Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Analysis and guidelines for implementation of EN 1090-2 Standard to assist execution class assignment of steel structures

Finnish design and consulting companies are delivering robust and cost-efficient steel structures solutions to a large number of manufacturing companies worldwide. Recently introduced EN 1090-2 standard obliges these companies to specify the execution class of steel structures for their customers. This however, requires clarifying, understanding and interpreting the sophisticated procedure of execution class assignment. The objective of this research is to provide a clear explanation and guidance through the process of execution class assignment for a given steel structure and to support the implementation of EN 1090-2 standard in Rejlers Oy, one of Finnish design and consulting companies. This objective is accomplished by creating a guideline for designers that elaborates on the four-step process of the execution class assignment for a steel structure or its part. Steps one to three define the consequence class (projected consequences of structure failure), the service category (hazards associated with the service use exploitation of steel structure) and the production category (manufacturing process peculiarities), based on the ductility class (capacity of structure to withstand deformations) and the behaviour factor (corresponds to structure seismic behaviour). The final step is the execution class assignment taking into account results of previous steps. Main research method is indepth literature review of European standards family for steel structures. Other research approach is a series of interviews of Rejlers Oy representatives and its clients, results of which have been used to evaluate the level of EN 1090-2 awareness. Rejlers Oy will use the developed novel coherent standard implementation guideline to improve its services and to obtain greater customer satisfaction.

Förteckning öfver framlidne professorens i folk- och statsrätten samt national-oeconomien vid Kejserliga Alexanders Universitetet i Finland, och riddaren af Kejserl. S:t Annae Ordens andra class, d:r Daniel Myreens efterlemnade boksamling, som kommer att genom offentlig auction försäljas i Helsingfors i början af october månad 1832

Imprimatur: C. E. Ekelund.

Global booms and busts: how is Brazil's middle class faring?

Brazil's Post War economic history has been marked by inflationary booms and busts, which kept large parts of the population poor, as income distribution remained highly skewed, and most governments failed to put enough efforts and resources into education and health. That seems to have changed recently, as an increasing number of studies have shown considerable advances in the incomes of the lower and the middle classes. This essay examines those findings and puts them into a historical perspective, discussing earlier attempts and hopes of Brazilian policy makers to advance the welfare of the population. It concludes that while the last fifteen years have been remarkable for the country to achieve macroeconomic stability and while the increasing efforts of supporting the poor seemed to have been moving income distribution slowly towards a more equal level, there is still a long way to go. The 2008 world financial crisis also hit Brazil hard, but the recovery has been smoother and faster than in any OECD country. The impact of the current crisis may provide a good test as to the robustness of the previous trends to further the wellbeing of the poor and the middle class

Exploring the impact of celebrity endorsement and product class involvement on advertising effectiveness: an eye tracking approach

Celebrity endorsement has increased in popularity over the past decades and companies are willing to spend increasingly excessive amounts of money into it. Even though multiple studies support celebrity endorsement, further research on its impact on advertising effectiveness is called for. Fur-ther, the role of consumers’ product class involvement in advertising needs to be further studied. The purpose of this study is to explore if consumers’ product class involvement and exposure to celebrity endorsers affect consumers brand recall. Supported by earlier studies, brand recall was used as a measure for advertising effectiveness in this study. In general, a psychological approach was chosen for building the theoretical framework. Concept of classical conditioning was presented in order to understand why people act how they do. Balanced theory and meaning transfer model were presented in order to study how celebrities can be used effectively in advertising context. Further, the importance of product class involvement in advertising effectiveness was evaluated. Hypotheses were formulated based on a literature review of the existing research. Because of the versatility of the research design, a mixed methods approach for this study was adopted. Empirical part of the study was conducted in three stages. First, a pre-test was conducted in order to choose suitable product endorsers for the advertisement stimuli used in the experiment. Second, an eye-tracking experiment with 30 test subjects was conducted in order to study how people view advertisements and whether the familiarity of the product endorser and consumers’ product class involvement affects brand recall. For the experiment, a fictional brand was created in order to avoid bias on brand recall. Third, qualitative interviews for 15 test subjects were conducted in the post-experiment stage in order to gain deeper understating of the phenomenon and to make sense of the findings from the experiment. Findings from this study support celebrity endorsement by suggesting that a famous spokesperson does not steal attention from brand information more than a non-celebrity product endorser. As a result, the use of a celebrity endorser did not decrease brand recall. Results support earlier research as consumer’ higher product class involvement resulted in a better brand recall. Findings from the interviews suggest that consumers have positive perceptions of celebrity endorsement in general. However, the celebrity–brand congruence is a crucial factor when creating attitudes towards the advertisement. Future research ideas were presented based on the limitations and results of this study

