Corporate Governance in China (summary section only)

The negative relationship between economic growth and stock market return is not an anomaly according to evidence documented in many economies. It is argued that future economic growth is largely irrelevant for predicting future equity returns, since long-run equity returns depend mainly on dividend yields and the growth of per share dividends. The economic growth does result in a higher standard of living for consumers, but does not necessarily translate into higher returns for owners of the capital. The divergence in performance between the real sector and stock markets appears to support the above argument. However, this thesis strives to offer an alternative explanation to the apparent divergence within the framework of corporate governance. It argues that weak corporate governance standards in Chinese listed firms exacerbated by poor inventor protection results into a marginalized capital market. Each of the three essays in the thesis addresses one particular aspect of corporate governance on the Chinese stock market in a sequential way through gathering empirical evidence on three distinctive stock market activities. The first essay questions whether significant agency conflicts do exist by building a game on rights issues. It documents significant divergence in interests among shareholders holding different classes of shares. The second essay investigates the level of agency costs by examining value of control through constructing a sample of block transactions. It finds that block transactions that transfer ultimate control entail higher premiums. The third essay looks into possible avenues through which corporate governance standards could be improved by investigating the economic consequences of cross-listing on the Chinese stock market. It finds that, by adopting a higher disclosure standard through cross-listings, firms voluntarily commit themselves to reducing information asymmetry, and consequently command higher valuation than their counterparts.

Essays on the Determinants of International Portfolio Investments

Investors significantly overweight domestic assets in their portfolios. This behavior which is commonly called “home bias” contradicts the prescriptions of portfolio theory. This thesis explores potential reasons for the “home bias” by examining the characteristics of the investing and the target countries and features of the interaction between them. A common theme of the four essays is a focus on the importance of information about foreign markets in explaining the share of these markets in investors’ portfolios. The results indicate that the size of the equity ownership in another country strongly relates to the distance to the financial capital of that country, and to trade in goods with and direct investments (FDI) to that country. The first essay empirically investigates the relationship between trade in real goods and portfolio investments. Overall, the evidence indicates a substantial role for trade in reducing the information cost relating to portfolio investments. The second essay examines the implications of the launch of the European Monetary Union (EMU) on international portfolio investments. The evidence on the allocation of Finnish international portfolio investments is more consistent with an information-based than a diversification motive explanation. The third essay employs new data for a large number of countries and further explores the role of trade on international portfolio investments. The results indicate that trade provides important information especially on firms in countries in which the corporate governance structure and the information environment of firms generate less reliable information. The fourth essay examines the relationship between direct investments (FDI) and portfolio investments. In contrast to the predications of portfolio theory, it provides evidence that FDI is a complement rather than a substitute for portfolio investments.

Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Type I seesaw mechanism for quasi-degenerate neutrinos

We discuss symmetries and scenarios leading to quasi-degenerate neutrinos in type I seesaw models. The existence of degeneracy in the present approach is not linked to any specific structure for the Dirac neutrino Yukawa coupling matrix y(D) and holds in general. Basic input is the application of the minimal flavour violation principle to the leptonic sector. Generalizing this principle, we assume that the structure of the right-handed neutrino mass matrix is determined by y(D) and the charged lepton Yukawa coupling matrix y(l) in an effective theory invariant under specific groups G(F) contained in the full symmetry group of the kinetic energy terms. G(F) invariance also leads to specific structure for the departure from degeneracy. The neutrino mass matrix (with degenerate mass m(0)) resulting after seesaw mechanism has a simple form Mv approximate to m(0)(I - py(l)y(l)(T)) in one particular scenario based on supersymmetry. This form is shown tolead to correct description of neutrino masses and mixing angles. The thermal leptogenesis after inclusion of flavour effects can account for the observed baryon asymmetry of the universe within the present scenario. Rates for lepton flavour violating processes can occur at observable levels in the supersymmetric version of the scenario. (c) 2010 Elsevier B.V. All rights reserved.

The Impact of the EMU on International Portfolio Investments

This paper analyses the impact of the launch of the European Monetary Union (EMU) on the allocation of international portfolio investments. The initiation of the EMU provides an opportunity for comparison of competing theoretical explanations for investment behavior. Models stressing the diversification motive would predict that the increased dependence between countries participating in the EMU should reduce the attractiveness of portfolio holdings in other EMU countries. Models based on asymmetric information would instead emphasize the increased intensity in the flow of information resulting from an increase in cross border transactions between the EMU countries. The consequent decline in information asymmetry should increase, rather than reduce portfolio holdings in other EMU countries. Our results based on the allocation of Finnish foreign portfolio investment support the information-based explanation against predictions based on the diversification motive.

