Low-Volatility Anomaly in Helsinki Stock Exchange

International research shows that low-volatility stocks have beaten high-volatility stocks in terms of returns for decades on multiple markets. This abbreviation from traditional risk-return framework is known as low-volatility anomaly. This study focuses on explaining the anomaly and finding how strongly it appears in NASDAQ OMX Helsinki stock exchange. Data consists of all listed companies starting from 2001 and ending close to 2015. Methodology follows closely Baker and Haugen (2012) by sorting companies into deciles according to 3-month volatility and then calculating monthly returns for these different volatility groups. Annualized return for the lowest volatility decile is 8.85 %, while highest volatility decile destroys wealth at rate of -19.96 % per annum. Results are parallel also in quintiles that represent larger amount of companies and thus dilute outliers. Observation period captures financial crisis of 2007-2008 and European debt crisis, which embodies as low main index annual return of 1 %, but at the same time proves the success of low-volatility strategy. Low-volatility anomaly is driven by multiple reasons such as leverage constrained trading and managerial incentives which both prompt to invest in risky assets, but behavioral matters also have major weight in maintaining the anomaly.

Value chain transformation: Taking stock of WorldFish research on value chains and markets

The goal of WorldFish’s research on markets and value chains is to increase the benefits to resource-poor people from fisheries and aquaculture value chains by researching (1) key barriers to resource-poor men, women and other marginalized groups gaining greater benefits from participation in value chains, including barriers related to the availability, affordability and quality of nutrient-rich fish for resource-poor consumers; (2) interventions to overcome those barriers; and (3) mechanisms that are most effective for scaling up of value chain interventions. This paper aims to promote and document learning across WorldFish’s value chain research efforts in Asia and Africa. It has three main objectives: (1) to take stock of WorldFish’s past and ongoing research on value chains; (2) to draw out commonalities and differences between these projects; and (3) to provide a synthesis of some learning that can guide future work.

Characterization, development and multiplexing of microsatellite markers in three commercially exploited reef fish and their application for stock identification

Thirty-four microsatellite loci were isolated from three reef fish species; golden snapper Lutjanus johnii, blackspotted croaker Protonibea diacanthus and grass emperor Lethrinus laticaudis using a next generation sequencing approach. Both IonTorrent single reads and Illumina MiSeq paired-end reads were used, with the latter demonstrating a higher quality of reads than the IonTorrent. From the 1–1.5 million raw reads per species, we successfully obtained 10–13 polymorphic loci for each species, which satisfied stringent design criteria. We developed multiplex panels for the amplification of the golden snapper and the blackspotted croaker loci, as well as post-amplification pooling panels for the grass emperor loci. The microsatellites characterized in this work were tested across three locations of northern Australia. The microsatellites we developed can detect population differentiation across northern Australia and may be used for genetic structure studies and stock identification.

Study of nephrocalcinosis in rainbow trout (Oncorhynchus mykiss), from fry to brood stock

For survey incidence of nephrocalcinosis in rainbow trout fish, during winter 1385, samplings were performed in three fish farm with different water source: river, spring and recirculation system by using well water. In this survey 5 specimens from each 8 groups and in general 120 specimens of this fish were caught by random sampling, and also amounts of O2, CO2, pH and temperature of water were measured. Then blooding and renal tissue sampling performed that renal samples were fixed in 10% buffered formalin and blood samples after separating serum stored in -200C. Renal specimens transferred to pathology laboratory, pathological slides were prepared and stained by hematoxylin & Eosin method. From 120 specimens, 6 cases of fish represent nephrocalcinosis. Pathologic signs include: renal epithelial necrosis, dilated ureters, dense basophilic materials inside the dilated tubules and cast formation in some renal tubules. From 6 cases of nephrocalcinosis, 3 cases (7/5%) were related to recirculation system and 2 (5%) case were related to river water and 1 (2/5%) case was related to spring water. In survey amount of urea, creatinine and Uric acid between different weight groups, distinguished that difference between creatinine middling in different weight groups were significant and also in between healthy and afflicted fish, significant statistical difference were only in creatinine amount between healthy and afflicted fish in each farm. Amounts of O2, pH and temperature of water in three farms were in normal range and only rate of water CO2 in ponds of recirculatory system were very higher (25 mg/lit) than other farms. May be, this reason led to high number of nephrocalcinosis in recirculatory system, than other farms, nemley 7/5% of fish that caught from this farm .This subject is related to the role of CO2 in creating nephrocalcinosis which is descript in references.

