Empirical Tests of Asset Pricing Models in Finnish Stock Market

Tämän tutkielman tavoitteena on selvittää mitkä riskitekijät vaikuttavat osakkeiden tuottoihin. Arvopapereina käytetään kuutta portfoliota, jotka ovat jaoteltu markkina-arvon mukaan. Aikaperiodi on vuoden 1987 alusta vuoden 2004 loppuun. Malleina käytetään pääomamarkkinoiden hinnoittelumallia, arbitraasihinnoitteluteoriaa sekä kulutuspohjaista pääomamarkkinoiden hinnoittelumallia. Riskifaktoreina kahteen ensimmäiseen malliin käytetään markkinariskiä sekä makrotaloudellisia riskitekijöitä. Kulutuspohjaiseen pääomamarkkinoiden hinnoinoittelumallissa keskitytään estimoimaan kuluttajien riskitottumuksia sekä diskonttaustekijää, jolla kuluttaja arvostavat tulevaisuuden kulutusta. Tämä työ esittelee momenttiteorian, jolla pystymme estimoimaan lineaarisia sekä epälineaarisia yhtälöitä. Käytämme tätä menetelmää testaamissamme malleissa. Yhteenvetona tuloksista voidaan sanoa, että markkinabeeta onedelleen tärkein riskitekijä, mutta löydämme myös tukea makrotaloudellisille riskitekijöille. Kulutuspohjainen mallimme toimii melko hyvin antaen teoreettisesti hyväksyttäviä arvoja.

Assessment of the 10-year probability of osteoporotic hip fracture combining clinical risk factors and heel bone ultrasound: the EPISEM prospective cohort of 12,958 elderly women.

This study aimed to develop a hip screening tool that combines relevant clinical risk factors (CRFs) and quantitative ultrasound (QUS) at the heel to determine the 10-yr probability of hip fractures in elderly women. The EPISEM database, comprised of approximately 13,000 women 70 yr of age, was derived from two population-based white European cohorts in France and Switzerland. All women had baseline data on CRFs and a baseline measurement of the stiffness index (SI) derived from QUS at the heel. Women were followed prospectively to identify incident fractures. Multivariate analysis was performed to determine the CRFs that contributed significantly to hip fracture risk, and these were used to generate a CRF score. Gradients of risk (GR; RR/SD change) and areas under receiver operating characteristic curves (AUC) were calculated for the CRF score, SI, and a score combining both. The 10-yr probability of hip fracture was computed for the combined model. Three hundred seven hip fractures were observed over a mean follow-up of 3.2 yr. In addition to SI, significant CRFs for hip fracture were body mass index (BMI), history of fracture, an impaired chair test, history of a recent fall, current cigarette smoking, and diabetes mellitus. The average GR for hip fracture was 2.10 per SD with the combined SI + CRF score compared with a GR of 1.77 with SI alone and of 1.52 with the CRF score alone. Thus, the use of CRFs enhanced the predictive value of SI alone. For example, in a woman 80 yr of age, the presence of two to four CRFs increased the probability of hip fracture from 16.9% to 26.6% and from 52.6% to 70.5% for SI Z-scores of +2 and -3, respectively. The combined use of CRFs and QUS SI is a promising tool to assess hip fracture probability in elderly women, especially when access to DXA is limited.

Complications of systemic juvenile idiopathic arthritis: risk factors and management recommendations.

Systemic juvenile idiopathic arthritis (SJIA) is an inflammatory condition characterized by fever, lymphadenopathy, arthritis, rash and serositis. Systemic inflammation has been associated with dysregulation of the innate immune system, suggesting that SJIA is an autoinflammatory disorder. IL-1 and IL-6 play a major role in the pathogenesis of SJIA, and treatment with IL-1 and IL-6 inhibitors has shown to be highly effective. However, complications of SJIA, including macrophage activation syndrome, limitations in functional outcome by arthritis and long-term damage from chronic inflammation, continue to be a major issue in SJIA patients' care. Translational research leading to a profound understanding of the cytokine crosstalk in SJIA and the identification of risk factors for SJIA complications will help to improve long-term outcome.