The Influence of World Factors on Finnish Stock Market Volatility

This paper investigates to what extent the volatility of Finnish stock portfolios is transmitted through the "world volatility". We operationalize the volatility processes of Finnish leverage, industry, and size portfolio returns by asymmetric GARCH specifications according to Glosten et al. (1993). We use daily return data for January, 2, 1987 to December 30, 1998. We find that the world shock significantly enters the domestic models, and that the impact has increased over time. This applies also for the variance ratios, and the correlations to the world. The larger the firm, the larger is the world impact. The conditional variance is higher during recessions. The asymmetry parameter is surprisingly non-significant, and the leverage hypothesis cannot be verified. The return generating process of the domestic portfolio returns does usually not include the world information set, thus indicating that the returns are generated by a segmented conditional asset pricing model.

An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Design and analysis of rate aware ad hoc 802.11 networks

802.11 WLANs are characterized by high bit error rate and frequent changes in network topology. The key feature that distinguishes WLANs from wired networks is the multi-rate transmission capability, which helps to accommodate a wide range of channel conditions. This has a significant impact on higher layers such as routing and transport levels. While many WLAN products provide rate control at the hardware level to adapt to the channel conditions, some chipsets like Atheros do not have support for automatic rate control. We first present a design and implementation of an FER-based automatic rate control state machine, which utilizes the statistics available at the device driver to find the optimal rate. The results show that the proposed rate switching mechanism adapts quite fast to the channel conditions. The hop count metric used by current routing protocols has proven itself for single rate networks. But it fails to take into account other important factors in a multi-rate network environment. We propose transmission time as a better path quality metric to guide routing decisions. It incorporates the effects of contention for the channel, the air time to send the data and the asymmetry of links. In this paper, we present a new design for a multi-rate mechanism as well as a new routing metric that is responsive to the rate. We address the issues involved in using transmission time as a metric and presents a comparison of the performance of different metrics for dynamic routing.

Gauge-invariant reformulation of an anomalous gauge theory

An anomalous gauge theory can be reformulated in a gauge invariant way without any change in its physical content. This is demonstrated here for the exactly soluble chiral Schwinger model. Our gauge invariant version is very different from the Faddeev-Shatashvili proposal [L.D. Faddeev and S.L. Shatashvili, Theor. Math. Phys. 60 (1984) 206] and involves no additional gauge-group-valued fields. The status of the "gauge" A0=0 sometimes used in anomalous theories is also discussed and justified in our reformulation.

An electron paramagnetic resonance study of Pr0.6Ca0.4MnO3 across the charge-ordering transition

We report the first electron paramagnetic resonance studies of single crystals and powders of Pr0.6Ca0.4MnO3 in the 300-4.2 K range, covering the charge-ordering transition (Tco) at ~240 K and antiferromagnetic transition (TN) at ~170 K. The asymmetry parameter for the Dysonian single-crystal spectra shows an anomalous increase at Tco. Below Tco the g-value increases continuously, suggesting a gradual strengthening of the orbital ordering. The linewidth undergoes a sudden increase at Tco and continues to increase down to TN. The intensity increases as the temperature is decreased until Tco is reached, due to the renormalization of the magnetic susceptibility arising from the build-up of ferromagnetic correlations.

External Bias Dependent Direct To Indirect Band Gap Transition in Graphene Nanoribbon

In this work, using self-consistent tight-binding calculations. for the first time, we show that a direct to indirect band gap transition is possible in an armchair graphene nanoribbon by the application of an external bias along the width of the ribbon, opening up the possibility of new device applications. With the help of the Dirac equation, we qualitatively explain this band gap transition using the asymmetry in the spatial distribution of the perturbation potential produced inside the nanoribbon by the external bias. This is followed by the verification of the band gap trends with a numerical technique using Magnus expansion of matrix exponentials. Finally, we show that the carrier effective masses possess tunable sharp characters in the vicinity of the band gap transition points.

International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.

Synthesis of both enantiomers of 1-phenylethane-1,2-diol via chirality transfer from bile acid derivatives

Both enantiomers of 1-phenylethane-1,2-diol were synthesized with good to excellent enantioselectivities via selective reduction of the phenylglyoxalates derived from bile acids, followed by reductive cleavage. (C) 2000 Elsevier Science Ltd. All rights reserved.