Liquidity Risk in the Finnish Stock Market

This study explores the pricing of liquidity risk and its effect on stock returns in the Finnish stock market. In addition to that, it investigates whether there is a trend in liquidity risk. Finally, it analyzes whether the two chosen liquidity measures provide different results. The data consists of all the common shares listed in the Finnish stock market during the period of 1/1997–7/2015. To examine whether liquidity risk affects stock returns in the Finnish stock market, this study utilizes a conditional version of liquidity-adjusted capital asset pricing model (LCAPM) by Acharya and Pedersen (2005). Two recently proposed illiquidity measures – PQS and AdjILLIQ – are used in the empirical estimation to see whether there are differences in the results between the measures. The time-varying conditional liquidity risks are estimated by using a multivariate DCC-GARCH model, while the pricing of the liquidity risk is conducted by applying fixed effect panel regression. The results imply that investors in the Finnish stock market are willing to pay a premium to hedge from wealth shocks and having liquid assets during the declined market liquidity. However, investors are not willing to pay a premium for stocks with higher returns during illiquid markets. The total annualized illiquidity premiums found in the Finnish stock market are 1.77% and 1.04%, based on the PQS and AdjILLIQ measures, respectively. The study also shows that liquidity risk does not exhibit decreasing trend, and investors should consider liquidity risk in their portfolio diversification in the Finnish stock market.

TAKING ADVANTAGE OF THE LOCAL ADVANTAGE? - Investment value of the analyst local advantage in the Finnish stock market in 2006–2014

An investor can either conduct independent analysis or rely on the analyses of others. Stock analysts provide markets with expectations regarding particular securities. However, analysts have different capabilities and resources, of which investors are seldom cognizant. The local advantage refers to the advantage stemming from cultural or geographical proximity to securities analyzed. The research has confirmed that local agents are generally more accurate or produce excess returns. This thesis tests the investment value of the local advantage regarding Finnish stocks via target price data. The empirical section investigates the local advantage from several aspects. It is discovered that local analysts were more focused on certain sectors generally located close to consumer markets. Market reactions to target price revisions were generally insignificant with the exception to local positive target prices. Both local and foreign target prices were overly optimistic and exhibited signs of herding. Neither group could be identified as a leader or follower of new information. Additionally, foreign price change expectations were more in line with the quantitative models and ideas such as beta or return mean reversion. The locals were more accurate than foreign analysts in 5 out of 9 sectors and vice versa in one. These sectors were somewhat in line with coverage decisions and buttressed the idea of local advantage stemming from proximity to markets, not to headquarters. The accuracy advantage was dependent on sample years and on the measure used. Local analysts ranked magnitudes of price changes more accurately in optimistic and foreign analysts in pessimistic target prices. Directional accuracy of both groups was under 50% and target prices held no linear predictive power. Investment value of target prices were tested by forming mean-variance efficient portfolios. Parallel to differing accuracies in the levels of expectations foreign portfolio performed better when short sales were allowed and local better when disallowed. Both local and non-local portfolios performed worse than a passive index fund, albeit not statistically significantly. This was in line with previously reported low overall accuracy and different accuracy profiles. Refraining from estimating individual stock returns altogether produced statistically significantly higher Sharpe ratios compared to local or foreign portfolios. The proposed method of testing the investment value of target prices of different groups suffered from some inconsistencies. Nevertheless, these results are of interest to investors seeking the advice of security analysts.

Pairs trading profitability in the Finnish stock market: A comparison between three methods

Pairs trading is an algorithmic trading strategy that is based on the historical co-movement of two separate assets and trades are executed on the basis of degree of relative mispricing. The purpose of this study is to explore one new and alternative copula-based method for pairs trading. The objective is to find out whether the copula method generates more trading opportunities and higher profits than the more traditional distance and cointegration methods applied extensively in previous empirical studies. Methods are compared by selecting top five pairs from stocks of the large and medium-sized companies in the Finnish stock market. The research period includes years 2006-2015. All the methods are proven to be profitable and the Finnish stock market suitable for pairs trading. However, copula method doesn’t generate more trading opportunities or higher profits than the other methods. It seems that the limitations of the more traditional methods are not too restrictive for this particular sample data.

Data and Inventory Management in Spare Part Business: Developing Operations in the Case Company

After sales business is an effective way to create profit and increase customer satisfaction in manufacturing companies. Despite this, some special business characteristics that are linked to these functions, make it exceptionally challenging in its own way. This Master’s Thesis examines the current situation of the data and inventory management in the case company regarding possibilities and challenges related to the consolidation of current business operations. The research examines process steps, procedures, data requirements, data mining practices and data storage management of spare part sales process, whereas the part focusing on inventory management is reviewing the current stock value and examining current practices and operational principles. There are two global after sales units which supply spare parts and issues reviewed in this study are examined from both units’ perspective. The analysis is focused on the operations of that unit where functions would be centralized by default, if change decisions are carried out. It was discovered that both data and inventory management include clear shortcomings, which result from lack of internal instructions and established processes as well as lack of cooperation with other stakeholders related to product’s lifecycle. The main product of data management was a guideline for consolidating the functions, tailored for the company’s needs. Additionally, potentially scrapped spare part were listed and a proposal of inventory management instructions was drafted. If the suggested spare part materials will be scrapped, stock value will decrease 46 percent. A guideline which was reviewed and commented in this thesis was chosen as the basis of the inventory management instructions.

