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.

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.

Towards open access networks – prototyping with the Lappeenranta model

The provision of Internet access to large numbers has traditionally been under the control of operators, who have built closed access networks for connecting customers. As the access network (i.e. the last mile to the customer) is generally the most expensive part of the network because of the vast amount of cable required, many operators have been reluctant to build access networks in rural areas. There are problems also in urban areas, as incumbent operators may use various tactics to make it difficult for competitors to enter the market. Open access networking, where the goal is to connect multiple operators and other types of service providers to a shared network, changes the way in which networks are used. This change in network structure dismantles vertical integration in service provision and enables true competition as no service provider can prevent others fromcompeting in the open access network. This thesis describes the development from traditional closed access networks towards open access networking and analyses different types of open access solution. The thesis introduces a new open access network approach (The Lappeenranta Model) in greater detail. The Lappeenranta Model is compared to other types of open access networks. The thesis shows that end users and service providers see local open access and services as beneficial. In addition, the thesis discusses open access networking in a multidisciplinary fashion, focusing on the real-world challenges of open access networks.

Percutaneous access versus standard femoral exposure for endovascular abdominal aortic aneurysm repair: a randomized, controlled trial

The treatment of abdominal aortic aneurysm (AAA) has shifted from the exposure of the aorta artery in an open repair technique to a small groin cut in an endovascular repair. Recently, a percutaneous access for endovascular repair has appeared. This new technique aims to minimize the complications of the common femoral artery exposure, the patient discomfort and the length of hospitalizationObjectives: To compare the proportion of discharged patients within the first 48 postoperative hours of two common femoral artery accesses for endovascular repair of AAA: the open exposure technique and the percutaneous technique. Secondary objectives include to evaluate the total procedure time, the femoral access complications, the need for extra analgesia and the patient satisfaction and groin discomfort of the two techniquesDesign: Randomized controlled trial conducted between 2014 and 2017Participants: Patients diagnosed with abdominal aortic aneurysm with elective endovascular repair indication

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.

UCL Discovery: raising the Open Access profile at the institution

Presentation at the "Tutkimus vapaaksi verkkoon!" seminar in Helsinki, January 25, 2011

When to Utilize Software as a Service

Cloud computing enables on-demand network access to shared resources (e.g., computation, networks, servers, storage, applications, and services) that can be rapidly provisioned and released with minimal management effort. Cloud computing refers to both the applications delivered as services over the Internet and the hardware and system software in the data centers. Software as a service (SaaS) is part of cloud computing. It is one of the cloud service models. SaaS is software deployed as a hosted service and accessed over the Internet. In SaaS, the consumer uses the provider‘s applications running in the cloud. SaaS separates the possession and ownership of software from its use. The applications can be accessed from any device through a thin client interface. A typical SaaS application is used with a web browser based on monthly pricing. In this thesis, the characteristics of cloud computing and SaaS are presented. Also, a few implementation platforms for SaaS are discussed. Then, four different SaaS implementation cases and one transformation case are deliberated. The pros and cons of SaaS are studied. This is done based on literature references and analysis of the SaaS implementations and the transformation case. The analysis is done both from the customer‘s and service provider‘s point of view. In addition, the pros and cons of on-premises software are listed. The purpose of this thesis is to find when SaaS should be utilized and when it is better to choose a traditional on-premises software. The qualities of SaaS bring many benefits both for the customer as well as the provider. A customer should utilize SaaS when it provides cost savings, ease, and scalability over on-premises software. SaaS is reasonable when the customer does not need tailoring, but he only needs a simple, general-purpose service, and the application supports customer‘s core business. A provider should utilize SaaS when it offers cost savings, scalability, faster development, and wider customer base over on-premises software. It is wise to choose SaaS when the application is cheap, aimed at mass market, needs frequent updating, needs high performance computing, needs storing large amounts of data, or there is some other direct value from the cloud infrastructure.

