidimensional and dependant on international pricing environment and partner characteristics, that an export partnership appears to have unique implications on a systems integrator’s pricing process, and that customer value –based pricing strategies might be particularly suited to pricing integrated solutions.

Ion pair-dispersive liquid-liquid microextraction of trace amount of rhodium ion in water and road dust samples prior to flame atomic absorption spectrometry determination

A simple ion pair-dispersive liquid-liquid microextraction method was proposed for preconcentration trace amounts of rhodium. An ion association complex of RhCl4- and tetradecyldimetylbenzylamonium was extracted into cholorobenzene. The volume and the type of extractive and dispersive solvents, the extraction time and the pH of the aqueous solutions were optimized. The calibration curve was linear in the range of 0.6-500 ng mL-1 of rhodium. The limit of detection was 0.10 ng mL-1 in initial solution and preconcentration factor was 40. The proposed method was successfully applied to the extraction and determination of rhodium in road dust and water samples.

Ligandless cloud point extraction of trace amounts of palladium and rhodium in road dust samples using Span 80 prior to their determination by flame atomic absorption spectrometry

In this study, a procedure is developed for cloud point extraction of Pd(II) and Rh(III) ions in aqueous solution using Span 80 (non-ionic surfactant) prior to their determination by flame atomic absorption spectroscopy. This method is based on the extraction of Pd(II) and Rh(III) ions at a pH of 10 using Span 80 with no chelating agent. We investigated the effect of various parameters on the recovery of the analyte ions, including pH, equilibration temperature and time, concentration of Span 80, and ionic strength. Under the best experimental conditions, the limits of detection based on 3Sb for Pd(II) and Rh(III) ions were 1.3 and 1.2 ng mL-1, respectively. Seven replicate determinations of a mixture of 0.5 µg mL-1 palladium and rhodium ions gave a mean absorbance of 0.058 and 0.053 with relative standard deviations of 1.8 and 1.6%, respectively. The developed method was successfully applied to the extraction and determination of the palladium and rhodium ions in road dust and standard samples and satisfactory results were obtained.

Finnair’s “New Silk Road” in the New Millennium: An Analysis of the Construction of Asia and of the Company

During the past century, an increasingly diverse world provided us with opportunities for intercultural communication; especially the growth of commerce at all levels from domestic to international has made the combination of the theories of intercultural communication and international business necessary. As one of the main beneficiaries in international business in recent years, companies in airline industries have developed their international market. For instance, Finnair has developed its Asian strategy which responds to the increasing market demand for flights from Europe to Asia in the new millennium. Therefore, the company manages marketing communication in a global environment and becomes a suitable case for studying the theories of intercultural communication in the context of international marketing. Finnair implemented a large number of international advertisements to promote its Asian routes, where Asia has been constructed as a number of exotic destinations. Meanwhile, the company itself as a provider of these destinations has also been constructed contrastively. Thus, this thesis aims at research how Finnair constructs Asia and the company itself in the new millennium, and how these constructions compare with the theories of intercultural communication. This research applied the theories of international marketing, intercultural communication and culture. In order to analyze the collected corpora as Finnair’s international advertisements and its annual reports in the new millennium, the methods of content analysis and discourse analysis have been used in this research. As a result, Finnair has purposefully applied the essentialist approach to intercultural communication and constructed Asia as an exotic “Other” due to the company’s market orientation. Meanwhile, Finnair has also constructed the company itself two identities based on the same approach: as an international airline provider between Europe and Asia, as well as a part of Finnish society. The combination of intercultural communication and international marketing theories, together with the combination of the methods of content analysis and discourse analysis ensure the originality of this paper.

Industrial solid waste (whitewash mud) use in forest road pavements

The objective of the present study was to evaluate the effects of industrial solid waste (whitewash mud) on geotechnical properties considering the following engineering parameters: California Bearing Ratio (CBR), Atterberg limits and Permeability test. Seven soil samples derived from Alagoinhas, Bahia - Brazil, were classified by the Transportation Research Board (TRB) system. Two were selected as having a great geotecnical potential classified as A-3 (0) and A-2-4 (0), whitewash mud contents 10%, 15%, 20% and 25% dry weight and medium compaction effort were studied in the laboratory testing program. The results indicated the soil denominated good gravel as being the most promising one, when stabilized with whitewash mud, reaching the best results with the dosage of 20 and 25% of whitewash mud.

On the cross-road of ethical- and fashion consumerism: intentions of pink ribbon campaign consumers

Tutkielman tavoitteena oli selvittää Roosanauha kampanjan tuotteiden ostoon liittyvää aikeen muodostumista kuluttajilla. Lisäksi tavoitteena oli selvittää onko aikeen muodostumisessa eroja uuden pinkin värin tai lahjoitus ominaisuuden osalta. Tutkimus toteutettiin sähköisenä kyselynä, jota analysoitiin tilastollisin menetelmin, lähinnä korrelaatioiden avulla. Tutkimus ei saavuttanut toivottua päämääräänsä lähinnä huonoksi jääneen vastausten kokonaismäärän vuoksi.Joitakin suuntaa antavia tuloksia pystyttiin kuitenkin tunnistamaan. Tuloksissa oli viitteitä lahjoitusominaisuuden tärkeydestä kuluttajille sekä vaaleanpunaiseen väriin positiivisesti asennoitumisesta. Kampanjan jatkoa ajatellen markkinoijien on syytä huomata tuloksissa ilmennyt värin tärkeä rooli sekä lahjoitusominaisuudelle painottunut sosiaalisten normien vahvuus.

Kuljetusmuodoista yhteiskunnalle kohdistuvat kustannukset bulktavaraliikenteessä

Diplomityössä tarkastellaan liikennemuotojen yhteiskunnalle kohdistamia kustannuksia, jotka syntyvät ylläpidosta, investoinneista sekä ulkoisista tekijöistä. Liikenteen hinnoittelussa ei useinkaan huomioida ulkoisia kustannuksia kuten päästöjen, melun sekä onnettomuuksien aiheuttamia kustannuksia, joiden laskentaan ja muodostumiseen tässä diplomityössä kiinnitetään erityisesti huomiota. Työn teoriaosassa selvitetään taustaa liikenteen hinnoittelulle sekä esitetään Suomessa käytössä oleva malli liikenteestä muodostuvien kokonaiskustannuksien huomioimiseksi. Tämän lisäksi vertaillaan ulkoisten kustannuksien laskentaa Suomen ja Euroopan välillä. Empiriaosassa lasketaan yhteiskunnalle kohdistuvat kustannukset kahdessa case esimerkissä. Suomessa liikenteen aiheuttamat kustannukset huomioidaan osana hankearviointeja. Näissä ulkoisten kustannuksien osuus on vähäinen muihin kustannuksiin verrattuna. Kirjallisuusselvityksen sekä empiria osuuden perusteella Suomessa tarvitaan lisäselvitystä ulkoisista kustannuksista, jos halutaan saada niiden arvo vastaamaan paremmin Suomen olosuhteita. Investointi ja ylläpitokustannukset on kohdennettu vain tieliikenteessä ajoneuvosuoritetta kohden. Vastaavaa tietoa ei ole saatavissa muiden tarkasteltujen kuljetusmuotojen osalta.