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.

Determinants of credit default swap spread: evidence from european credit derivatives market

Tämän tutkielman tavoitteena on selvittää, mitkä tekijät vaikuttavat yrityksen ja valtion velkakirjojen väliseen tuottoeroon. Strukturaalisten luottoriskin hinnoittelumallien mukaan luottoriskiin vaikuttavia tekijöitä ovat yrityksen velkaantumisaste, volatiliteetti ja riskitön korkokanta. Tavoitteena on erityisesti tutkia, kuinka hyvin nämä teoreettiset tekijät selittävät tuottoeroja ja onko olemassa muita tärkeitä selittäviä tekijöitä. Luottoriskinvaihtosopimusten noteerauksia käytetään tuottoerojen määrittämiseen. Selittävät tekijät koostuvat sekä yrityskohtaisista että markkinalaajuisista muuttujista. Luottoriskinvaihtosopimusten ja yrityskohtaisten muuttujien data on kerätty yhteensä 50 yritykselle Euroalueen maista. Aineisto koostuu kuukausittaisista havainnoista aikaväliltä 01.01.2003-31.12.2006. Empiiriset tulokset osoittavat, että strukturaalisten mallien mukaiset tekijät selittävät vain pienen osan tuottoeron muutoksista yli ajan. Toisaalta nämä teoreettiset tekijät selittävät huomattavasti paremmin tuottoeron vaihtelua yli poikkileikkauksen. Muut kuin teoreettiset tekijät pystyvät selittämään suuren osan tuottoeron vaihtelusta. Erityisen tärkeäksi tuottoeron selittäväksi tekijäksi osoittautui yleinen riskipreemio velkakirjamarkkinoilla. Tulokset osoittavat, että luottoriskin hinnoittelumalleja on kehitettävä edelleenniin, että ne ottaisivat huomioon yrityskohtaisten tekijöiden lisäksi myös markkinalaajuisia tekijöitä.

Estudi d’adaptació de clons de pollancre (Populus sp.) mitjançant models mitxes en la vall intermèdia de l’Ebre

Durant la dècada dels 80 la DGA (Diputación General de Aragon), va engegar una xarxa d’assaigs experimentals. La major part d’aquests assaigs es troben a la vall de l’Ebre. Padró el 1992 publica les dades de creixement i aporta informació sobre el comportament clonal de cada assaig. Malgrat tot, la enorme desestructura dels assaigs dificultà, en el seu moment, l’anàlisi simultani de les dades. En el treball es proposa un reanàlisi de les dades de la xarxa de la DGA basat en l’ús de models mitxes, amb l’objecte d’interpretar patrons adaptatius i amb especial interès en la descripció de la interacció genotip-ambient. S’utilitzen el models de estabilitat de Shukla, regressions de Finlay-Wilkinson y Eberhart-Russell, AMMI a on el factor ambient és aleatori i el genotip fixe.

Automated formulation of optimisation models for steel beam structures

Over 70% of the total costs of an end product are consequences of decisions that are made during the design process. A search for optimal cross-sections will often have only a marginal effect on the amount of material used if the geometry of a structure is fixed and if the cross-sectional characteristics of its elements are property designed by conventional methods. In recent years, optimalgeometry has become a central area of research in the automated design of structures. It is generally accepted that no single optimisation algorithm is suitable for all engineering design problems. An appropriate algorithm, therefore, mustbe selected individually for each optimisation situation. Modelling is the mosttime consuming phase in the optimisation of steel and metal structures. In thisresearch, the goal was to develop a method and computer program, which reduces the modelling and optimisation time for structural design. The program needed anoptimisation algorithm that is suitable for various engineering design problems. Because Finite Element modelling is commonly used in the design of steel and metal structures, the interaction between a finite element tool and optimisation tool needed a practical solution. The developed method and computer programs were tested with standard optimisation tests and practical design optimisation cases. Three generations of computer programs are developed. The programs combine anoptimisation problem modelling tool and FE-modelling program using three alternate methdos. The modelling and optimisation was demonstrated in the design of a new boom construction and steel structures of flat and ridge roofs. This thesis demonstrates that the most time consuming modelling time is significantly reduced. Modelling errors are reduced and the results are more reliable. A new selection rule for the evolution algorithm, which eliminates the need for constraint weight factors is tested with optimisation cases of the steel structures that include hundreds of constraints. It is seen that the tested algorithm can be used nearly as a black box without parameter settings and penalty factors of the constraints.

