Employee layoff announcements and shareholder wealth: empirical evidence from Finland 2008-2013

This thesis investigates the short-term stock price reaction to layoff announcements in Finland. It also studies whether the characteristics of the firm or the layoff announcement have an impact on the stock market reaction. Standard event study methodology was utilized to examine the stock price reactions to layoffs and to test the created hypotheses. The event pool consisted of 102 publicly disclosed layoff announcements that were announced during the time period from June 2008 to December 2013. The empirical results show that the stock market reaction is strongly positive in the pre-event period of -10 to -1 with CAAR of 2,69%. The reaction is however slightly negative on the event date with AAR of -0,57%. Based on the results the conclusion is that either the managers are timing the markets or the layoffs are seen as efficiency improving acts and the market becomes aware of such actions pre-event. Additionally different characteristic hypotheses are tested to find out whether they would explain the reaction. The characteristics are: the reason stated by the management, business cycle, industry group, prior performance, leverage-ratio, the size of the company, the size of the layoff and the duration of the layoff.

Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Simulation of wind powered hydraulic heating system

The objective of this master’s thesis was to design and simulate a wind powered hydraulic heating system that can operate independently in remote places where the use of electricity is not possible. Components for the system were to be selected in such a way that the conditions for manufacture, use and economic viability are the as good as possible. Savonius rotor was chosen for wind turbine, due to its low cut in speed and robust design. Savonius rotor produces kinetic energy in wide wind speed range and it can withstand high wind gusts. Radial piston pump was chosen for the flow source of the hydraulic heater. Pump type was selected due to its characteristics in low rotation speeds and high efficiency. Volume flow from the pump is passed through the throttle orifice. Pressure drop over the orifice causes the hydraulic oil to heat up and, thus, creating thermal energy. Thermal energy in the oil is led to radiator where it conducts heat to the environment. The hydraulic heating system was simulated. For this purpose a mathematical models of chosen components were created. In simulation wind data gathered by Finnish meteorological institute for 167 hours was used as input. The highest produced power was achieved by changing the orifice diameter so that the rotor tip speed ratio follows the power curve. This is not possible to achieve without using electricity. Thus, for the orifice diameter only one, the optimal value was defined. Results from the simulation were compared with investment calculations. Different parameters effecting the investment profitability were altered in sensitivity analyses in order to define the points of investment profitability. Investment was found to be profitable only with high average wind speeds.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Plasma hydroxy-metronidazole/ metronidazole ratio in hepatitis C virus-induced liver disease

It has been suggested that the measurement of metronidazole clearance is a sensitive method for evaluating liver function. The aim of this study was to evaluate the usefulness of plasma hydroxy-metronidazole/metronidazole ratios as indicators of dynamic liver function to detect changes resulting from the various forms of chronic hepatitis C virus (HCV) infection. A total of 139 individuals were studied: 14 healthy volunteers, 22 healthy, asymptomatic, consecutive anti-HCV-positive HCV-RNA negative subjects, 81 patients with chronic hepatitis C (49 with moderate/severe chronic hepatitis and 34 with mild hepatitis), and 20 patients with cirrhosis of the liver. HCV status was determined by the polymerase chain reaction. Plasma concentrations of metronidazole and its hydroxy-metabolite were measured by reverse-phase high-performance liquid chromatography with ultraviolet detection in a blood sample collected 10 min after the end of a metronidazole infusion. Anti-HCV-positive HCV-RNA-negative individuals demonstrated a significantly reduced capacity to metabolize intravenously infused metronidazole compared to healthy individuals (0.0478 ± 0.0044 vs 0.0742 ± 0.0232). Liver cirrhosis patients also had a reduced plasma hydroxy-metronidazole/metronidazole ratio when compared to the other groups of anti-HCV-positive individuals (0.0300 ± 0.0032 vs 0.0438 ± 0.0027 (moderate/severe chronic hepatitis) vs 0.0455 ± 0.0026 (mild chronic hepatitis) and vs 0.0478 ± 0.0044 (anti-HCV-positive, HCV-RNA-negative individuals)). These results suggest an impairment of the metronidazole metabolizing system induced by HCV infection that lasts after viral clearance. In those patients with chronic hepatitis C, this impairment is paralleled by progression of the disease to liver cirrhosis.