Production under glass : working conditions and class-consciousness of the Niagara greenhouse workers

This study applies a Marxist theoretical paradigm to examine the working conditions of greenhouse workers in the Niagara Region, and the range of factors that bear upon the formation of their class-consciousness. The Niagara greenhouse industry represents one of the most developed horticultural regions in Canada and plays a prominent role in the local economy. The industry generates substantial revenues and employs a significant number of people, yet the greenhouse workers are paid one of the lowest rates in the region. Being classified as agricultural workers, the greenhouse employees are exempted from many provisions of federal and provincial labour regulations. Under the current provincial statutes, agricultural workers in Ontario are denied the right to organize and bargain collectively. Except for a few technical and managerial positions, the greenhouse industry employs mostly low-skilled workers who are subjected to poor working conditions that stem from the employer's attempts to adapt to larger structural imperatives of the capitalist economy. While subjected to these poor working conditions, the greenhouse workers are also affected by objectively alienated social relations and by ruling class ideological domination and hegemony. These two sets of factors arise from the inherent conflict of interests between wage-labour and capital but also militate against the development of class-consciousness. Semi-structured interviews were conducted with 12 greenhouse workers to examine the role played by their material circumstances in the formulation of their social and political views as well as the extent to which they are aware of their class location and class interests. The hegemonic notions of 'common sense' acted as impediments to formation of classconsciousness. The greenhouse workers have virtually no opportunities to access alternative perspectives that would address the issues associated with exploitation in production and offer solutions leading to 'social justice'. Fonnidable challenges confront any organized political body seeking to improve the conditions of the working people.

An exploration of the experience of implementing the second step violence prevention curriculum in one primary general learning disabilities class /

Violence has always been a part of the human experience, and therefore, a popular topic for research. It is a controversial issue, mostly because the possible sources of violent behaviour are so varied, encompassing both biological and environmental factors. However, very little disagreement is found regarding the severity of this societal problem. Most researchers agree that the number and intensity of aggressive acts among adults and children is growing. Not surprisingly, many educational policies, programs, and curricula have been developed to address this concern. The research favours programs which address the root causes of violence and seek to prevent rather than provide consequences for the undesirable behaviour. But what makes a violence prevention program effective? How should educators choose among the many curricula on the market? After reviewing the literature surrounding violence prevention programs and their effectiveness, The Second Step Violence Prevention Curriculum surfaced as unique in many ways. It was designed to address the root causes of violence in an active, student-centred way. Empathy training, anger management, interpersonal cognitive problem solving, and behavioural social skills form the basis of this program. Published in 1992, the program has been the topic of limited research, almost entirely carried out using quantitative methodologies.The purpose of this study was to understand what happens when the Second Step Violence Prevention Curriculum is implemented with a group of students and teachers. I was not seeking a statistical correlation between the frequency of violence and program delivery, as in most prior research. Rather, I wished to gain a deeper understanding of the impact ofthe program through the eyes of the participants. The Second Step Program was taught to a small, primary level, general learning disabilities class by a teacher and student teacher. Data were gathered using interviews with the teachers, personal observations, staff reports, and my own journal. Common themes across the four types of data collection emerged during the study, and these themes were isolated and explored for meaning. Findings indicate that the program does not offer a "quick fix" to this serious problem. However, several important discoveries were made. The teachers feU that the program was effective despite a lack of concrete evidence to support this claim. They used the Second Step strategies outside their actual instructional time and felt it made them better educators and disciplinarians. The students did not display a marked change in their behaviour during or after the program implementation, but they were better able to speak about their actions, the source of their aggression, and the alternatives which were available. Although they were not yet transferring their knowledge into positive action,a heightened awareness was evident. Finally, staff reports and my own journal led me to a deeper understanding ofhow perception frames reality. The perception that the program was working led everyone to feel more empowered when a violent incident occurred, and efforts were made to address the cause rather than merely to offer consequences. A general feeling that we were addressing the problem in a productive way was prevalent among the staff and students involved. The findings from this investigation have many implications for research and practice. Further study into the realm of violence prevention is greatly needed, using a balance of quantitative and qualitative methodologies. Such a serious problem can only be effectively addressed with a greater understanding of its complexities. This study also demonstrates the overall positive impact of the Second Step Violence Prevention Curriculum and, therefore, supports its continued use in our schools.

