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.

The Persistence of Finnish Equity Fund Performance

Tutkimuksen tavoitteena on selvittää, esiintyykö suomeen sijoittavilla osakerahastoilla menestyksen pysyvyyttä. Tutkimusaineisto koostuu kaikista suomalaisista osakerahastoista, jotka toimivat ajanjaksolla 15.1.1998-13.1.2005. Aineisto on vapaa selviytymisvinoumasta. Suorituskyvyn mittareina käytetään CAPM-alfaa sekä kolmi- ja nelifaktori-alfaa. Empiirisessä osassa osakerahastojen menestyksen pysyvyyttä testataan Spearmanin järjestyskorrelaatiotestillä. Evidenssi menestyksen pysyvyydestä jäi vähäiseksi, vaikkakin sitä esiintyi satunnaisesti kaikilla menestysmittareilla joillakin ranking- ja sijoitusperiodin yhdistelmillä. CAPM-alfalla tarkasteltuna tilastollisesti merkitsevää menestyksen pysyvyyttä esiintyi selvästi useammin kuin muilla menestysmittareilla. Tulokset tukevat viimeaikaisia kansainvälisiä tutkimuksia, joiden mukaan menestyksen pysyvyys riippuu usein mittaustavasta. Menestysmittareina käytettyjen regressiomallien merkitsevyystestit osoittavat multifaktorimallien selittävän osakerahastojen tuottoja CAPM:a paremmin. Lisätyt muuttujat parantavat merkittävästi CAPM:n selitysvoimaa.

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.

Flow resistance equations for mountain rivers

Three models of flow resistance (a Keulegan-type logarithmic law and two models developed for large-scale roughness conditions: the full logarithmic law and a model based on an inflectional velocity profile) were calibrated, validated and compared using an extensive database (N = 1,533) from rivers and flumes, representative of a wide hydraulic and geomorphologic range in the field of gravel-bed and mountain channels. It is preferable to apply the model based on an inflectional velocity profile in the relative submergence (y/d90) interval between 0.5 and 15, while the full logarithmic law is preferable for values below 0.5. For high relative submergence, above 15, either the logarithmic law or the full logarithmic law can be applied. The models fitted to the coarser percentiles are preferable to those fitted to the median diameter, owing to the higher explanatory power achieved by setting a model, the smaller difference in the goodness-of-fit between the different models and the lower influence of the origin of the data (river or flume).

Predicción de la resistencia al flujo en ríos de montaña

Se han calibrado, validado y comparado tres modelos de resistencia al flujo de contorno granular: un modelo potencial y otros dos modelos desarrollados para condiciones de alta rugosidad relativa (uno basado en una modificación de la ley logarítmica de Prandtl-von Karman y otro fundamentado en un perfil de velocidad configurado en dos zonas: una uniforme en las proximidades de los elementos de rugosidad y otra superior que sigue una distribución logarítmica). Se ha empleado para ello un numeroso conjunto de 1.533 datos tomados en ríos y en canales de laboratorio, representativo de un amplio intervalo hidráulico y geomorfológico en el ámbito de ríos de grava y de montaña. Han resultado preferibles las ecuaciones ajustadas con los percentiles granulométricos mayores (d90 o d84) que las ajustadas con el diámetro mediano (d50), debido a la mayor capacidad explicativa alcanzada dado un modelo, la menor diferencia en la bondad de ajuste entre los diferentes modelos y la menor influencia del origen de los datos (río o canal de laboratorio). Las ecuaciones ajustadas de acuerdo con los modelos en donde se contemplan condiciones de alta rugosidad relativa presentan predicciones similares, exceptuando el intervalo macrorrugoso (y/d90 < 1), en el que es preferible la correspondiente al modelo fundamentado en el perfil de velocidad configurado en dos zonas. Se recomienda restringir la aplicación de la ecuación ajustada con arreglo a la ley potencial al intervalo de y/d90 comprendido entre uno y veinte, puesto que fuera de dicho intervalo tiende a infraestimar notablemente la resistencia al flujo.