Efficacy of the FEV1/FEV6 ratio compared to the FEV1/FVC ratio for the diagnosis of airway obstruction in subjects aged 40 years or over

The present cross-sectional, population-based study was designed to evaluate the performance of the FEV1/FEV6 ratio for the detection of airway-obstructed subjects compared to the FEV1/FVC <0.70 fixed ratio test, as well as the lower limit of normality (LLN) for 1000 subjects ³40 years of age in the metropolitan area of São Paulo, SP, Brazil. After the exclusion of 37 (3.7%) spirometries, a total of 963 pre-bronchodilator (BD) and 918 post-BD curves were constructed. The majority of the post-BD curves (93.1%) were of very good quality and achieved grade A (762 curves) or B (93 curves). The FEV1/FEV6 and FEV1/FVC ratios were highly correlated (r² = 0.92, P < 0.000). Two receiver operator characteristic curves were constructed in order to express the imbalance between the sensitivity and specificity of the FEV1/FEV6 ratio compared to two FEV1/FVC cut-off points for airway obstruction: equal to 70 (area under the curve = 0.98, P < 0.0001) and the LLN (area under the curve = 0.97, P < 0.0001), in the post-BD curves. According to an FEV1/FVC <0.70, the cut-off point for the FEV1/FEV6 ratio with the highest sum for sensitivity and specificity was 0.75. The FEV1/FEV6 ratio can be considered to be a good alternative to the FEV1/FVC ratio for the diagnosis of airway obstruction, both using a fixed cut-off point or below the LLN as reference. The FEV1/FEV6 ratio has the additional advantage of being an easier maneuver for the subjects and for the lung function technicians, providing a higher reproducibility than traditional spirometry maneuvers.

Epistolarum conscribendarum forma & ratio

Dedikaatio: Johannes Cajanus, Jacobus Frosterus, Laurentius Lithovius, Olaus Lauraeus, Jacobus Falander, Johannes Laibeck, Georgius Aenelius, Johannes Forsman, Abraham Falander, Johannes Argillander.

Spot urine porphyrins/creatinine ratio profile of healthy Brazilian individuals adjusted for personal habits

Changes in urinary porphyrin excretion may be the result of hereditary causes and/or from environmental or occupational exposure. The objective of this study was to measure the amount of some porphyrins in spot urine samples obtained from volunteers randomly selected from a healthy adult population of São Paulo with a sensitive HPLC method and to estimate normal ranges for a non-exposed population. Spot urine samples were collected from 126 subjects (both genders, 18 to 65 years old) not occupationally exposed to porphyrinogenic agents. Porphyrin fractions were separated on RP-18 HPLC column eluted with a methanol/ammonium acetate buffer gradient, pH 4.0, and measured fluorometrically (excitation 405 nm/emission 620 nm). The amount of porphyrins was corrected for urinary creatinine excretion. Only 8-carboxyl (uro) and 4-carboxyl (copro) porphyrins were quantified as µg/g creatinine. Data regarding age, gender, occupational activities, smoking and drinking habits were analyzed by Mann-Whitney and Kruskal-Wallis tests. Uroporphyrin results did not differ significantly between the subgroups studied. Copro and uro + copro porphyrins were significantly different for smokers (P = 0.008) and occupational activities (P = 0.004). With respect to alcohol consumption, only men drinking >20 g/week showed significant differences in the levels of copro (P = 0.022) and uro + copro porphyrins (P = 0.012). The 2.5-97.5th percentile limit values, excluding those for subjects with an alcohol drinking habit >20 g/week, were 0-20.8, 11.7-93.1, and 15.9-102.9 µg/g creatinine for uro, copro and uro + copro porphyrins, respectively. These percentile limit values can be proposed as a first attempt to provide urinary porphyrin reference values for our population, serving for an early diagnosis of porphyrinopathies or as biomarkers of exposure to porphyrinogenic agents.