An exploration of transformation theory and the western tradition: a critical evaluation of a graduate studies class

This qualitative study is an exploration of transformation theory, the Western tradition, and a critical evaluation of a graduate studies class at a university. It is an exploration of assumptions that are embedded in experience, that influence the experience and provide meaning about the experience. An attempt has been made to identify assumptions that are embedded in Western experience and connect them with assumptions that shape the graduate class experience. The focus is on assumptions that facilitate and impede large group discussions. Jungian psychology of personality type and archetype and developmental psychology is used to analyze the group experience. The pragmatic problem solving model, developed by Knoop, is used to guide thinking about the Western tradition. It is used to guide the analysis, synthesis and writing of the experience of the graduate studies class members. A search through Western history, philosophy. and science revealed assumptions about the nature of truth, reality, and the self. Assumptions embedded in Western thinking about the subject-object relationship, unity and diversity are made explicit. An attempt is made to identify Western tradition assumptions underlying transformation theory. The critical evaluation of the graduate studies class experience focuses upon issues associated with group process, self-directed learning, the educator-learner transaction and the definition of adult education. The advantages of making implicit assumptions explicit is explored.

Is there a difference in artistic ability between learning -disabled students and "regular-class" students?

Research and practice regarding LO students usually has focussed upon defining and supplementing deficiencies rather than seeking unique talents and capability patterns for learning and expression. This study examined nine dimensions that may constitute artistic or creative talent and compared LDs with "regular-class" students, pair-wise and as groups, for levels and distributions of the dimensions. For 14 LO and 9 "regular-class" elementary-school subjects, both genders, data were taken by direct observation, from a standardized test and assessments by two practicing artists. Assessments by artists were in concord. LOs improved more in "Composition". No other significant class, age or gender-related differences were found.

The evaluation of a predialysis class on client knowledge and attitude toward compliant behaviours

In this quasi-experimental study, the theory of reasoned action was used as a conceptual framework to assess the outcome effect of a predialysis class. A pretest, posttest design was used to determine changes in client knowledge about their condition and its treatment, and their intention, attitudes and social norm towards compliant behaviours. The related compliant behaviours were following a low-salt diet and taking medications as proscribed. Thirty-eight End Stage Renal Diseases (ESRD) clients were self-selected into the treatment or control groups. Both groups received the standard predialysis education from members of the multidisciplinary renal team. In addition, the treatment group also attended the predialysis class. Subjects' health locus of control, anxiety and demographic variables were measured as possible extraneous variables. Study subjects from both groups demonstrated a high internal and powerful others health locus of control and a normal range of anxiety. Although not statistically significant ill = .64), the experimental group demonstrated higher knowledge level and greater intention to follow a low salt diet UL= .73). They developed more significantly positive attitudes towards following a low salt diet and increased subjective norm influence after attending the predialysis class. Attending the predialysis class did not have an effect on subjects' intentions, attitudes or subjective norm towards taking medications as prescribed. Conclusion: The predialysis class was only marginally effective in increasing client knowledge, but influenced clients' attitudes towards following a low-salt diet. Based on the results, recommendations for improvements to the class have been suggested.