Overcoming limitations of modelling rare species by using ensembles of small models

1. Species distribution models (SDMs) have become a standard tool in ecology and applied conservation biology. Modelling rare and threatened species is particularly important for conservation purposes. However, modelling rare species is difficult because the combination of few occurrences and many predictor variables easily leads to model overfitting. A new strategy using ensembles of small models was recently developed in an attempt to overcome this limitation of rare species modelling and has been tested successfully for only a single species so far. Here, we aim to test the approach more comprehensively on a large number of species including a transferability assessment. 2. For each species numerous small (here bivariate) models were calibrated, evaluated and averaged to an ensemble weighted by AUC scores. These 'ensembles of small models' (ESMs) were compared to standard Species Distribution Models (SDMs) using three commonly used modelling techniques (GLM, GBM, Maxent) and their ensemble prediction. We tested 107 rare and under-sampled plant species of conservation concern in Switzerland. 3. We show that ESMs performed significantly better than standard SDMs. The rarer the species, the more pronounced the effects were. ESMs were also superior to standard SDMs and their ensemble when they were independently evaluated using a transferability assessment. 4. By averaging simple small models to an ensemble, ESMs avoid overfitting without losing explanatory power through reducing the number of predictor variables. They further improve the reliability of species distribution models, especially for rare species, and thus help to overcome limitations of modelling rare species.

Attitudes and burden in relatives of patients with schizophrenia in a middle income country

BACKGROUND: Most studies of family attitudes and burden have been conducted in developed countries. Thus it is important to test the generalizability of this research in other contexts where social conditions and extended family involvement may be different. The aim of this study was to assess the relationship between the attitudes of caregivers and the burden they experience in such a context, namely Arica, a town located in the northernmost region of Chile, close to the border with Peru and Bolivia. METHODS: We assessed attitudes towards schizophrenia (including affective, cognitive and behavioural components) and burden (including subjective distress, rejection and competence) in 41 main caregivers of patients with schizophrenia, all of whom were users of Public Mental Health Services in Arica. RESULTS: Attitude measures differed significantly according to socio-demographic variables, with parents (mainly mothers) exhibiting a more negative attitude towards the environment than the rest of the family (t = 4.04; p = 0.000).This was also the case for caregivers with a low educational level (t = 3.27; p < 0.003), for the oldest caregivers (r = 0.546; p = 0.000) and for those who had spent more time with the patient (r = 0.377; p = 0.015). Although attitudes had significant association with burden, their explanatory power was modest (R2 = .104, F = 4,55; p = .039). CONCLUSIONS: Similar to finding developed countries, the current study revealed a positive and significant relationship between the attitudes of caregivers and their burden. These findings emphasize the need to support the families of patients with schizophrenia in this social context.

Kvantitatiivisen osakepisteytysmallin testaaminen Euroopan markkinoilla

Tutkielman tavoitteena on testata kvantitatiivisen osakepisteytysmallin tehokkuutta Euroopan osakemarkkinoilla. Osakepisteytysmalli järjestää osakkeet paremmuusjärjestykseen yrityskohtaisten tunnuslukujen avulla. Pisteytysmallin suositusten mukaan luodaan testisalkku ajanjaksolta 2002 2007. Testisalkun tuottoa mitataan pääomahyödykkeiden hinnoittelumallin sekä Faman ja Frenchin kolmen faktorin mallin avulla. Testisalkkua testataan markkina arvopainoisena sekä tasapainoisena. Tasapainoisessa salkussa jokaista osaketta painotetaan yhtäläisesti. Testisalkun rinnalle luodaan lisäksi vertailusalkku satunnaisista osakkeista. Tasapainotettu testisalkku tuotti tarkasteluajanjaksolla tilastollisesti merkitsevää markkinariskikorjattua ylituottoa 0,7 prosenttia kuukaudessa. Kolmen faktorin mallin avulla laskettu ylituotto ei ollut merkitsevä. Yrityskokofaktori sekä markkinatuotto näyttivät selittävän vahvasti testisalkun tuottoja. Yrityskoon vaikutus näkyi myös markkina arvopainotetussa salkussa, jonka tuotto ei päihittänyt markkinatuottoa. Vertailusalkku ei tuottanut tilastollisesti merkitsevää ylituottoa.

