Interdependence of Emerging Eastern European stock markets

One of the main developments in the global economy during the past decades has been the growth of emerging economies. Projections for their long-term growth, changes in the investment climate, corporate transparency and demography point to an increasing role for these emerging economies in the global economy. Today, emerging economies are usually considered as financial markets offering opportunities for high returns, good risk diversification and improved return-to-risk ratios. However, researchers have noted that these advantages may be in decline because of the increasing market integration. Nevertheless, it is likely that certain financial markets and specific sectors will remain partially segmented and somewhat insulated from the global economy for the year to come. This doctoral dissertation investigates several stock markets in Emerging Eastern Europe (EEE), including the ones in Russia, Poland, Hungary, the Czech Republic, Bulgaria and Slovenia. The objective is to analyze the returns and financial risks in these emerging markets from international investor’s point of view. This study also examines the segmentation/integration of these financial markets and the possibilities to diversify and hedge financial risk. The dissertation is divided into two parts. The first includes a review of the theoretical background for the articles and a review of the literature on EEE stock markets. It includes an overview of the methodology and research design applied in the analysis and a summary of articles from the second part of this dissertation and their main findings. The second part consists of four research publications. This work contributes to studies on emerging stock markets in four ways. First, it adds to the body of research on the pricing of risk, providing new empirical evidence about partial stock market segmentation in EEE. The results suggest that the aggregate emerging market risk is a relevant driver for stock market returns and that this market risk can be used to price financial instruments and forecast their performance. Second, it contributes to the empirical research on the integration of stock markets, asset prices and exchange rates by identifying the relationships between these markets through volatility and asset pricing. The results show that certain sectors of stock markets in EEE are not as integrated as others. For example, the Polish consumer goods sector, the Hungarian telecommunications sector, and the Czech financial sector are somewhat isolated from their counterparts elsewhere in Europe. Nevertheless, an analysis of the impact of EU accession in 2004 on stock markets suggests that most of the EEE markets are becoming increasingly integrated with the global markets. Third, this thesis complements the scientific literature in the field of shock and volatility spillovers by examining the mechanism of spillover distribution among the EU and EEE countries. The results illustrate that spillovers in emerging markets are mostly from a foreign exchange to the stock markets. Moreover, the results show that the effects of external shocks on stock markets have increased after the enlargement of the EU in 2004. Finally, this study is unique because it analyzes the effects of foreign macroeconomic news on geographically closely related countries. The results suggest that the effects of macroeconomic announcements on volatility are significant and have effect that varies across markets and their sectors. Moreover, the results show that the foreign macroeconomic news releases, somewhat surprisingly, have a greater effect on the EEE markets than the local macroeconomic news. This dissertation has a number of implications for the industry and for practitioners. It analyses financial risk associated with investing in Emerging Eastern Europe. Investors may use this information to construct and optimize investment portfolios. Moreover, this dissertation provides insights for investors and portfolio managers considering asset allocation to protect value or obtain higher returns. The results have also implications for asset pricing and portfolio selection in light of macroeconomic news releases.

Performance of active portfolio management and the effect of stock market trend

Purpose of the study is to evaluate performance of active portfolio management and the effect of stock market trend on the performance. Theory of efficient markets states that market prices reflect all available information and that all investors share a common view of future price developments. This view gives little room for the success of active management, but the theory has been disputed – at least the level of efficiency. Behavioral finance has developed theories that identify irrational behavior patterns of investors. For example, investment decisions are not made independent of past market developments. These findings give reason to believe that also the performance of active portfolio management may depend on market developments. Performance of 16 Finnish equity funds is evaluated during the period of 2005 to 2011. In addition two sub periods are constructed, a bull market period and a bear market period. The sub periods are created by joining together the two bull market phases and the two bear market phases of the whole period. This allows for the comparison of the two different market states. Performance of the funds is measured with risk-adjusted performance by Modigliani and Modigliani (1997), abnormal return over the CAPM by Jensen (1968), and market timing by Henriksson and Merton (1981). The results suggested that in average the funds are not able to outperform the market portfolio. However, the underperformance was found to be lower than the management fees in average which suggests that portfolio managers are able to do successful investment decisions to some extent. The study revealed substantial dependence on the market trend for all of the measures. The risk-adjusted performance measure suggested that in bear markets active portfolio managers in average are able to beat the market portfolio but not in bull markets. Jensen´s alpha and the market timing model also showed striking differences between the two market states. The results of these two measures were, however, somewhat problematic and reliable conclusions about the performance could not be drawn.

