On performance persistence in emerging markets: Empirical evidence from Asia-Pacific

The purpose of this study is to investigate the performance persistence of international mutual funds, employing a data sample which includes 2,168 European mutual funds investing in Asia-Pacific region; Japan excluded. Also, a number of performance measures is tested and compared, and especially, this study tries to find out whether iterative Bayesian procedure can be used to provide more accurate predictions on future performance. Finally, this study examines whether the cross-section of mutual fund returns can be explained with simple accounting variables and market risk. To exclude the effect of the Asian currency crisis in 1997, the studied time period includes years from 1999 to 2007. The overall results showed significant performance persistence for repeating winners when performance was tested with contingency tables. Also the annualized alpha spreads between the top and bottom portfolios were more than ten percent at their highest. Nevertheless, the results do not confirm the improved prediction accuracy of the Bayesian alphas.

Generalized three-sided assignment markets: consistency and the core

A class of three-sided markets (and games) is considered, where value is generated by pairs or triplets of agents belonging to different sectors, as well as by individuals. For these markets we analyze the situation that arises when some agents leave the market with some payoff To this end, we introduce the derived market (and game) and relate it to the Davis and Maschler (1965) reduced game. Consistency with respect to the derived market, together with singleness best and individual anti-monotonicity axiomatically characterize the core for these generalized three-sided assignment markets. These markets may have an empty core, but we define a balanced subclass, where the worth of each triplet is defined as the addition of the worths of the pairs it contains. Keywords: Multi-sided assignment market, Consistency, Core, Nucleolus. JEL Classification: C71, C78

Geographic patterns of genetic variation in a broadly distributed marine vertebrate: new insights into loggerhead turtle stock structure from expanded mitochondrial DNA sequences

Previous genetic studies have demonstrated that natal homing shapes the stock structure of marine turtle nesting populations. However, widespread sharing of common haplotypes based on short segments of the mitochondrial control region often limits resolution of the demographic connectivity of populations. Recent studies employing longer control region sequences to resolve haplotype sharing have focused on regional assessments of genetic structure and phylogeography. Here we synthesize available control region sequences for loggerhead turtles from the Mediterranean Sea, Atlantic, and western Indian Ocean basins. These data represent six of the nine globally significant regional management units (RMUs) for the species and include novel sequence data from Brazil, Cape Verde, South Africa and Oman. Genetic tests of differentiation among 42 rookeries represented by short sequences (380 bp haplotypes from 3,486 samples) and 40 rookeries represented by long sequences (~800 bp haplotypes from 3,434 samples) supported the distinction of the six RMUs analyzed as well as recognition of at least 18 demographically independent management units (MUs) with respect to female natal homing. A total of 59 haplotypes were resolved. These haplotypes belonged to two highly divergent global lineages, with haplogroup I represented primarily by CC-A1, CC-A4, and CC-A11 variants and haplogroup II represented by CC-A2 and derived variants. Geographic distribution patterns of haplogroup II haplotypes and the nested position of CC-A11.6 from Oman among the Atlantic haplotypes invoke recent colonization of the Indian Ocean from the Atlantic for both global lineages. The haplotypes we confirmed for western Indian Ocean RMUs allow reinterpretation of previous mixed stock analysis and further suggest that contemporary migratory connectivity between the Indian and Atlantic Oceans occurs on a broader scale than previously hypothesized. This study represents a valuable model for conducting comprehensive international cooperative data management and research in marine ecology.

Perustutkimus palveluinnovaatioprosessissa rahoitusalalla

Palveluinnovaatioprosessi voidaan jakaa 5 eri vaiheeseen: strategiasidonnaisuus, perustutkimus, suorituskyvyn analysointi, systeemimuutokset sekä kaupallistaminen. Tästä palveluinnovaatioprosessista voidaan johtaa perustutkimusprosessi rahoitusalalle: strategiasidonnaisuus, ideoiden luonti ja karsinta, suorituskyvyn analysointi, differointimahdollisuuksien kartoittaminen ja palveluinnovaation myynti yritysjohdolle sekä osakkaille. Strategiasidonnaisuudella varmistetaan, että yritys pysyy omalla osaamisalueellansa hyödyntämällä omia ydinkompetenssejaan. Perustutkimus osana palveluinnovaatioprosessia selvittää oleellisimmat tiedot markkinatilanteesta sekä toimii ohjaavana että karsivana tekijänä uuden tuotteen jatkotoimenpiteille. Yrityksen kyvykkyyksien mittaaminen perustutkimusta varten on oleellinen vaihe uuden palvelun vaatimien liiketoiminnallisten muutosten määrittämiseksi. Tuotedifferoinnilla voidaan luoda kilpailullista etua tuotteiden puolesta homogeenisilla markkinoilla, joissa kilpailu tapahtuu pääosin hinnoittelussa. Rahoitusalalla tuotedifferointi voi muodostua haastavaksi kuluttajien suhtautuessa konservatiivisesti uusiin tuotteisiin. Makroekonomisten tekijöiden perusteella voidaan päätellä, että suomalaiset kuluttajat ottavat lainaa tulevaisuudessakin. Asuntolaina on ollut lainamarkkinoilla luottokannan kasvun veturina ja tästä syystä uudet asuntolainan kaltaiset tuotteet voisivat olla menestyksekkäitä. Kilpailu asuntolainamarkkinoilla kulminoituu kolmen hallitsevan kilpailijan ympärille: Osuuspankki, Sampo Pankki ja Nordea. Asuntolainan kaltainen käänteinen asuntolaina voisi olla menestys markkinoilla, jos sitä pystyttäisiin differoimaan kylliksi. Markkinapotentiaali pelkälle käänteiselle asuntolainalle on tällä hetkellä liian alhainen. GE Money Finland ei myöskään pysty tarjoamaan tuotetta yhtä kilpailulliseen hintaan kuin kilpailijansa. GE Money Finlandin tulisi edellä mainituista syistä johtuen pyrkiä differoimaan käänteisen asuntolainan kaltaista tuotettaan Heloc, jotta se menestyisi markkinoilla.

