Liquidity and Asset Pricing in the French Stock Market

This thesis investigates pricing of liquidity in the French stock market. The study covers 835 ordinary shares traded in the period of 1996-2014 on Paris Euronext. The author utilizes the Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) recently developed by Acharya and Pedersen (2005) to test whether liquidity level and risks significantly affect stock returns. Three different liquidity measures – Amihud, FHT, and PQS – are incorporated into the model to find any difference between the results they could provide. It appears that the findings largely depend on the liquidity measure used. In general the results exhibit more evidence for insignificant influence of liquidity level and risks as well as market risk on stock returns. The similar conclusion was reported earlier by Lee (2011) for several regions, including France. This finding of the thesis, however, is not consistent across all the liquidity measures. Nevertheless, the difference in the results between these measures provides new insight to the existing literature on this topic. The Amihud-based findings might indicate that market resiliency is not priced in the French stock market. At the same time the contradicting results from FHT and PQS provide some foundation for the hypothesis that one of two leftover liquidity dimensions – market depth or breadth – could significantly affect stock returns. Therefore, the thesis’ findings suggest a conjecture that different liquidity dimensions have different impacts on stock returns.

Effects of caffeine on mitotic index in Drosophila prosaltans (Diptera)

The effect of two concentrations of caffeine (1500 mg/ml and 2500 mg/ml) on mitotic indices of Drosophila prosaltans was analyzed in larval brain cells. Although the differences detected between treated and control cells were not significant, the percentages obtained suggest a possible effect of caffeine in slowing the process of cell division

Nova & accuratissima totus terrarum orbis tabula nautica variationum magneticarum index juxta observationes anno 1700 habitas

Julkaisussa: Atlas van zeevaert en koophandel door de geheele weereldt

Together Everyone Achieves More? Herding Behavior in the Finnish Stock Market

This thesis examines whether or not Finnish stock markets has herding behavior. Sample data is from 2004 to 2013. Including total of 2516 market days. Market wide herding, up and down market herding, extreme price movement herding and turnover volume herding are measured in this thesis. Methods used in this thesis are cross-sectional absolute dispersion and cross-sectional standard deviation. This thesis found no signs of herding in the Finnish stock market.

Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Do retail investors use technical analysis? Evidence from Stuttgart stock exchange.

Tutkielma käyttää automaattista kuviontunnistusalgoritmia ja yleisiä kahden liukuvan keskiarvon leikkauspiste –sääntöjä selittääkseen Stuttgartin pörssissä toimivien yksityissijoittajien myynti-osto –epätasapainoa ja siten vastatakseen kysymykseen ”käyttävätkö yksityissijoittajat teknisen analyysin menetelmiä kaupankäyntipäätöstensä perustana?” Perusolettama sijoittajien käyttäytymisestä ja teknisen analyysin tuottavuudesta tehtyjen tutkimusten perusteella oli, että yksityissijoittajat käyttäisivät teknisen analyysin metodeja. Empiirinen tutkimus, jonka aineistona on DAX30 yhtiöiden data vuosilta 2009 – 2013, ei tuottanut riittävän selkeää vastausta tutkimuskysymykseen. Heikko todistusaineisto näyttää kuitenkin osoittavan, että yksityissijoittajat muuttavat kaupankäyntikäyttäytymistänsä eräiden kuvioiden ja leikkauspistesääntöjen ohjastamaan suuntaan.

Time Varying Conditional Correlation Between Stock And Bond Returns: Evidence From CIVETS Nations

This thesis estimates long-run time variant conditional correlation between stock and bond returns of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) nations. Further, aims to analyse the presence of asymmetric volatility effect in both asset returns, as well as, obverses increment or decrement in conditional correlation during pre-crisis and crisis period, which lead to make a reliable diversification decision. The Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) GARCH model (Engle 2002), and the Asymmetric Dynamic Conditional Correlation (ADCC) GARCH model of Cappiello, Engle, and Sheppard (2006) were implemented in the study. The analyses present strong evidence of time-varying conditional correlation in CIVETS markets, excluding Vietnam, during 2005-2013. In addition, negative innovation effects were found in both conditional variance and correlation of the asset returns. The results of this study recommend investors to include financial assets from these markets in portfolios, in order to obtain better stock-bond diversification benefits, especially during high volatility periods.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Combined effect of short stature and socioeconomic status on body mass index and weight gain during reproductive age in Brazilian women

