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.

Modeling of non-isothermalvapor membrane separation with thermodynamic models and generalized mass transfer equations

A rigorous unit operation model is developed for vapor membrane separation. The new model is able to describe temperature, pressure, and concentration dependent permeation as wellreal fluid effects in vapor and gas separation with hydrocarbon selective rubbery polymeric membranes. The permeation through the membrane is described by a separate treatment of sorption and diffusion within the membrane. The chemical engineering thermodynamics is used to describe the equilibrium sorption of vapors and gases in rubbery membranes with equation of state models for polymeric systems. Also a new modification of the UNIFAC model is proposed for this purpose. Various thermodynamic models are extensively compared in order to verify the models' ability to predict and correlate experimental vapor-liquid equilibrium data. The penetrant transport through the selective layer of the membrane is described with the generalized Maxwell-Stefan equations, which are able to account for thebulk flux contribution as well as the diffusive coupling effect. A method is described to compute and correlate binary penetrant¿membrane diffusion coefficients from the experimental permeability coefficients at different temperatures and pressures. A fluid flow model for spiral-wound modules is derived from the conservation equation of mass, momentum, and energy. The conservation equations are presented in a discretized form by using the control volume approach. A combination of the permeation model and the fluid flow model yields the desired rigorous model for vapor membrane separation. The model is implemented into an inhouse process simulator and so vapor membrane separation may be evaluated as an integralpart of a process flowsheet.

Estudi d’adaptació de clons de pollancre (Populus sp.) mitjançant models mitxes en la vall intermèdia de l’Ebre

Durant la dècada dels 80 la DGA (Diputación General de Aragon), va engegar una xarxa d’assaigs experimentals. La major part d’aquests assaigs es troben a la vall de l’Ebre. Padró el 1992 publica les dades de creixement i aporta informació sobre el comportament clonal de cada assaig. Malgrat tot, la enorme desestructura dels assaigs dificultà, en el seu moment, l’anàlisi simultani de les dades. En el treball es proposa un reanàlisi de les dades de la xarxa de la DGA basat en l’ús de models mitxes, amb l’objecte d’interpretar patrons adaptatius i amb especial interès en la descripció de la interacció genotip-ambient. S’utilitzen el models de estabilitat de Shukla, regressions de Finlay-Wilkinson y Eberhart-Russell, AMMI a on el factor ambient és aleatori i el genotip fixe.

Automated formulation of optimisation models for steel beam structures

Over 70% of the total costs of an end product are consequences of decisions that are made during the design process. A search for optimal cross-sections will often have only a marginal effect on the amount of material used if the geometry of a structure is fixed and if the cross-sectional characteristics of its elements are property designed by conventional methods. In recent years, optimalgeometry has become a central area of research in the automated design of structures. It is generally accepted that no single optimisation algorithm is suitable for all engineering design problems. An appropriate algorithm, therefore, mustbe selected individually for each optimisation situation. Modelling is the mosttime consuming phase in the optimisation of steel and metal structures. In thisresearch, the goal was to develop a method and computer program, which reduces the modelling and optimisation time for structural design. The program needed anoptimisation algorithm that is suitable for various engineering design problems. Because Finite Element modelling is commonly used in the design of steel and metal structures, the interaction between a finite element tool and optimisation tool needed a practical solution. The developed method and computer programs were tested with standard optimisation tests and practical design optimisation cases. Three generations of computer programs are developed. The programs combine anoptimisation problem modelling tool and FE-modelling program using three alternate methdos. The modelling and optimisation was demonstrated in the design of a new boom construction and steel structures of flat and ridge roofs. This thesis demonstrates that the most time consuming modelling time is significantly reduced. Modelling errors are reduced and the results are more reliable. A new selection rule for the evolution algorithm, which eliminates the need for constraint weight factors is tested with optimisation cases of the steel structures that include hundreds of constraints. It is seen that the tested algorithm can be used nearly as a black box without parameter settings and penalty factors of the constraints.