PhD Students’ Research Group Networks: a Qualitative Approach

This article examines the networks within the research groups where Spanish PhD students are pursuing their doctorate. Capó et al. (2007) used quantitative data to predict PhD students’ publishing performance from their background, attitudes, supervisors’ performance and research group networks. Variables related to the research group network had a negligible explanatory power on student performance once the remaining variables had been accounted for. In this article, a qualitative follow up of the same students is carried out using extreme case sampling and indepth interviews. The qualitative research shows networking as important for students. Out of the 115 aspects that students mention in the interviews as relevant to publishing in the qualitative research, 92 have to do with their supervisors, their research group or their network as a whole. Similarly, out of the 50 hindrances mentioned, 20 have to do with the networks or relations. The most commonly mentioned network-related topics are research group members pushing PhD students to publish, meeting researchers outside the research group, existence of other PhD students in the group, help with the PhD from group members, supervisor’s interest in the thesis, the possibility of discussing with experts on the PhD’s topic and frequent contact with the supervisor and research group members. Some of these characteristics were not, however, measured in the conventional quantitative social network survey

Identifying first graders at risk of reading and writing difficulties : creating a group-based screening tool in kiswahili in Tanzania

Early identification of beginning readers at risk of developing reading and writing difficulties plays an important role in the prevention and provision of appropriate intervention. In Tanzania, as in other countries, there are children in schools who are at risk of developing reading and writing difficulties. Many of these children complete school without being identified and without proper and relevant support. The main language in Tanzania is Kiswahili, a transparent language. Contextually relevant, reliable and valid instruments of identification are needed in Tanzanian schools. This study aimed at the construction and validation of a group-based screening instrument in the Kiswahili language for identifying beginning readers at risk of reading and writing difficulties. In studying the function of the test there was special interest in analyzing the explanatory power of certain contextual factors related to the home and school. Halfway through grade one, 337 children from four purposively selected primary schools in Morogoro municipality were screened with a group test consisting of 7 subscales measuring phonological awareness, word and letter knowledge and spelling. A questionnaire about background factors and the home and school environments related to literacy was also used. The schools were chosen based on performance status (i.e. high, good, average and low performing schools) in order to include variation. For validation, 64 children were chosen from the original sample to take an individual test measuring nonsense word reading, word reading, actual text reading, one-minute reading and writing. School marks from grade one and a follow-up test half way through grade two were also used for validation. The correlations between the results from the group test and the three measures used for validation were very high (.83-.95). Content validity of the group test was established by using items drawn from authorized text books for reading in grade one. Construct validity was analyzed through item analysis and principal component analysis. The difficulty level of most items in both the group test and the follow-up test was good. The items also discriminated well. Principal component analysis revealed one powerful latent dimension (initial literacy factor), accounting for 93% of the variance. This implies that it could be possible to use any set of the subtests of the group test for screening and prediction. The K-Means cluster analysis revealed four clusters: at-risk children, strugglers, readers and good readers. The main concern in this study was with the groups of at-risk children (24%) and strugglers (22%), who need the most assistance. The predictive validity of the group test was analyzed by correlating the measures from the two school years and by cross tabulating grade one and grade two clusters. All the correlations were positive and very high, and 94% of the at-risk children in grade two were already identified in the group test in grade one. The explanatory power of some of the home and school factors was very strong. The number of books at home accounted for 38% of the variance in reading and writing ability measured by the group test. Parents´ reading ability and the support children received at home for schoolwork were also influential factors. Among the studied school factors school attendance had the strongest explanatory power, accounting for 21% of the variance in reading and writing ability. Having been in nursery school was also of importance. Based on the findings in the study a short version of the group test was created. It is suggested for use in the screening processes in grade one aiming at identifying children at risk of reading and writing difficulties in the Tanzanian context. Suggestions for further research as well as for actions for improving the literacy skills of Tanzanian children are presented.