Summaries of lecture recordings used as learning material in blended learning

Julkaisumaa: 530 AN ANT Alankomaiden Antillit

Characterisation of Laser Beam and Paper Material Interaction

It is known already from 1970´s that laser beam is suitable for processing paper materials. In this thesis, term paper materials mean all wood-fibre based materials, like dried pulp, copy paper, newspaper, cardboard, corrugated board, tissue paper etc. Accordingly, laser processing in this thesis means all laser treatments resulting material removal, like cutting, partial cutting, marking, creasing, perforation etc. that can be used to process paper materials. Laser technology provides many advantages for processing of paper materials: non-contact method, freedom of processing geometry, reliable technology for non-stop production etc. Especially packaging industry is very promising area for laser processing applications. However, there are only few industrial laser processing applications worldwide even in beginning of 2010´s. One reason for small-scale use of lasers in paper material manufacturing is that there is a shortage of published research and scientific articles. Another problem, restraining the use of laser for processing of paper materials, is colouration of paper material i.e. the yellowish and/or greyish colour of cut edge appearing during cutting or after cutting. These are the main reasons for selecting the topic of this thesis to concern characterization of interaction of laser beam and paper materials. This study was carried out in Laboratory of Laser Processing at Lappeenranta University of Technology (Finland). Laser equipment used in this study was TRUMPF TLF 2700 carbon dioxide laser that produces a beam with wavelength of 10.6 μm with power range of 190-2500 W (laser power on work piece). Study of laser beam and paper material interaction was carried out by treating dried kraft pulp (grammage of 67 g m-2) with different laser power levels, focal plane postion settings and interaction times. Interaction between laser beam and dried kraft pulp was detected with different monitoring devices, i.e. spectrometer, pyrometer and active illumination imaging system. This way it was possible to create an input and output parameter diagram and to study the effects of input and output parameters in this thesis. When interaction phenomena are understood also process development can be carried out and even new innovations developed. Fulfilling the lack of information on interaction phenomena can assist in the way of lasers for wider use of technology in paper making and converting industry. It was concluded in this thesis that interaction of laser beam and paper material has two mechanisms that are dependent on focal plane position range. Assumed interaction mechanism B appears in range of average focal plane position of 3.4 mm and 2.4 mm and assumed interaction mechanism A in range of average focal plane position of 0.4 mm and -0.6 mm both in used experimental set up. Focal plane position 1.4 mm represents midzone of these two mechanisms. Holes during laser beam and paper material interaction are formed gradually: first small hole is formed to interaction area in the centre of laser beam cross-section and after that, as function of interaction time, hole expands, until interaction between laser beam and dried kraft pulp is ended. By the image analysis it can be seen that in beginning of laser beam and dried kraft pulp material interaction small holes off very good quality are formed. It is obvious that black colour and heat affected zone appear as function of interaction time. This reveals that there still are different interaction phases within interaction mechanisms A and B. These interaction phases appear as function of time and also as function of peak intensity of laser beam. Limit peak intensity is the value that divides interaction mechanism A and B from one-phase interaction into dual-phase interaction. So all peak intensity values under limit peak intensity belong to MAOM (interaction mechanism A one-phase mode) or to MBOM (interaction mechanism B onephase mode) and values over that belong to MADM (interaction mechanism A dual-phase mode) or to MBDM (interaction mechanism B dual-phase mode). Decomposition process of cellulose is evolution of hydrocarbons when temperature is between 380- 500°C. This means that long cellulose molecule is split into smaller volatile hydrocarbons in this temperature range. As temperature increases, decomposition process of cellulose molecule changes. In range of 700-900°C, cellulose molecule is mainly decomposed into H2 gas; this is why this range is called evolution of hydrogen. Interaction in this range starts (as in range of MAOM and MBOM), when a small good quality hole is formed. This is due to “direct evaporation” of pulp via decomposition process of evolution of hydrogen. And this can be seen can be seen in spectrometer as high intensity peak of yellow light (in range of 588-589 nm) which refers to temperature of ~1750ºC. Pyrometer does not detect this high intensity peak since it is not able to detect physical phase change from solid kraft pulp to gaseous compounds. As interaction time between laser beam and dried kraft pulp continues, hypothesis is that three auto ignition processes occurs. Auto ignition of substance is the lowest temperature in which it will spontaneously ignite in a normal atmosphere without an external source of ignition, such as a flame or spark. Three auto ignition processes appears in range of MADM and MBDM, namely: 1. temperature of auto ignition of hydrogen atom (H2) is 500ºC, 2. temperature of auto ignition of carbon monoxide molecule (CO) is 609ºC and 3. temperature of auto ignition of carbon atom (C) is 700ºC. These three auto ignition processes leads to formation of plasma plume which has strong emission of radiation in range of visible light. Formation of this plasma plume can be seen as increase of intensity in wavelength range of ~475-652 nm. Pyrometer shows maximum temperature just after this ignition. This plasma plume is assumed to scatter laser beam so that it interacts with larger area of dried kraft pulp than what is actual area of beam cross-section. This assumed scattering reduces also peak intensity. So result shows that assumably scattered light with low peak intensity is interacting with large area of hole edges and due to low peak intensity this interaction happens in low temperature. So interaction between laser beam and dried kraft pulp turns from evolution of hydrogen to evolution of hydrocarbons. This leads to black colour of hole edges.