The Atherosclerosis Burden Score (ABS): a Convenient Ultrasound-Based Score of Peripheral Atherosclerosis for Coronary Artery Disease Prediction.

Ultrasonographic detection of subclinical atherosclerosis improves cardiovascular risk stratification, but uncertainty persists about the most discriminative method to apply. In this study, we found that the "atherosclerosis burden score (ABS)", a novel straightforward ultrasonographic score that sums the number of carotid and femoral arterial bifurcations with plaques, significantly outperformed common carotid intima-media thickness, carotid mean/maximal thickness, and carotid/femoral plaque scores for the detection of coronary artery disease (CAD) (receiver operating characteristic (ROC) curve area under the curve (AUC) = 0.79; P = 0.027 to <0.001 with the other five US endpoints) in 203 patients undergoing coronary angiography. ABS was also more correlated with CAD extension (R = 0.55; P < 0.001). Furthermore, in a second group of 1128 patients without cardiovascular disease, ABS was weakly correlated with the European Society of Cardiology chart risk categories (R (2) = 0.21), indicating that ABS provided information beyond usual cardiovascular risk factor-based risk stratification. Pending prospective studies on hard cardiovascular endpoints, ABS appears as a promising tool in primary prevention.

Being Small for Gestational Age: Does it Matter for the Neurodevelopment of Premature Infants? A Cohort Study.

BACKGROUND: Whether being small for gestational age (SGA) increases the risk of adverse neurodevelopmental outcome in premature infants remains controversial. OBJECTIVE: to study the impact of SGA (birthweight < percentile 10) on cognition, behavior, neurodevelopmental impairment and use of therapy at 5 years old. METHODS: This population-based prospective cohort included infants born before 32 weeks of gestation. Cognition was evaluated with the K-ABC, and behavior with the Strengths and Difficulties Questionnaire (SDQ). Primary outcomes were cognitive and behavioral scores, as well as neurodevelopmental impairment (cognitive score < 2SD, hearing loss, blindness, or cerebral palsy). The need of therapy, an indirect indicator of neurodevelopmental impairment, was a secondary outcome. Linear and logistic regression models were used to analyze the association of SGA with neurodevelopment. RESULTS: 342/515 (76%) premature infants were assessed. SGA was significantly associated with hyperactivity scores of the SDQ (coefficient 0.81, p < 0.04), but not with cognitive scores, neurodevelopmental impairment or the need of therapy. Gestational age, socio-economic status, and major brain lesions were associated with cognitive outcome in the univariate and multivariate model, whereas asphyxia, sepsis and bronchopulmonary dysplasia were associated in the univariate model only. Severe impairment was associated with fetal tobacco exposition, asphyxia, gestational age and major brain lesions. Different neonatal factors were associated with the use of single or multiple therapies: children with one therapy were more likely to have suffered birth asphyxia or necrotizing enterocolitis, whereas the need for several therapies was predicted by major brain lesions. DISCUSSION: In this large cohort of premature infants, assessed at 5 years old with a complete panel of tests, SGA was associated with hyperactive behavior, but not with cognition, neurodevelopmental impairment or use of therapy. Birthweight <10th percentile alone does not appear to be an independent risk factor of neurodevelopmental adverse outcome in preterm children.

Innate Immune Sensing of Fusarium culmorum by Mouse Dendritic Cells.