Momentum-anomalia ja siihen perustuvat sijoitusstrategiat Yhdysvaltojen osakemarkkinoilla

Tutkielmassa lähestytään osakemarkkinoilla havaittua poikkeavuutta, momentum-anomaliaa, sekä sen ilmenemistä ja selittyvyyttä Yhdysvaltojen osakemarkkinoiden olosuhteissa. Lisäksi tutkielma sisältää lyhyen katsauksen kansainvälisesti ilmenevään momentumiin kuin myös sen muodostumiseen vaikuttaviin tekijöihin. Työn tutkimusongelmana on, selittyykö Yhdysvaltojen osakemarkkinoilla ilmenevä momentum-anomalia selkeämmin behaviorististen vai makrotaloudellisten riskitekijöiden muodostamien mallien avulla. Kuten aiempi tutkimus on havainnut, myös tässä tutkielmassa oletuksena on, että behavioristis-perusteiset tekijät omaavat suuremman selitysvoiman, kuin makrotaloudellisten riskitekijöiden -perusteiset mallit. Yksittäisiin tekijöihin keskittymisen ohella on tarkoitus havainnoida momentum-anomalian ilmentymisen riippuvuus markkinasuhdanteista, jolloin syntyviä momentumin tuottoja tarkastellaan sekä korkea-, että matalasuhdannemarkkinoiden olosuhteissa.

Character transformations and their functional significance as a key to the evolution of hystricognath Rodentia

Hystricognathi represent a monophyletic taxon within Rodentia. Since phylogenetically analyzed morphological systems are essential for revealing evolutionary processes, this study identifies evolutionary character transformations on the stem lineage of Hystricognathi as derived from the author's own work and the literature. Data so far indicate that evolutionary transformations in the rostral head region, the loss of tactile ability in the outer nasal skin and the mobile arrangement of the associated cartilage, were allied with a switch from omnivorous to herbivorous and fiber-rich nutrition. Additional character transformations in the skull assist in digesting such food. Structures associated with reproduction and placentation show a remarkable pro portion of derived character conditions: the chorioallantoic placenta has a ring-shaped organization and growth structure which optimizes the capacity for passive diffusion, a subplacenta occurred as a specialized region responsible for placental invasion and the inverted yolk sac facilitates substance exchange with the main placenta. Finally, precocial newborns evolved as a derived condition within Rodentia. All things considered, a mode of reproduction is indicated, which does not demand excessive additional energy intake by the mother and is in accordance with her low energetic diet. Hystricognathi possess major character transformations that represent prerequisites for their successful radiation at the time when more open ecosystems and grasslands evolved during Earth history. The analysis resulted in the reconstruction of a life-near picture of the hystricognath stem species pattern with high explanatory power in terms of changes in space and time and their interdependence with biodiversity.

Exchange rate volatility and the use of foreign currency derivatives: Impact of 2008 global financial crisis

This thesis examines the impact of foreign exchange rate volatility to the extent of use of foreign currency derivatives. Especially the focus is on the impacts of 2008 global financial crisis. The crisis increased risk level in the capital markets greatly. The change in the currency derivatives use is analyzed by comparing means between different periods and in addition, by linear regression that enables to analyze the explanatory power of the model. The research data consists of financial statements figures from fiscal years 2006-2011 published by firms operating in traditional Finnish industrial sectors. Volatilities of the chosen three currency pairs is calculated from the daily fixing rates of ECB. Based on the volatility the sample period is divided into three sub-periods. The results suggest that increased FX market volatility did not increase the use foreign currency derivatives. Furthermore, the increased foreign exchange rate volatility did not increase the power of linear regression model to estimate the use foreign currency derivatives compared to previous studies.

The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

Performance Determinants of Renewable Energy Companies

The purpose of this thesis is to identify the Performance Determinants (PD) of Renewable Energy (RE) companies. It analyzes the background of the RE industry while reflecting simultaneous developments in the fossil based industries. I divided the determinants into two groups: market level and firm level and established hypotheses based on the existing literature. Data from public companies was gathered to construct a Panel Data structure. This is then tested by using a Linear Regression with Fixed Effects model. The model specification was efficient at reflecting the analyzed phenomena. My results showed that both market level and firm level determinants are significant in the RE Industry but the firm level determinants had higher explanatory power (R2). The determinants' relationships were found to follow those from the manufacturing industry more than the utilities' industry. Out of the market level determinants Consumer Price Index (CPI), Interest Rates and Oil prices were significant. Out of the firm level determinants Debt to Assets, Net Investments, Cash flows from operations, Sales and Earnings Before Interests and Taxes (EBIT) were significant. I concluded that this information is valuable for key industry players as they can achieve their objectives faster by elaborating better strategies using these results.