Punção aspirativa por agulha fina como método de coleta de material para a histopatologia no osteossarcoma canino

Para a obtenção do diagnóstico definitivo do osteossarcoma realizam-se exames citopatológico e histopatológico. O material para exame citopatológico é coletado através de punção aspirativa por agulha fina (PAAF), já para a realização do exame histopatológico é necessário uma amostra de tamanho maior, geralmente conseguida através de biópsia incisional. Este trabalho tem como objetivo desenvolver uma técnica de coleta de material em cães com suspeita de osteossarcoma através de PAAF para a realização de exame histopatológico. Foram coletadas duas amostras de 12 cães suspeitos de osteossarcoma por PAAF. O material obtido pela primeira coleta foi utilizado para confirmar o diagnóstico através do exame citopatológico, enquanto que o material oriundo da segunda coleta foi fixado em formol a 10% para a análise histopatológica. Quatro das 12 amostras (33,3%) avaliadas histopatologicamente pela metodologia proposta obtiveram também o diagnóstico de osteossarcoma. Esses resultados apontam para uma possível adequação da técnica de coleta de material por PAAF para exame histopatológico.

Carbon Nanotubes as Material for Supercapacitor Electrodes

Electrochemical double-layer supercapacitors have an intermediate position between rechargeable batteries, which can store high amounts of energy, and dielectric capacitors, which have high output power. Supercapacitors are widely suggested to be used in automobiles (recuperation during braking, facilitate engine starting, electric stabilization of the system), industry (forklifts, elevators), hybrid off-road machinery and also in consumer electronics. Supercapacitor electrodes require highly porous material. Typically, activated carbon is used. Specific surface area of activated carbon is approximately 1000 m2 per gram. Carbon nanotubes represent one of prospective materials. According to numerous studies this material allows to improve the properties of supercapacitors. The task of this Master‘s Thesis was to test multiwalled carbon nanotubes and become confident with the testing methods.

Financial Slack and Bidding Firms’ Takeover Announcement Stock Returns – an Event Study

Despite the fact that the literature on mergers and acquisitions is extensive, relatively little effort has been made to examine the relationship between the acquiring firms’ financial slack and short-term post-takeover announcement abnormal stock returns. In this study, the case is made that the financial slack of a firm is not only an outcome of past business and financing activities but it also may affect the quality of acquisition decisions. We will hypothesize that the level of financial slack in a firm is negatively associated with the abnormal returns following acquisition announcements because slack reduces managerial discipline over the use of corporate funds and also because it may give rise to managerial self-serving behavior. In this study, financial slack is measured in terms of three financial statements ratios: leverage ratio, cash and equivalents to total assets ratio and free cash flow to total assets ratio. The data used in this paper is collected from two main sources. A list comprising 90 European acquisition announcements is retrieved from Thomson One Banker database. The stock price data and financial statements information for the respective firms is collected using Datastream. Our empirical analysis is two-fold. First, we conduct a two-sample t-test where we find that the most slack-rich firms experience lower abnormal returns than the most slack-poor firms in the event window [-1, +1], significant at 5% risk level. Second, we perform a cross sectional regression for sample firms using three financial statements ratios to explain cumulative abnormal returns (CAR). We find that leverage shows a statistically significant positive relationship with cumulative abnormal returns in event window [-1; +1] (significance 5%). Moreover, cash to total assets ratio showed a weak negative relationship with CAR (significant at 10%) in event window [-1; +1]. We conclude that our hypothesis for the inverse relationship between slack and abnormal returns receives empirical support. Based on the results of the event study we get empirical support for the hypothesis that the capital markets expect the acquisitions undertaken by slack-rich firms to more likely be driven by managerial self-serving behavior and hubris than do those undertaken by slackpoor firms, signaling possible agency problems and behavioral biases.