Welding time models for cost calculations in the early stages of the design process

It is generally accepted that between 70 and 80% of manufacturing costs can be attributed to design. Nevertheless, it is difficult for the designer to estimate manufacturing costs accurately, especially when alternative constructions are compared at the conceptual design phase, because of the lack of cost information and appropriate tools. In general, previous reports concerning optimisation of a welded structure have used the mass of the product as the basis for the cost comparison. However, it can easily be shown using a simple example that the use of product mass as the sole manufacturing cost estimator is unsatisfactory. This study describes a method of formulating welding time models for cost calculation, and presents the results of the models for particular sections, based on typical costs in Finland. This was achieved by collecting information concerning welded products from different companies. The data included 71 different welded assemblies taken from the mechanical engineering and construction industries. The welded assemblies contained in total 1 589 welded parts, 4 257 separate welds, and a total welded length of 3 188 metres. The data were modelled for statistical calculations, and models of welding time were derived by using linear regression analysis. Themodels were tested by using appropriate statistical methods, and were found to be accurate. General welding time models have been developed, valid for welding in Finland, as well as specific, more accurate models for particular companies. The models are presented in such a form that they can be used easily by a designer, enabling the cost calculation to be automated.

A priori parameterisation of the CERES soil-crop models and tests against several European data sets

Mechanistic soil-crop models have become indispensable tools to investigate the effect of management practices on the productivity or environmental impacts of arable crops. Ideally these models may claim to be universally applicable because they simulate the major processes governing the fate of inputs such as fertiliser nitrogen or pesticides. However, because they deal with complex systems and uncertain phenomena, site-specific calibration is usually a prerequisite to ensure their predictions are realistic. This statement implies that some experimental knowledge on the system to be simulated should be available prior to any modelling attempt, and raises a tremendous limitation to practical applications of models. Because the demand for more general simulation results is high, modellers have nevertheless taken the bold step of extrapolating a model tested within a limited sample of real conditions to a much larger domain. While methodological questions are often disregarded in this extrapolation process, they are specifically addressed in this paper, and in particular the issue of models a priori parameterisation. We thus implemented and tested a standard procedure to parameterize the soil components of a modified version of the CERES models. The procedure converts routinely-available soil properties into functional characteristics by means of pedo-transfer functions. The resulting predictions of soil water and nitrogen dynamics, as well as crop biomass, nitrogen content and leaf area index were compared to observations from trials conducted in five locations across Europe (southern Italy, northern Spain, northern France and northern Germany). In three cases, the model’s performance was judged acceptable when compared to experimental errors on the measurements, based on a test of the model’s root mean squared error (RMSE). Significant deviations between observations and model outputs were however noted in all sites, and could be ascribed to various model routines. In decreasing importance, these were: water balance, the turnover of soil organic matter, and crop N uptake. A better match to field observations could therefore be achieved by visually adjusting related parameters, such as field-capacity water content or the size of soil microbial biomass. As a result, model predictions fell within the measurement errors in all sites for most variables, and the model’s RMSE was within the range of published values for similar tests. We conclude that the proposed a priori method yields acceptable simulations with only a 50% probability, a figure which may be greatly increased through a posteriori calibration. Modellers should thus exercise caution when extrapolating their models to a large sample of pedo-climatic conditions for which they have only limited information.