A high-carbohydrate diet enhances the adverse effect of the S2 allele of APOC3 SstI polymorphism on the TG/HDL-C ratio only in young Chinese females

Both genetic background and diet have profound effects on plasma lipid profiles. We hypothesized that a high-carbohydrate (high-CHO) diet may affect the ratios of serum lipids and apolipoproteins (apo) differently in subjects with different genotypes of the SstI polymorphism in the apoCIII gene (APOC3). Fifty-six healthy university students (27 males and 29 females, 22.89 ± 1.80 years) were given a washout diet of 54% carbohydrate for 7 days, followed by a high-CHO diet of 70% carbohydrate for 6 days without total energy restriction. Serum triglyceride (TG), total cholesterol (TC), high-density lipoprotein cholesterol (HDL-C), low-density lipoprotein cholesterol (LDL-C), apoB100, apoAI, and the APOC3 SstI polymorphism were analyzed. The ratios of serum lipids and apoB100/apoAI were calculated. At baseline, the TG/HDL-C ratio was significantly higher in females, but not in males, with the S2 allele. The differences in the TG/HDL-C ratio between genotypes remained the same after the washout and the high-CHO diet in females. When compared with those before the high-CHO diet, the TC/HDL-C (male S2 carriers: 3.13 ± 1.00 vs 2.36 ± 0.65, P = 0.000; male subjects with the S1S1 genotype: 2.97 ± 0.74 vs 2.09 ± 0.55, P = 0.000; female S2 carriers: 2.68 ± 0.36 vs 2.24 ± 0.37, P = 0.004; female subjects with the S1S1 genotype: 2.69 ± 0.41 vs 2.09 ± 0.31, P = 0.000) and LDL-C/HDL-C (male S2 carriers: 1.44 ± 0.71 vs 1.06 ± 0.26, P = 0.012; male subjects with the S1S1 genotype: 1.35 ± 0.61 vs 1.01 ± 0.29, P = 0.005; female S2 carriers: 1.18 ± 0.33 vs 1.00 ± 0.18, P = 0.049; female subjects with the S1S1 genotype: 1.18 ± 0.35 vs 1.04 ± 0.19, P = 0.026) ratios were significantly decreased after the high-CHO diet regardless of gender and of genotype of the APOC3 SstI polymorphism. However, in female S2 carriers, the TG/HDL-C (1.38 ± 0.46 vs 1.63 ± 0.70, P = 0.039) ratio was significantly increased after the high-CHO diet. In conclusion, the high-CHO diet has favorable effects on the TC/HDL-C and LDL-C/HDL-C ratios regardless of gender and of genotype of the APOC3 SstI polymorphism. Somehow, it enhanced the adverse effect of the S2 allele on the TG/HDL-C ratio only in females.

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.

Acid and salt uptake during the marinatig process of Engraulis anchoita fillets influence of the solution: fish ratio and agitation

The aims of this research were to determine the effect of different conditions of the marination stage on the salt and acid uptake, immersion time, and sensorial characteristics during the marinating process of anchovy (Engraulis anchoita). Different solution:fish ratios and the agitation effect during this stage were analyzed. The ratios used were: 0.77:1, 3:1 and 10:1 (with and without agitation). An increase of marinating solution:fish ratio causes a higher speed of acid and salt penetration The product obtained with the 10:1 ratio had a dry and fibrous texture and a slightly salty taste. Salt concentration was statistically significantly lower (p < 0.01) in the samples with agitation. Agitation did not influence the acid uptake, and the salt penetration speed decreased, but rancidity was detected in this product. The ratio 3:1 decreases the marinating time without damaging sensory attributes and can be used in the fish marinating process.

Influence of passion fruit albedo, citric acid, and the pulp/sugar ratio on the quality of banana preserves

The objective of this research was to evaluate the effect of the citric acid concentration, pulp/sugar ratio, and albedo concentration of the passion fruit peel on physical, physiochemical, and sensorial characteristics of the 'Silver' banana preserves. A 2³ factorial design and 3 repetitions in the central point were used. The albedo concentration between 0 and 3% had significant influence on the reduction of the reducing sugars and on the decrease in titratable acidity. The increase in the pulp/sugar ratio exerted a negative effect on the pH and positive on the titratable acidity; the acid addition reduced the non-reducing sugar level. The sensorial evaluation and purchase intention indicated that the incorporation of a maximum of 1.5% albedo in formulations containing 50% pulp and 0.5% citric acid resulted in products with good acceptability in comparison with the formulation in which 60% pulp and an absence of acid or albedo is utilized.