The Impact of European Macroeconomic News Announcements on CIVETS Stock Markets

The purpose of this research is to investigate how CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) stock markets are integrated with Europe as measured by the impact of euro area (EA) scheduled macroeconomic news announcements, which are related to macroeconomic indicators that are commonly used to indicate the direction of the economy. Macroeconomic announcements used in this study can be divided into four categories; (1) prices, (2) real economy, (3) money supply and (4) business climate and consumer confidence. The data set consists of daily market data from CIVETS and scheduled macroeconomic announcements from the EA for the years 2007-2012. The econometric model used in this research is Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH). Empirical results show diverse impacts of macroeconomic news releases and surprises for different categories of news supporting the perception of heterogeneity among CIVETS. The analyses revealed that in general EA macroeconomic news releases and surprises affect stock market volatility in CIVETS and only in some cases asset pricing. In conclusion, all CIVETS stock markets reacted to the incoming EA macroeconomic news suggesting market integration to some extent. Thus, EA should be considered as a possible risk factor when investing in CIVETS.

Value added logistics in supply and demand chain : COSTFIX : New operation model for maintenance material logistics in paper industry

This research report illustrates and examines new operation models for decreasing fixed costs and transforming them into variable costs in the field of paper industry. The report illustrates two cases – a new operation model for material logistics in maintenance and an examination of forklift truck fleet outsourcing solutions. Conventional material logistics in maintenance operation is illustrated and some problems related to conventional operation are identified. A new operation model that solves some of these problems is presented including descriptions of procurement and service contracts and sources of added value. Forklift truck fleet outsourcing solutions are examined by illustrating the responsibilities of a host company and a service provider both before and after outsourcing. The customer buys outsourcing services in order to improve its investment productivity. The mechanism of how these services affect the customer company’s investment productivity is illustrated.

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.

Finnish stock market reaction to quarterly earnings announcements

This thesis examines the stock market reactions to quarterly earnings announcements. The study covers the OMX Helsinki 25 index companies for the years 2007–2010. The stock market response to quarterly earnings announcements is tested by employing the event study –methodology and daily stock returns of Finnish listed companies. The thesis provides evidence that stock prices react to earnings announcements that exceed or fall below analyst forecasts. The most liquid stocks earn higher returns around positive earnings news than less traded stocks, which supports the evidence from previous studies. This thesis finds evidence for the authorization to sell stocks short reducing the post–earnings announcement drift induced by negative earnings news. In addition, the market’s reaction to earnings announcements seems to quicken during economic turmoil.

Critical aspects on the behavior of material from the mechanical tool-workpiece interaction in single point diamond turning

Some material aspects such as grain size, purity and anisotropy exert an important influence on surface quality, especially in single point diamond turning. The aim of this paper is to present and discuss some critical factors that can limit the accuracy of ultraprecision machining of non-ferrous metals and to identify the effects of them on the cutting mechanism with single point diamond tools. This will be carried out through observations of machined surfaces and chips produced using optical and scanning electron microscopy. Solutions to reduce the influence of some of these limiting factors related with the mechanism of generation of mirror-like surfaces will be discussed.

Potential benefits of building information modeling for building material supplier

This thesis investigated building information modeling (BIM) from a material supplier’s point of view. The objective was to gain understanding about how a building material supplier could benefit from the growing use of BIM in the AEC (architectural, engineering and construction) industry. Increasing amount of inquiries related to BIM from customers and other interest groups had awoken target company’s interest towards BIM. This thesis acts as a pre-study for the target company related to potential of BIM. First of all BIM and its meaning from a material supplier’s point of view was defined based on a literature review. To reveal the potential benefits of BIM for a material supplier a questionnaire survey and in total of 11 interviews were conducted. Based on the literature review and analyzed results it came clear that BIM offers benefits also for material suppliers. Product libraries and material databases for BIM tools can act as an important marketing channel for material suppliers. Material suppliers could also utilize the information from the BIM models to schedule their deliveries more precisely and potentially even to schedule their own production. All this needs deeper cooperation between material suppliers, contractors and other stakeholders in the AEC industry. Based on the results also first steps for the target company to utilize the growing use of BIM were defined.