Mitä mieltä rinnakkaistallentamisesta? Jyväskylän yliopiston keväällä 2012 toteutetun Open Access -kyselyn tuloksia

Esitys Ajankohtaista julkaisuarkistoista -seminaarissa 14.6.2012

Practical Framework for Monitoring the Performance of Agile IT Projects in an Output-Based Outsourcing Context

Over the past decade, organizations worldwide have begun to widely adopt agile software development practices, which offer greater flexibility to frequently changing business requirements, better cost effectiveness due to minimization of waste, faster time-to-market, and closer collaboration between business and IT. At the same time, IT services are continuing to be increasingly outsourced to third parties providing the organizations with the ability to focus on their core capabilities as well as to take advantage of better demand scalability, access to specialized skills, and cost benefits. An output-based pricing model, where the customers pay directly for the functionality that was delivered rather than the effort spent, is quickly becoming a new trend in IT outsourcing allowing to transfer the risk away from the customer while at the same time offering much better incentives for the supplier to optimize processes and improve efficiency, and consequently producing a true win-win outcome. Despite the widespread adoption of both agile practices and output-based outsourcing, there is little formal research available on how the two can be effectively combined in practice. Moreover, little practical guidance exists on how companies can measure the performance of their agile projects, which are being delivered in an output-based outsourced environment. This research attempted to shed light on this issue by developing a practical project monitoring framework which may be readily applied by organizations to monitor the performance of agile projects in an output-based outsourcing context, thus taking advantage of the combined benefits of such an arrangement Modified from action research approach, this research was divided into two cycles, each consisting of the Identification, Analysis, Verification, and Conclusion phases. During Cycle 1, a list of six Key Performance Indicators (KPIs) was proposed and accepted by the professionals in the studied multinational organization, which formed the core of the proposed framework and answered the first research sub-question of what needs to be measured. In Cycle 2, a more in-depth analysis was provided for each of the suggested Key Performance Indicators including the techniques for capturing, calculating, and evaluating the information provided by each KPI. In the course of Cycle 2, the second research sub-question was answered, clarifying how the data for each KPI needed to be measured, interpreted, and acted upon. Consequently, after two incremental research cycles, the primary research question was answered describing the practical framework that may be used for monitoring the performance of agile IT projects delivered in an output-based outsourcing context. This framework was evaluated by the professionals within the context of the studied organization and received positive feedback across all four evaluation criteria set forth in this research, including the low overhead of data collection, high value of provided information, ease of understandability of the metric dashboard, and high generalizability of the proposed framework.

Video assisted resections. Increasing access to minimally invasive liver surgery?

Objective: To evaluate perioperative outcomes, safety and feasibility of video-assisted resection for primary and secondary liver lesions. Methods : From a prospective database, we analyzed the perioperative results (up to 90 days) of 25 consecutive patients undergoing video-assisted resections in the period between June 2007 and June 2013. Results : The mean age was 53.4 years (23-73) and 16 (64%) patients were female. Of the total, 84% were suffering from malignant diseases. We performed 33 resections (1 to 4 nodules per patient). The procedures performed were non-anatomical resections (n = 26), segmentectomy (n = 1), 2/3 bisegmentectomy (n = 1), 6/7 bisegmentectomy (n = 1), left hepatectomy (n = 2) and right hepatectomy (n = 2). The procedures contemplated postero-superior segments in 66.7%, requiring multiple or larger resections. The average operating time was 226 minutes (80-420), and anesthesia time, 360 minutes (200-630). The average size of resected nodes was 3.2 cm (0.8 to 10) and the surgical margins were free in all the analyzed specimens. Eight percent of patients needed blood transfusion and no case was converted to open surgery. The length of stay was 6.5 days (3-16). Postoperative complications occurred in 20% of patients, with no perioperative mortality. Conclusion : The video-assisted liver resection is feasible and safe and should be part of the liver surgeon armamentarium for resection of primary and secondary liver lesions.