The five and seven factors personality models: differences and similitude between the TCI-R, NEO-FFI-R and ZKPQ-50-CC

The present study tests the relationships between the three frequently used personality models evaluated by the Temperament Character Inventory-Revised (TCI-R), Neuroticism Extraversion Openness Five Factor Inventory – Revised (NEO-FFI-R) and Zuckerman-Kuhlman Personality Questionnaire-50- Cross-Cultural (ZKPQ-50-CC). The results were obtained with a sample of 928 volunteer subjects from the general population aged between 17 and 28 years old. Frequency distributions and alpha reliabilities with the three instruments were acceptable. Correlational and factorial analyses showed that several scales in the three instruments share an appreciable amount of common variance. Five factors emerged from principal components analysis. The first factor was integrated by A (Agreeableness), Co (Cooperativeness) and Agg-Host (Aggressiveness-Hostility), with secondary loadings in C (Conscientiousness) and SD (Self-directiveness) from other factors. The second factor was composed by N (Neuroticism), N-Anx (Neuroticism-Anxiety), HA (Harm Avoidance) and SD (Self-directiveness). The third factor was integrated by Sy (Sociability), E (Extraversion), RD (Reward Dependence), ImpSS (Impulsive Sensation Seeking) and NS (novelty Seeking). The fourth factor was integrated by Ps (Persistence), Act (Activity), and C, whereas the fifth and last factor was composed by O (Openness) and ST (Self- Transcendence). Confirmatory factor analyses indicate that the scales in each model are highly interrelated and define the specified latent dimension well. Similarities and differences between these three instruments are further discussed.

Short-term effects of particulate matters on pulse pressure in two general population studies.

OBJECTIVES: To explore the association of short-term exposure to particulate matter with aerodynamic diameters less than 10 μm (PM10) with pulse pressure, SBP, and DBP taking outdoor temperature into account in two large population-based studies in Switzerland. METHODS: We used data from the Bus Santé study including 5605 adults in Geneva and the CoLaus study including 6183 adults in Lausanne. PM10 and meteorological data were measured from fixed monitoring stations. We analyzed the association of short-term exposure to PM10 (on the day of examination visit and up to 7 days before) with pulse pressure, SBP, and DBP by linear regression, controlling for potential confounders and effect modifiers. RESULTS: Average PM10 levels were 22.4 μg/m in Geneva and 31.7 μg/m in Lausanne. In adjusted models, for each 10 μg/m increase in 7-day PM10 average, pulse pressure and SBP increased by 0.583 (95% confidence interval, 0.296-0.870) mmHg and 0.490 (0.056-0.925) mmHg in Geneva, and 0.183 (0.017-0.348) mmHg and 0.036 (0.042-0.561) mmHg in Lausanne, respectively. Stronger associations of pulse pressure and SBP with PM10 were observed when outdoor temperature was above 5°C. CONCLUSION: Positive associations of pulse pressure and SBP with short-term exposure to PM10 were found and replicated in the Swiss adult population. Our results suggest that even low levels of air pollution may substantially impact cardiovascular risk in the general population.

Increased risk of cardiovascular disease (CVD) with age in HIV-positive men : a comparison of the D:A:D CVD risk equation and general population CVD risk equations

OBJECTIVES: The aim of the study was to statistically model the relative increased risk of cardiovascular disease (CVD) per year older in Data collection on Adverse events of anti-HIV Drugs (D:A:D) and to compare this with the relative increased risk of CVD per year older in general population risk equations. METHODS: We analysed three endpoints: myocardial infarction (MI), coronary heart disease (CHD: MI or invasive coronary procedure) and CVD (CHD or stroke). We fitted a number of parametric age effects, adjusting for known risk factors and antiretroviral therapy (ART) use. The best-fitting age effect was determined using the Akaike information criterion. We compared the ageing effect from D:A:D with that from the general population risk equations: the Framingham Heart Study, CUORE and ASSIGN risk scores. RESULTS: A total of 24 323 men were included in analyses. Crude MI, CHD and CVD event rates per 1000 person-years increased from 2.29, 3.11 and 3.65 in those aged 40-45 years to 6.53, 11.91 and 15.89 in those aged 60-65 years, respectively. The best-fitting models included inverse age for MI and age + age(2) for CHD and CVD. In D:A:D there was a slowly accelerating increased risk of CHD and CVD per year older, which appeared to be only modest yet was consistently raised compared with the risk in the general population. The relative risk of MI with age was not different between D:A:D and the general population. CONCLUSIONS: We found only limited evidence of accelerating increased risk of CVD with age in D:A:D compared with the general population. The absolute risk of CVD associated with HIV infection remains uncertain.