Chronic inhalation of grain dust is associated with asthma and chronic bronchitis in grain worker populations. Exposure to fungal particles was postulated to be an important etiologic agent of these pathologies. Fusarium species frequently colonize grain and straw and produce a wide array of mycotoxins that impact human health, necessitating an evaluation of risk exposure by inhalation of Fusarium and its consequences on immune responses. Data showed that Fusarium culmorum is a frequent constituent of aerosols sampled during wheat harvesting in the Vaud region of Switzerland. The aim of this study was to examine cytokine/chemokine responses and innate immune sensing of F. culmorum in bone-marrow-derived dendritic cells and macrophages. Overall, dendritic cells and macrophages responded to F. culmorum spores but not to its secreted components (i.e., mycotoxins) by releasing large amounts of macrophage inflammatory protein (MIP)-1α, MIP-1β, MIP-2, monocyte chemoattractant protein (MCP)-1, RANTES, and interleukin (IL)-12p40, intermediate amounts of tumor necrosis factor (TNF), IL-6, IL-12p70, IL-33, granulocyte colony-stimulating factor (G-CSF), and interferon gamma-induced protein (IP-10), but no detectable amounts of IL-4 and IL-10, a pattern of mediators compatible with generation of Th1 or Th17 antifungal protective immune responses rather than with Th2-dependent allergic responses. The sensing of F. culmorum spores by dendritic cells required dectin-1, the main pattern recognition receptor involved in β-glucans detection, but likely not MyD88 and TRIF-dependent Toll-like receptors. Taken together, our results indicate that F. culmorum stimulates potently innate immune cells in a dectin-1-dependent manner, suggesting that inhalation of F. culmorum from grain dust may promote immune-related airway diseases in exposed worker populations.

Impact of common risk factors of fibrosis progression in chronic hepatitis C.

OBJECTIVE: The natural course of chronic hepatitis C varies widely. To improve the profiling of patients at risk of developing advanced liver disease, we assessed the relative contribution of factors for liver fibrosis progression in hepatitis C. DESIGN: We analysed 1461 patients with chronic hepatitis C with an estimated date of infection and at least one liver biopsy. Risk factors for accelerated fibrosis progression rate (FPR), defined as ≥0.13 Metavir fibrosis units per year, were identified by logistic regression. Examined factors included age at infection, sex, route of infection, HCV genotype, body mass index (BMI), significant alcohol drinking (≥20 g/day for ≥5 years), HIV coinfection and diabetes. In a subgroup of 575 patients, we assessed the impact of single nucleotide polymorphisms previously associated with fibrosis progression in genome-wide association studies. Results were expressed as attributable fraction (AF) of risk for accelerated FPR. RESULTS: Age at infection (AF 28.7%), sex (AF 8.2%), route of infection (AF 16.5%) and HCV genotype (AF 7.9%) contributed to accelerated FPR in the Swiss Hepatitis C Cohort Study, whereas significant alcohol drinking, anti-HIV, diabetes and BMI did not. In genotyped patients, variants at rs9380516 (TULP1), rs738409 (PNPLA3), rs4374383 (MERTK) (AF 19.2%) and rs910049 (major histocompatibility complex region) significantly added to the risk of accelerated FPR. Results were replicated in three additional independent cohorts, and a meta-analysis confirmed the role of age at infection, sex, route of infection, HCV genotype, rs738409, rs4374383 and rs910049 in accelerating FPR. CONCLUSIONS: Most factors accelerating liver fibrosis progression in chronic hepatitis C are unmodifiable.

The use of flexible quantile-based measures in risk assessment

A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here that this relationship may be used to obtain approximations of GlueVaR measures for general skewed distribution functions using the Cornish-Fisher expansion. A subfamily of GlueVaR measures satisfies the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where implications of tail-subadditivity in the aggregation of risks are illustrated.