Short stature, a marker for undernutrition early in life, has been associated with obesity in Brazilian women, but not in men. We tested the hypothesis that weight gain during the reproductive years could explain this gender difference. A national two-stage household survey of mothers with one or more children under five years of age was conducted in Brazil in 1996. The subjects were women aged 20 to 45 years (N = 2297), with last delivery seven months or more prior to the interview. The regions of the country were divided into rural, North/Northeast (urban underdeveloped) and South/Southeast/Midwest (urban developed). The dependent variables were current body mass index (BMI) measured, BMI prior to childbearing (reported), and BMI change. Socioeconomic variables included mother's years of education and family purchasing power score. A secondary analysis was restricted to primiparous women. The prevalence of current overweight and overweight prior to childbearing (BMI > or = 25 kg/m²) was higher among shorter women (<1.50 m) compared to normal stature women only in the urban developed region (P < 0.05). After adjustment for socioeconomic variables, age, parity, BMI prior to childbearing, and age at first birth, current BMI was 2.39 units higher (P = 0.008) for short stature women living in the urban developed area compared with short stature women living in the urban underdeveloped area. For both multiparous and primiparous women, BMI gain compared to the value prior to childbearing was significantly higher among short stature women living in the urban developed region (P <= 0.04). These results provide clear evidence that short stature was associated with a higher BMI and with an increased risk of weight gain/retention with pregnancy in the developed areas of Brazil, but not in the underdeveloped ones.

Transitory increased blood pressure after upper airway surgery for snoring and sleep apnea correlates with the apnea-hypopnea respiratory disturbance index

A transitory increase in blood pressure (BP) is observed following upper airway surgery for obstructive sleep apnea syndrome but the mechanisms implicated are not yet well understood. The objective of the present study was to evaluate changes in BP and heart rate (HR) and putative factors after uvulopalatopharyngoplasty and septoplasty in normotensive snorers. Patients (N = 10) were instrumented for 24-h ambulatory BP monitoring, nocturnal respiratory monitoring and urinary catecholamine level evaluation one day before surgery and on the day of surgery. The influence of postsurgery pain was prevented by analgesic therapy as confirmed using a visual analog scale of pain. Compared with preoperative values, there was a significant (P < 0.05) increase in nighttime but not daytime systolic BP (119 ± 5 vs 107 ± 3 mmHg), diastolic BP (72 ± 4 vs 67 ± 2 mmHg), HR (67 ± 4 vs 57 ± 2 bpm), respiratory disturbance index (RDI) characterized by apnea-hypopnea (30 ± 10 vs 13 ± 4 events/h of sleep) and norepinephrine levels (22.0 ± 4.7 vs 11.0 ± 1.3 µg l-1 12 h-1) after surgery. A positive correlation was found between individual variations of BP and individual variations of RDI (r = 0.81, P < 0.01) but not between BP or RDI and catecholamines. The visual analog scale of pain showed similar stress levels on the day before and after surgery (6.0 ± 0.8 vs 5.0 ± 0.9 cm, respectively). These data strongly suggest that the cardiovascular changes observed in patients who underwent uvulopalatopharyngoplasty and septoplasty were due to the increased postoperative RDI.

Comparison of the homeostasis model assessment and quantitative insulin sensitivity check index with data from forearm metabolic studies for the in vivo assessment of insulin sensitivity

The present study was designed to compare the homeostasis model assessment (HOMA) and quantitative insulin sensitivity check index (QUICKI) with data from forearm metabolic studies of healthy individuals and of subjects in various pathological states. Fifty-five healthy individuals and 112 patients in various pathological states, including type 2 diabetes mellitus, essential hypertension and others, were studied after an overnight fast and for 3 h after ingestion of 75 g of glucose, by HOMA, QUICKI and the forearm technique to estimate muscle uptake of glucose combined with indirect calorimetry (oxidative and non-oxidative glucose metabolism). The patients showed increased HOMA (1.88 ± 0.14 vs 1.13 ± 0.10 pmol/l x mmol/l) and insulin/glucose (I/G) index (1.058.9 ± 340.9 vs 518.6 ± 70.7 pmol/l x (mg/100 ml forearm)-1), and decreased QUICKI (0.36 ± 0.004 vs 0.39 ± 0.006 (µU/ml + mg/dl)-1) compared with the healthy individuals. Analysis of the data for the group as a whole (patients and healthy individuals) showed that the estimate of insulin resistance by HOMA was correlated with data obtained in the forearm metabolic studies (glucose uptake: r = -0.16, P = 0.04; non-oxidative glucose metabolism: r = -0.20. P = 0.01, and I/G index: r = 0.17, P = 0.03). The comparison of QUICKI with data of the forearm metabolic studies showed significant correlation between QUICKI and non-oxidative glucose metabolism (r = 0.17, P = 0.03) or I/G index (r = -0.37, P < 0.0001). The HOMA and QUICKI are good estimates of insulin sensitivity as data derived from forearm metabolic studies involving direct measurements of insulin action on muscle glucose metabolism.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Do early life factors influence body mass index in adolescents?