Phenomenological models of holographic superconductors and hall currents

We study general models of holographic superconductivity parametrized by four arbitrary functions of a neutral scalar field of the bulk theory. The models can accommodate several features of real superconductors, like arbitrary critical temperatures and critical exponents in a certain range, and perhaps impurities or boundary or thickness effects. We find analytical expressions for the critical exponents of the general model and show that they satisfy the Rushbrooke identity. An important subclass of models exhibit second order phase transitions. A study of the specific heat shows that general models can also describe holographic superconductors undergoing first, second and third (or higher) order phase transitions. We discuss how small deformations of the HHH model can lead to the appearance of resonance peaks in the conductivity, which increase in number and become narrower as the temperature is gradually decreased, without the need for tuning mass of the scalar to be close to the Breitenlohner-Freedman bound. Finally, we investigate the inclusion of a generalized ¿theta term¿ producing Hall effect without magnetic field.

Soluble models in two-dimensional dilaton gravity

A one-parameter class of simple models of two-dimensional dilaton gravity, which can be exactly solved including back-reaction effects, is investigated at both classical and quantum levels. This family contains the RST model as a special case, and it continuously interpolates between models having a flat (Rindler) geometry and a constant curvature metric with a nontrivial dilaton field. The processes of formation of black hole singularities from collapsing matter and Hawking evaporation are considered in detail. Various physical aspects of these geometries are discussed, including the cosmological interpretation.

The embryonic blood-CSF barrier has molecular elements for specific glucose transport and for the general transport of molecules via transcellular routes.

In vertebrates, early brain development takes place at the expanded anterior end of the neural tube, which is filled with embryonic cerebrospinal fluid (E-CSF). We have recently identified a transient blood-CSF barrier that forms between embryonic days E3 and E4 in chick embryos and that is responsible for the transport of proteins and control of E-CSF homeostasis, including osmolarity. Here we examined the presence of glucose transporter GLUT-1 as well the presence of caveolae-structural protein Caveolin1 (CAV-1) in the embryonic blood-CSF barrier which may be involved in the transport of glucose and of proteins, water and ions respectively across the neuroectoderm. In this paper we demonstrate the presence of GLUT-1 and CAV-1 in endothelial cells of blood vessels as well as in adjacent neuroectodermal cells, located in the embryonic blood-CSF barrier. In blood vessels, these proteins were detected as early as E4 in chick embryos and E12.7 in rat embryos, i.e. the point at which the embryonic blood-CSF barrier acquires this function. In the neuroectoderm of the embryonic blood-CSF barrier, GLUT-1 was also detected at E4 and E12.7 respectively, and CAV-1 was detected shortly thereafter in both experimental models. These experiments contribute to delineating the extent to which the blood-CSF embryonic barrier controls E-CSF composition and homeostasis during early stages of brain development in avians and mammals. Our results suggest the regulation of glucose transport to the E-CSF by means of GLUT-1 and also suggest a mechanism by which proteins are transported via transcellular routes across the neuroectoderm, thus reinforcing the crucial role of E-CSF in brain development.

Growth Models with Exogenous Saving Rates, Unemployment and Wage Inertia

[cat] El propòsit d'aquest article és introduir una mercat de treball no competitiu i atur en el model de creixement amb taxes d'estalvi exògenes que es pot trobar en els llibres de text de creixement (Sala‐i‐Martín, 2000; Barro and Sala‐i‐Martín, 2003; Romer, 2006). Primer, derivem un marc general amb una funció de producció neoclàssica per analitzar la relació entre creixement i ocupació. Utilitzem aquest marc per estudiar les dinàmiques conjuntes del creixement i l'ocupació sota diferents regles de fixació salarial.