The Impact of Expropriations on the Stock Prices of the Parent Companies: Sell on the rumor, buy on the news?

We measure the impact of warnings of expropriation and of forced divestments of pri- vate property on the stock prices of the parent company. We use a unique database of 116 events in 12 countries from 2005 to 2013. Our results show signi cant negative effects on the stock prices of different kinds of warnings; the largest effect is when the warning takes the form of a transitory permit revocation. In the case of forced divestments, we nd a signi cant negative impact when there is a permanent revocation of a permit. However, nationalizations seem to generate a positive market reaction.

Evaluation du stock de coquilles Saint-Jacques de la Baie de Seine et du Proche Extérieur. COMOR 32 (8-23 juillet 2002)

Scientific scallop surveys called COMOR are carried out in the bay of Seine since 1976. Results are used by fishermen’ associations and by fishing administration to lead management measures. In this report, the scientific results of the survey COMOR 32 realised in July 2002 are described. Abundance and growth indices for scallop, by age and area, are presented. During these surveys, data about most abundant benthic species are also collected since 1998. A first assessment with five years data is made here. A global descriptive analysis is undertaken about all the species present on scallops grounds. A special zoom is applied on both species whitch could be exploited (whelk Buccinum undatum and queen scallop Aequipecten opercularis) and three competitive species (starfish Asterias rubens, American slipper-limpet Crepidula fornicata and brittle star Ophiothrix fragilis)

GenoPopTaille. Moving stock assessment into the future

At the ecosystem level, sustainable exploitation of fisheries resources depends not only on the status of target species but also on that of bycatch species, some of which are even more sensitive to exploitation. This is the case for a number of elasmobranchs (skates, rays and sharks) species whose abundance declined during the 20th century. Further, the biology of elamobranchs is still poorly known and traditional fisheries stock assessment methods using fisheries catches and scientific survey data for estimating abundance are expensive or even inapplicable due to the small numbers observed. The GenoPopTaille project attempts to apply to the case of the thornback ray (Raja clavata) recent genetic-based methods for absolute population abundance estimation as well as characterizing its genetic diversity and population structure in the Northeast Atlantic. The poster will present the objectives, challenges and progress made so far by the project.

Otolith shape variation provides a marker of stock origin for north Atlantic bluefin tuna (Thunnus thynnus)

Two stocks of bluefin tuna (Thunnus thynnus) inhabit the north Atlantic; the western and eastern stocks spawn in the Gulf of Mexico and the Mediterranean Sea respectively. Trans-Atlantic movements occur outside spawning time whereas natal homing maintains stock structure. Commercial fisheries may exploit a mixed assemblage of both stocks. The incorporation of mixing rates into stock assessment is precluded by uncertainties surrounding stock discrimination. Otolith shape descriptors were used to characterise western and eastern stocks of Atlantic bluefin tuna in the present study and to estimate stock composition in catches of unknown origin. Otolith shape varied with length and between locations and years. Within a restricted size range (200-297-cm fork length (FL)) the two stocks were distinguished with an accuracy of 83%. Bayesian stock mixture analysis indicated that samples from the east Atlantic and Mediterranean were predominantly of eastern origin. The proportion assigned to the eastern stock showed slight spatial variation; however, overlapping 95% credible intervals indicated no significant difference (200-297 cm FL: central Atlantic, 73-100%; Straits of Gibraltar, 73-100%; Morocco, 50-99%; Portugal 64-100%). Otolith shape could be used in combination with other population markers to improve the accuracy of mixing rate estimates for Atlantic bluefin tuna.