The association between early life factors and body mass index (BMI) in adulthood has been demonstrated in developed countries. The aim of the present study was to assess the influence of early life factors (birth weight, gestational age, maternal smoking, and social class) on BMI in young adulthood with adjustment for adult socioeconomic position. A cohort study was carried out in 1978/79 with 6827 mother-child pairs from Ribeirão Preto city, located in the most developed economic area of the country. Biological, economic and social variables and newborn anthropometric measurements were obtained shortly after delivery. In 1996, 1189 males from this cohort, 34.3% of the original male population, were submitted to anthropometric measurements and were asked about their current schooling on the occasion of army recruitment. A multiple linear regression model was applied to determine variables associated with BMI. Mean BMI was 22.7 (95%CI = 22.5-23.0). After adjustment, BMI was 1.22 kg/m² higher among infants born with high birth weight (³4000 g), 1.21 kg/m² higher among individuals of low social class at birth and 0.69 kg/m² higher among individuals whose mothers smoked during pregnancy (P < 0.05). The association between social class at birth and BMI remained statistically significant (P < 0.05) even after adjustment for adult schooling. These findings suggest that early life social influences on BMI were more important and were not reversed by late socioeconomic position. Therefore, prevention of overweight and obesity should focus not only on changes in adult life styles but also on factors such as high birth weight.

Do intrauterine growth restriction and overweight at primary school age increase the risk of elevated body mass index in young adults?

Obesity is one of the rising public health problems characterized as a risk factor for many chronic diseases in adulthood. Early life events such as intrauterine growth restriction, as well as life style, are associated with an increased prevalence of this disease. The present study was performed to determine if intrauterine growth restriction interacts with overweight at primary school age to affect body mass index (BMI) in young adults. From June 1, 1978 to May 31, 1979, 6827 singleton liveborns from Ribeirão Preto, São Paulo State, Brazil, corresponding to 98% of all births at the 8 maternity hospitals, were examined and their mothers were interviewed. Samples from the initial cohort were examined again at primary school age (8 to 11 years of age) and at the time of military service (18 years of age). There were 519 male individuals with complete measurements taken in the three surveys. Intrauterine growth-restricted individuals had a BMI 0.68 kg/m² lower than that of individuals who were not restricted (95%CI = -1.34 to -0.03) and overweight at primary school age showed a positive and strong effect on BMI at 18 years of age (coefficient 5.03, 95%CI = 4.27 to 5.79). However, the increase in BMI was much higher - 6.90 kg/m² - when the conscript had been born with intrauterine growth restriction and presented overweight at primary school age (95%CI = 4.55 to 9.26). These findings indicate that the effect of intrauterine growth restrictionon BMI at 18 years of age is modified by later weight gain during school age.

Hirsch's index: a case study conducted at the Faculdade de Filosofia, Ciências e Letras de Ribeirão Preto, Universidade de São Paulo

An analysis of scientific bibliographic productivity using the Hirsch h-index, information from the Institute of Scientific Information database and the Curriculum Lattes (CNPq, Brazil) was performed at the Faculdade de Filosofia, Ciências e Letras de Ribeirão Preto, Universidade de São Paulo (FFCLRP-USP) that has four departments in natural, biological and social sciences. Bibliometric evaluations of undergraduate programs showed a better performance of the departments of Chemistry (P < 0.001) and Biology (P < 0.001) when compared to the departments of Physics and Mathematics and Psychology and Education. We also analyzed the scientific output of the six graduate programs of FFCLRP: Psychology, Psychobiology, Chemistry, Physics Applied to Medicine and Biology, Comparative Biology, and Entomology. The graduate program in Psychology presented a lower h-index (P < 0.001) and had fewer papers indexed by the ISI web of science (P < 0.001) when compared to the other graduate programs. The poorer performance of the Psychology program may be associated with the limited coverage by the Thompson Institute of Scientific Information database.