MANAGING STRATEGIC CHANGE:New Business Models Applying Wireless Technology as a Source of Competitive Edge

The diffusion of mobile telephony began in 1971 in Finland, when the first car phones, called ARP1 were taken to use. Technologies changed from ARP to NMT and later to GSM. The main application of the technology, however, was voice transfer. The birth of the Internet created an open public data network and easy access to other types of computer-based services over networks. Telephones had been used as modems, but the development of the cellular technologies enabled automatic access from mobile phones to Internet. Also other wireless technologies, for instance Wireless LANs, were also introduced. Telephony had developed from analog to digital in fixed networks and allowed easy integration of fixed and mobile networks. This development opened a completely new functionality to computers and mobile phones. It also initiated the merger of the information technology (IT) and telecommunication (TC) industries. Despite the arising opportunity for firms' new competition the applications based on the new functionality were rare. Furthermore, technology development combined with innovation can be disruptive to industries. This research focuses on the new technology's impact on competition in the ICT industry through understanding the strategic needs and alternative futures of the industry's customers. The change speed inthe ICT industry is high and therefore it was valuable to integrate the DynamicCapability view of the firm in this research. Dynamic capabilities are an application of the Resource-Based View (RBV) of the firm. As is stated in the literature, strategic positioning complements RBV. This theoretical framework leads theresearch to focus on three areas: customer strategic innovation and business model development, external future analysis, and process development combining these two. The theoretical contribution of the research is in the development of methodology integrating theories of the RBV, dynamic capabilities and strategic positioning. The research approach has been constructive due to the actual managerial problems initiating the study. The requirement for iterative and innovative progress in the research supported the chosen research approach. The study applies known methods in product development, for instance, innovation process in theGroup Decision Support Systems (GDSS) laboratory and Quality Function Deployment (QFD), and combines them with known strategy analysis tools like industry analysis and scenario method. As the main result, the thesis presents the strategic innovation process, where new business concepts are used to describe the alternative resource configurations and scenarios as alternative competitive environments, which can be a new way for firms to achieve competitive advantage in high-velocity markets. In addition to the strategic innovation process as a result, thestudy has also resulted in approximately 250 new innovations for the participating firms, reduced technology uncertainty and helped strategic infrastructural decisions in the firms, and produced a knowledge-bank including data from 43 ICT and 19 paper industry firms between the years 1999 - 2004. The methods presentedin this research are also applicable to other industries.

Welding time models for cost calculations in the early stages of the design process

It is generally accepted that between 70 and 80% of manufacturing costs can be attributed to design. Nevertheless, it is difficult for the designer to estimate manufacturing costs accurately, especially when alternative constructions are compared at the conceptual design phase, because of the lack of cost information and appropriate tools. In general, previous reports concerning optimisation of a welded structure have used the mass of the product as the basis for the cost comparison. However, it can easily be shown using a simple example that the use of product mass as the sole manufacturing cost estimator is unsatisfactory. This study describes a method of formulating welding time models for cost calculation, and presents the results of the models for particular sections, based on typical costs in Finland. This was achieved by collecting information concerning welded products from different companies. The data included 71 different welded assemblies taken from the mechanical engineering and construction industries. The welded assemblies contained in total 1 589 welded parts, 4 257 separate welds, and a total welded length of 3 188 metres. The data were modelled for statistical calculations, and models of welding time were derived by using linear regression analysis. Themodels were tested by using appropriate statistical methods, and were found to be accurate. General welding time models have been developed, valid for welding in Finland, as well as specific, more accurate models for particular companies. The models are presented in such a form that they can be used easily by a designer, enabling the cost calculation to be automated.

