Real Estate Investment and Uncertainty: Econometric Modelling using Finnish Data

The purpose of this paper is to test for the effect of uncertainty in a model of real estate investment in Finland during the hihhly cyclical period of 1975 to 1998. We use two alternative measures of uncertainty. The first measure is the volatility of stock market returns and the second measure is the heterogeneity in the answers of the quarterly business survey of the Confederation of Finnish Industry and Employers. The econometric analysis is based on the autoregressive distributed lag (ADL) model and the paper applies a 'general-to-specific' modelling approach. We find that the measure of heterogeneity is significant in the model, but the volatility of stock market returns is not. The empirical results give some evidence of an uncertainty-induced threshold slowing down real estate investment in Finland.

The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Strömungen in der mexikanischen Musik

A short article summarizing the most visible streams of Mexican music along the last century. Special attention is paid to the intellectual and idiosyncratic components which are considered as elements of authenticity in Mexican culture.

Does Uncertainty Affect Investment and Labor Demand?

This paper analyzes the effect of uncertainty on investment and labor demand for Finnish firms during the time period 1987 – 2000. Utilizing a stock return based measure of uncertainty decomposed into systematic and idiosyncratic components, the results reveal that idiosyncratic uncertainty significantly reduces both investment and labor demand. Idiosyncratic uncertainty seems to influence investment in the current period, whereas the depressing effect on labor demand appears with a one-year lag. The results provide support that the depressing effect of idiosyncratic uncertainty on investment is stronger for small firms in comparison to large firms. Some evidence is reported regarding differential effects of uncertainty on labor demand conditional on firm characteristics. Most importantly, the depressing effect of lagged idiosyncratic uncertainty on labor demand tends to be stronger for diversified firms compared with focused firms.

Microfoundations of HRM effects: Individual and Collective Attitudes and Performance

Previous research on Human Resource Management (HRM) has focused extensively on the potential relationships between the use of HRM practices and organizational performance. Extant research in HRM has been based on the underlying assumption that HRM practices can enhance organizational performance through their impact on positive employee attitudes and performance, that is, employee reactions to HRM. At the current state of research however, it remains unclear how employees come to perceive and react to HRM practices and to what extent employees in organizations, units and teams react to such practices in similar or widely different ways. In fact, recent HRM studies indicate that employee reactions to HRM may be far less homogeneous than assumed. This raises the question of whether or not the linkage between HRM and organizational outcomes can be explained by employee reactions in terms of attitudes and performance, if these reactions are largely idiosyncratic. Accordingly, this thesis aims to shed light on the processes that shape individuals’ reactions to HRM practices and how these processes may influence the variance or sharedness in such reactions among employees in organizations, units and teams. By theoretically developing and empirically examining the effects of employee perceptions of HRM practices from the perspective of ‘HRM as signaling’ and psychological contract theory, the main contributions of this thesis focus on the following research questions: i) How employee perceptions of the HRM practices relate to individual and collective employee attitudes and performance. ii) How employee perceptions of HRM practices relates to variance in employee attitudes and performance. iii) How collective employee performance mediates the relationship between employee perceptions of HRM practices and organizational performance. Regarding the first research questions the findings indicate that individuals do respond positively to HRM practices by adjusting their felt obligations towards the employer. This finding is in line with the idea of HRM as a signaling device where each HRM practice, implicitly or explicitly, sends signals to employees about promised rewards (inducements) and behaviors (obligations) expected in return. The relationship was also confirmed at the group level of analysis. What is more, variance was found to play an important role in that employee groups with more similar perceptions about the HRM system displayed a stronger relationship between HRM and employee obligations. Concerning the second question the findings were somewhat contradictory in that a strong HRM system was found negatively related to variance in employee performance but not employee obligations. Regarding the third question, the findings confirmed linkages between the HRM system and organizational performance at the group level and the HRM system and employee performance at the individual level. Also, the entire chain of links from the HRM system through variance in employee performance, and further through the level of employee performance to organizational performance was significant.

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

Nestedness pattern in stream diatom assemblages of central Western Ghats

Community diversity and the population abundance of a particular group of species are controlled by immediate environment, inter-and intra-species interactions, landscape conditions, historical events and evolutionary processes. Nestedness is a measure of order in an ecological system, referring to the order in which the number of species is related to area or other factors. In this study we have studied the nestedness pattern in stream diatom assemblages in 24 stream sites of central Western Ghats, and report 98 taxa from the streams of central Western Ghats region. The communities show highly significant nested pattern. The Mantel test of matrix revealed a strong relationship between species assemblages and environmental conditions at the sites. A significant relationship between species assemblage and environmental condition was observed. Principal component analysis (PCA) indicated that environmental conditions differed markedly across the sampling sites, with the first three components explaining 78% of variance. Species composition of diatoms is significantly correlated with environmental distance across geographical extent. The current pattern suggests that micro-environment at regional levels influences the species composition of epilithic diatoms in streams. The nestedness shown by the diatom community was highly significant, even though it had a high proportion of idiosyncratic species, characterized with high numbers of cosmopolitan species, whereas the nested species were dominated by endemic species. PCA identifies ionic parameters and nutrients as the major features which determine the characteristics of the sampling sites. Hence the local water quality parameters are the major factors in deciding the diatom species assemblages.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

Ultrasonic degradation of butadiene, styrene and their copolymers

Ultrasonic degradation of commercially important polymers, styrene-butadiene (SBR) rubber, acrylonitrile-butadiene (NBR) rubber, styrene-acrylonitrile (SAN), polybutadiene rubber and polystyrene were investigated. The molecular weight distributions were measured using gel permeation chromatography (GPC). A model based on continuous distribution kinetics approach was used to study the time evolution of molecular weight distribution for these polymers during degradation. The effect of solvent properties and ultrasound intensity on the degradation of SBR rubber was investigated using different pure solvents and mixed solvents of varying volatility and different ultrasonic intensities. (C) 2011 Elsevier B.V. All rights reserved.