Comparison of electricity generation costs

The economical competitiveness of various power plant alternatives is compared. The comparison comprises merely electricity producing power plants. Combined heat and power (CHP) producing power will cover part of the future power deficit in Finland, but also condensing power plants for base load production will be needed. The following types of power plants are studied: nuclear power plant, combined cycle gas turbine plant, coal-fired condensing power plant, peat-fired condensing power plant, wood-fired condensing power plant and wind power plant. The calculations are carried out by using the annuity method with a real interest rate of 5 % per annum and with a fixed price level as of January 2008. With the annual peak load utilization time of 8000 hours (corresponding to a load factor of 91,3 %) the production costs would be for nuclear electricity 35,0 €/MWh, for gas based electricity 59,2 €/MWh and for coal based electricity 64,4 €/MWh, when using a price of 23 €/tonCO2 for the carbon dioxide emission trading. Without emission trading the production cost of gas electricity is 51,2 €/MWh and that of coal electricity 45,7 €/MWh and nuclear remains the same (35,0 €/MWh) In order to study the impact of changes in the input data, a sensitivity analysis has been carried out. It reveals that the advantage of the nuclear power is quite clear. E.g. the nuclear electricity is rather insensitive to the changes of nuclear fuel price, whereas for natural gas alternative the rising trend of gas price causes the greatest risk. Furthermore, increase of emission trading price improves the competitiveness of the nuclear alternative. The competitiveness and payback of the nuclear power investment is studied also as such by using various electricity market prices for determining the revenues generated by the investment. The profitability of the investment is excellent, if the market price of electricity is 50 €/MWh or more.

Positive predictive values of Breast Imaging Reporting and Data System (BI-RADS®) categories 3, 4 and 5 in breast lesions submitted to percutaneous biopsy

Objective To evaluate the BI-RADS as a predictive factor of suspicion for malignancy in breast lesions by correlating radiological with histological results and calculating the positive predictive value for categories 3, 4 and 5 in a breast cancer reference center in the city of São Paulo. Materials and Methods Retrospective, analytical and cross-sectional study including 725 patients with mammographic and/or sonographic findings classified as BI-RADS categories 3, 4 and 5 who were referred to the authors' institution to undergo percutaneous biopsy. The tests results were reviewed and the positive predictive value was calculated by means of a specific mathematical equation. Results Positive predictive values found for categories 3, 4 and 5 were respectively the following: 0.74%, 33.08% and 92.95%, for cases submitted to ultrasound-guided biopsy, and 0.00%, 14.90% and 100% for cases submitted to stereotactic biopsy. Conclusion The present study demonstrated high suspicion for malignancy in lesions classified as category 5 and low risk for category 3. As regards category 4, the need for systematic biopsies was observed.

Risk Management or Uncertainty Governance? The Challenge of an Interdiscplinary Approach

Peer-reviewed

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.

Genetically Determined Hypometabolism in Alzheimer’s Disease and Midlife Risk Factors for Cognitive Impairment

The role of genetic factors in the pathogenesis of Alzheimer’s disease (AD) is not completely understood. In order to improve this understanding, the cerebral glucose metabolism of seven monozygotic and nine dizygotic twin pairs discordant for AD was compared to that of 13 unrelated controls using positron emission tomography (PET). Traditional region of interest analysis revealed no differences between the non-demented dizygotic co-twins and controls. In contrast, in voxel-level and automated region of interest analyses, the non-demented monozygotic co-twins displayed a lower metabolic rate in temporal and parietal cortices as well as in subcortical grey matter structures when compared to controls. Again, no reductions were seen in the non-demented dizygotic co-twins. The reductions seen in the non-demented monozygotic co-twins may indicate a higher genetically mediated risk of AD or genetically mediated hypometabolism possibly rendering them more vulnerable to AD pathogenesis. With no disease modifying treatment available for AD, prevention of dementia is of the utmost importance. A total of 2 165 at least 65 years old twins of the Finnish Twin Cohort with questionnaire data from 1981 participated in a validated telephone interview assessing cognitive function between 1999 and 2007. Those subjects reporting heavy alcohol drinking in 1981 had an elevated cognitive impairment risk over 20 years later compared to light drinkers. In addition, binge drinking was associated with an increased risk even when total alcohol consumption was controlled for, suggesting that binge drinking is an independent risk factor for cognitive impairment. When compared to light drinkers, also non-drinkers had an increased risk of cognitive impairment. Midlife hypertension, obesity and low leisure time physical activity but not hypercholesterolemia were significant risk factors for cognitive impairment. The accumulation of risk factors increased cognitive impairment risk in an additive manner. A previously postulated dementia risk score based on midlife demographic and cardiovascular factors was validated. The risk score was found to well predict cognitive impairment risk, and cognitive impairment risk increased significantly as the score became higher. However, the risk score is not accurate enough for use in the clinic without further testing.