A priori parameterisation of the CERES soil-crop models and tests against several European data sets

Mechanistic soil-crop models have become indispensable tools to investigate the effect of management practices on the productivity or environmental impacts of arable crops. Ideally these models may claim to be universally applicable because they simulate the major processes governing the fate of inputs such as fertiliser nitrogen or pesticides. However, because they deal with complex systems and uncertain phenomena, site-specific calibration is usually a prerequisite to ensure their predictions are realistic. This statement implies that some experimental knowledge on the system to be simulated should be available prior to any modelling attempt, and raises a tremendous limitation to practical applications of models. Because the demand for more general simulation results is high, modellers have nevertheless taken the bold step of extrapolating a model tested within a limited sample of real conditions to a much larger domain. While methodological questions are often disregarded in this extrapolation process, they are specifically addressed in this paper, and in particular the issue of models a priori parameterisation. We thus implemented and tested a standard procedure to parameterize the soil components of a modified version of the CERES models. The procedure converts routinely-available soil properties into functional characteristics by means of pedo-transfer functions. The resulting predictions of soil water and nitrogen dynamics, as well as crop biomass, nitrogen content and leaf area index were compared to observations from trials conducted in five locations across Europe (southern Italy, northern Spain, northern France and northern Germany). In three cases, the model’s performance was judged acceptable when compared to experimental errors on the measurements, based on a test of the model’s root mean squared error (RMSE). Significant deviations between observations and model outputs were however noted in all sites, and could be ascribed to various model routines. In decreasing importance, these were: water balance, the turnover of soil organic matter, and crop N uptake. A better match to field observations could therefore be achieved by visually adjusting related parameters, such as field-capacity water content or the size of soil microbial biomass. As a result, model predictions fell within the measurement errors in all sites for most variables, and the model’s RMSE was within the range of published values for similar tests. We conclude that the proposed a priori method yields acceptable simulations with only a 50% probability, a figure which may be greatly increased through a posteriori calibration. Modellers should thus exercise caution when extrapolating their models to a large sample of pedo-climatic conditions for which they have only limited information.

Empirical models for predicting the production of wild mushrooms in Scots pine (Pinus sylvestris L.) forests in the Central Pyrenees

Mushroom picking has become a widespread autumn recreational activity in the Central Pyrenees and other regions of Spain. Predictive models that relate mushroom production or fungal species richness with forest stand and site characteristics are not available. This study used mushroom production data from 24 Scots pine plots over 3 years to develop a predictive model that could facilitate forest management decisions when comparing silvicultural options in terms of mushroom production. Mixed modelling was used to model the dependence of mushroom production on stand and site factors. The results showed that productions were greatest when stand basal area was approximately 20 m2 ha-1. Increasing elevation and northern aspect increased total mushroom production as well as the production of edible and marketed mushrooms. Increasing slope decreased productions. Marketed Lactarius spp., the most important group collected in the region, showed similar relationships. The annual variation in mushroom production correlated with autumn rainfall. Mushroom species richness was highest when the total production was highest.

The five and seven factors personality models: differences and similitude between the TCI-R, NEO-FFI-R and ZKPQ-50-CC

The present study tests the relationships between the three frequently used personality models evaluated by the Temperament Character Inventory-Revised (TCI-R), Neuroticism Extraversion Openness Five Factor Inventory – Revised (NEO-FFI-R) and Zuckerman-Kuhlman Personality Questionnaire-50- Cross-Cultural (ZKPQ-50-CC). The results were obtained with a sample of 928 volunteer subjects from the general population aged between 17 and 28 years old. Frequency distributions and alpha reliabilities with the three instruments were acceptable. Correlational and factorial analyses showed that several scales in the three instruments share an appreciable amount of common variance. Five factors emerged from principal components analysis. The first factor was integrated by A (Agreeableness), Co (Cooperativeness) and Agg-Host (Aggressiveness-Hostility), with secondary loadings in C (Conscientiousness) and SD (Self-directiveness) from other factors. The second factor was composed by N (Neuroticism), N-Anx (Neuroticism-Anxiety), HA (Harm Avoidance) and SD (Self-directiveness). The third factor was integrated by Sy (Sociability), E (Extraversion), RD (Reward Dependence), ImpSS (Impulsive Sensation Seeking) and NS (novelty Seeking). The fourth factor was integrated by Ps (Persistence), Act (Activity), and C, whereas the fifth and last factor was composed by O (Openness) and ST (Self- Transcendence). Confirmatory factor analyses indicate that the scales in each model are highly interrelated and define the specified latent dimension well. Similarities and differences between these three instruments are further discussed.

Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.