Volatility spillovers in EMU sovereign bond markets

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Wood pellet markets in Russia

Bioenergy came to Russia through wood pellets. On account of prevalence of oil and gas in the Russian economy «bioenergy» has come with a great delay. Certainly, there were many woodworking enterprises and even municipal boiler-houses using wood waste and fire wood for energy reception, but this activity was not purposeful. More likely it was connected with necessity of waste recycling and with the organization of heat supply in the remote areas of the country. However, in 2001 was founded the first pellet plant in Russia. The purpose of this work was to analyze wood pellets market in Russia, investigate current situation on the home and export market, evaluates supply and demand development, opportunities for wood pellets manufactures in Russia, the main manufactures in Russian market; cost and prices for wood pellets in Russia. Also the work was intended to give better understanding of the main problems of wood pellets industry in Russia. Besides, this work had updated information about Russian customs and logistic systems.

The governmental organization's role in railway freight market's liberalization -building knowledge through Swedish and Polish operators' experiences

Globalization has increased transport aggregates’ demand. Whilst transport volumes increase, ecological values’im portance has sharpened: carbon footprint has become a measure known world widely. European Union together with other communities emphasizes friendliness to the environment: same trend has extended to transports. As a potential substitute for road transport is noted railway transport, which decreases the congestions and lowers the emission levels. Railway freight market was liberalized in the European Union 2007, which enabled new operators to enter the markets. This research had two main objectives. Firstly, it examined the main market entry strategies utilized and the barriers to entry confronted by the operators who entered the markets after the liberalization. Secondly, the aim was to find ways the governmental organization could enhance its service towards potential railway freight operators. Research is a qualitative case study, utilizing descriptive analytical research method with a normative shade. Empirical data was gathered by interviewing Swedish and Polish railway freight operators by using a semi-structured theme-interview. This research provided novel information by using first-hand data; topic has been researched previously by utilizing second-hand data and literature analyses. Based on this research, rolling stock acquisition, needed investments and bureaucracy generate the main barriers to entry. The research results show that the mostly utilized market entry strategies are start-up and vertical integration. The governmental organization could enhance the market entry process by organizing courses, paying extra attention on flexibility, internal know-how and educating the staff.

VIX as a stock market indicator

The goal of this research was to make an overall sight to VIX and how it can be used as a stock market indicator. Volatility index, often referred as the fear index, measures how much does it cost for investor to protect his/hers S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has succesfull timing coordinator and it has told about the market state adding its own psychological view of the amount of fear and greed.

Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate

Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on taxes, the ex-dividend day anomaly has been reported even in countries where neither dividends nor capital gains are taxed. The 2006 tax reform in Spain established the same tax rate for dividends and capital gains. This paper investigates stock returns on ex-dividend days in the Spanish stock market after the 2006 tax reform using a random coefficient model. Contrary to previous research, we do not observe an ex-dividend day anomaly. Unlike previous investigations, which are mostly concerned with suggesting explanations as to why this anomaly has occurred, we are in the somewhat strange position of discussing why this anomaly has not occurred. Our findings are robust across companies and stock dividend yields, thus supporting a tax--based explanation for the ex-dividend day anomaly.

Osakekurssin reagointi tulosvaroitukseen nousu- ja laskumarkkinoilla

Tutkimuksen tavoitteena on selvittää tapahtuuko tulosvaroituksen yhteydessä yli- tai alireagointia nousu- ja laskumarkkinoiden aikana. Tutkimus tehdään tapahtumatutkimuksena, jossa tarkoituksena on tutkia osakkeiden epänormaaleja tuottoja tulosvaroituspäivän ympärillä. Tapahtumaikkunan pituus on yhteensä 11 päivää [-5, +5]. Aineisto koostuu Helsingin pörssin OMXH25 indeksin yritysten julkaisemista tulosvaroituksista vuosien 1997–2009 välillä. Tälle aikavälille osuu 200 päivän liukuvalla keskiarvolla mitattuna kaksi nousu- ja kaksi laskumarkkinaa. Tutkimuksessa ei havaittu selvää yli- tai alireagointia nousu- tai laskumarkkinoilla. Sen sijaan tietty säännöllisyys reagoinnissa tulosvaroituksiin löydettiin: Nousumarkkinoilla, tulosvaroituspäivän jälkeen näkyy selvä positiivinen tuotto kahden päivän ajalta tulosvaroituksen jälkeen, riippumatta siitä onko kyseessä positiivinen vai negatiivinen tulosvaroitus. Vastaavasti laskumarkkinoilla löydettiin selvä negatiivinen epänormaali tuotto kahden päivän ajalta tulosvaroituksen jälkeen.

A panel data analysis of FDI and informal labor markets

The objective of this paper is to examine whether informal labor markets affect the flows of Foreign Direct Investment (FDI), and also whether this effect is similar in developed and developing countries. With this aim, different public data sources, such as the World Bank (WB), and the United Nations Conference on Trade and Development (UNCTAD) are used, and panel econometric models are estimated for a sample of 65 countries over a 14 year period (1996-2009). In addition, this paper uses a dynamic model as an extension of the analysis to establish whether such an effect exists and what its indicators and significance may be.