Report of the Stock Identification Methods Working Group (SIMWG) 2016

The Stock Identification Methods Working Group (SIMWG) worked by correspondence in 2016. The working group was chaired by Lisa Kerr (USA). The work plan for SIMWG in 2016 comprised four Terms of Reference (ToR), some of which are continuing goals for SIMWG: a ) Review recent advances in stock identification methods; b ) Build a reference database with updated information on known biological stocks for species of ICES interest; c ) Provide technical reviews and expert opinions on matters of stock identifica-tion, as requested by specific Working Groups and SCICOM; d ) Review and report on advances in mixed stock analysis, and assess their po-tential role in improving precision of stock assessment. ToR a) is an ongoing task of SIMWG in which we provide a comprehensive update on recent applications of stock identification techniques to ICES species of interest, summa-rize new approaches in stock identification, and novel combinations of existing applica-tions. ToR b) is a multi-annual ToR in which SIMWG has taking steps to build a reference data-base consisting of SIMWG reviews of issues of stock identity for ICES species. ToR c) is a key ongoing task by SIMWG in which we addresses specific requests by ICES working groups for technical advice on issues of stock identity. This year we provided advice on mackerel in the Northeast Atlantic as requested by WGWIDE. ToR d) is a multi-annual ToR that is focused on tracking developments in the application of mixed stock analysis and the integration of this information into assessment and management.

An analysis of herd behavior in Latin American stock markets

This research investigates whether the major stock markets in Latin America (Brazil, Mexico, Chile, Colombia, Peru and Argentina) exhibited herd behavior over the period January 2, 2002 to June 30, 2014, using the variation in the returns overall and by sector in the most representative stock market index in each country, using the model proposed by Christie y Huang (1995) -- The results do not reveal any herd behavior in the total market, or in the sectors of the markets examined in the study

Improving robustness of rolling stock circulations in rapid transit networks

The rolling stock circulation depends on two different problems: the rolling stock assignment and the train routing problems, which up to now have been solved sequentially. We propose a new approach to obtain better and more robust circulations of the rolling stock train units, solving the rolling stock assignment while accounting for the train routing problem. Here robustness means that difficult shunting operations are selectively penalized and propagated delays together with the need for human resources are minimized. This new integrated approach provides a huge model. Then, we solve the integrated model using Benders decomposition, where the main decision is the rolling stock assignment and the train routing is in the second level. For computational reasons we propose a heuristic based on Benders decomposition. Computational experiments show how the current solution operated by RENFE (the main Spanish train operator) can be improved: more robust and efficient solutions are obtained

Train scheduling and rolling stock assignment in high speed trains

The Train Timetabling Problem (TTP) has been widely studied for freight and passenger rail systems. A lesser effort has been devoted to the study of high-speed rail systems. A modeling issue that has to be addressed is to model departure time choice of passengers on railway services. Passengers who use these systems attempt to travel at predetermined hours due to their daily life necessities (e.g., commuter trips). We incorporate all these features into TTP focusing on high-speed railway systems. We propose a Rail Scheduling and Rolling Stock (RSch-RS) model for timetable planning of high-speed railway systems. This model is composed of two essential elements: i) an infrastructure model for representing the railway network: it includes capacity constraints of the rail network and the Rolling-Stock constraints; and ii) a demand model that defines how the passengers choose the departure time. The resulting model is a mixed-integer programming model which objective function attempts to maximize the profit for the rail operator

The meaning of implied volatility in pricing stock options traded in options markets

Ph.D. in the Faculty of Business Administration

Tribes under threat : the collective behavior of firms during the stock market crisis

Due to their unpredictable behavior, stock markets are examples of complex systems. Yet, the dominant analysis of these markets as- sumes simple stochastic variations, eventually tainted by short-lived memory. This paper proposes an alternative strategy, based on a stochastic geometry defining a robust index of the structural dynamics of the markets and based on notions of topology defining a new coef- ficient that identifies the structural changes occurring on the S&P500 set of stocks. The results demonstrate the consistency of the random hypothesis as applied to normal periods but they also show its in- adequacy as to the analysis of periods of turbulence, for which the emergence of collective behavior of sectoral clusters of firms is mea- sured. This behavior is identified as a meta-routine.

Size anomalies in EU bank stock returns

Mestrado em Finanças