The probabilistic risk analysis of external hazards of an interim storage for spent nuclear fuel

Tässä diplomityössä tehtiin Olkiluodon ydinvoimalaitoksella sijaitsevan käytetyn ydinpolttoaineen allasvarastointiin perustuvan välivaraston todennäköisyysperustainen ulkoisten uhkien riskianalyysi. Todennäköisyysperustainen riskianalyysi (PRA) on yleisesti käytetty riskien tunnistus- ja lähestymistapa ydinvoimalaitoksella. Työn tarkoituksena oli laatia täysin uusi ulkoisten uhkien PRA-analyysi, koska Suomessa ei ole aiemmin tehty vastaavanlaisia tämän tutkimusalueen riskitarkasteluja. Riskitarkastelun motiivina ovat myös maailmalla tapahtuneiden luonnonkatastrofien vuoksi korostunut ulkoisten uhkien rooli käytetyn ydinpolttoaineen välivarastoinnin turvallisuudessa. PRA analyysin rakenne pohjautui tutkimuksen alussa luotuun metodologiaan. Analyysi perustuu mahdollisten ulkoisten uhkien tunnistamiseen pois lukien ihmisen aikaansaamat tahalliset vahingot. Tunnistettujen ulkoisten uhkien esiintymistaajuuksien ja vahingoittamispotentiaalin perusteella ulkoiset uhat joko karsittiin pois tutkimuksessa määriteltyjen karsintakriteerien avulla tai analysoitiin tarkemmin. Tutkimustulosten perusteella voitiin todeta, että tiedot hyvin harvoin tapahtuvista ulkoisista uhista ovat epätäydellisiä. Suurinta osaa näistä hyvin harvoin tapahtuvista ulkoisista uhista ei ole koskaan esiintynyt eikä todennäköisesti koskaan tule esiintymään Olkiluodon vaikutusalueella tai edes Suomessa. Esimerkiksi salaman iskujen ja öljyaltistuksen roolit ja vaikutukset erilaisten komponenttien käytettävyyteen ovat epävarmasti tunnettuja. Tutkimuksen tuloksia voidaan pitää kokonaisuudessaan merkittävinä, koska niiden perusteella voidaan osoittaa ne ulkoiset uhat, joiden vaikutuksia olisi syytä tutkia tarkemmin. Yksityiskohtaisempi tietoisuus hyvin harvoin esiintyvistä ulkoisista uhista tarkentaisi alkutapahtumataajuuksien estimaatteja.

Occurrence of F42 colonization factor in Escherichia coli strains isolated from piglets with diarrhea

The objective of this study was to determine the presence of the colonization factor F42 in 168 strains of Escherichia coli isolated from diarrheic stools of newborn piglets. The presence of F42 in 12 (7.1%) strains was detected with the agglutination test. Through the Polymerase Chain Reaction (PCR) of F42 positive strains, gene encoding enterotoxins (ST-I, ST-II, LT-I and LT-II) were detected. The finding of ST-I/ST-II genes in 50% of the strains, ST-I (16%) and ST-II (25%) indicates a strong association of FC F42 with heat-stable enterotoxins (91%). In contrast, the thermolabile enterotoxin (LT-I and LT-II) genes were not detected. Serogroups of F42 positive strains were determined, serogroup O8 being the most prevalent (41,7%). Other serogroups, as there are O9, O11, O18, O32, O35, O98 and O101, were also identified. Thus, FC F42 was confirmed as an additional factor of virulence in the pathogenesis of porcine colibacillosis.