Return and volatility linkages between the S&P 500 and emerging stock markets in Eastern Europe

The aim of this thesis is to research mean return spillovers as well as volatility spillovers from the S&P 500 stock index in the USA to selected stock markets in the emerging economies in Eastern Europe between 2002 and 2014. The sample period has been divided into smaller subsamples, which enables taking different market conditions as well as the unification of the World’s capital markets during the financial crisis into account. Bivariate VAR(1) models are used to analyze the mean return spillovers while the volatility linkages are analyzed through the use of bivariate BEKK-GARCH(1,1) models. The results show both constant volatility pooling within the S&P 500 as well as some statistically significant spillovers of both return and volatility from the S&P 500 to the Eastern European emerging stock markets. Moreover, some of the results indicate that the volatility spillovers have increased as time has passed, indicating unification of global stock markets.

Pricing of Liquidity Risks in London Stock Exchange

This thesis aims to investigate pricing of liquidity risks in London Stock Exchange. Liquidity Adjusted Capital Asset Pricing Model i.e. LCAPM developed by Acharya and Pedersen (2005) is being applied to test the influence of various liquidity risks on stock returns in London Stock Exchange. The Liquidity Adjusted Capital Asset Pricing model provides a unified framework for the testing of liquidity risks. All the common stocks listed and delisted for the period of 2000 to 2014 are included in the data sample. The study has incorporated three different measures of liquidity – Percent Quoted Spread, Amihud (2002) and Turnover. The reason behind the application of three different liquidity measures is the multi-dimensional nature of liquidity. Firm fixed effects panel regression is applied for the estimation of LCAPM. However, the results are robust according to Fama-Macbeth regressions. The results of the study indicates that liquidity risks in the form of (i) level of liquidity, (ii) commonality in liquidity (iii) flight to liquidity, (iv) depressed wealth effect and market return as well as aggregate liquidity risk are priced at London Stock Exchange. However, the results are sensitive to the choice of liquidity measures.

Personal branding on social media - The characteristics of strong personal brands in Finland

The purpose of the study is to define the characteristics of strong personal brands on social media in Finland. Personal branding as a phenomenon is no longer limited to celebrities and political leaders. The digital revolution and the change in online behavior have created the need for a deeper investigation of the characteristics of strong personal brands on social media. The work of different academics on personal branding are examined to gain a comprehensive understanding on this research topic that has gone through a revolution during the last decade. Early impression management theory is refined to include elements from more modern literature related to personal branding, brand identity management and social media to create a theoretical framework that simplifies the process of personal brand building on social media. The framework consisting of three phases clarifies the process of modern personal branding. The results of the study are presented in line with three research themes derived from the theoretical framework: the background of the brand, the brand identity management and the social media behavior and activities. Mixed methods are used in the research as means to broaden perception on the subject. The quantitative part of the study defines general characteristics concerning the most follower personal brands in Finland in three social media channels – Facebook, Instagram and Twitter. The other part of the research was conducted by single case study including two Finnish personal brands cases to provide a deeper understanding of personal branding practices of strong social media personal brands. The results of the study show that the most used social media channels differ in terms of the personal brand characteristics and personal branding activities. Due to the characteristics of the channels also the post activities of the personal brands differ quite significantly. It can be also inferred that there is a difference between brands with an existing offline awareness and the brands with no awareness before joining the social media. In order to reduce the gap between the ideal brand image and the current image, the brand should have a clear vision as well as a good understanding of the target group and the value it creates for its target audience. The brand identity needs to be managed by communicating with the target audience authentically in the right channels, with relevant content. The dedication, the target group’s behavior and the ability to create valuable and relevant content determines the right tactics for social media personal branding.  

Reactivity characteristics of cytochrome c, cytochrome oxidase and the electrostatic cytochrome c - cytochrome oxidase complex /

The mechanism whereby cytochrome £ oxidase catalyses elec-. tron transfer from cytochrome £ to oxygen remains an unsolved problem. Polarographic and spectrophotometric activity measurements of purified, particulate and soluble forms of beef heart mitochondrial cytochrome c oxidase presented in this thesis confirm the following characteristics of the steady-state kinetics with respect to cytochrome £: (1) oxidation of ferrocytochrome c is first order under all conditions. -(2) The relationship between sustrate concentration and velocity is of the Michaelis-Menten type over a limited range of substrate. concentrations at high ionic strength. (3) ~he reaction rate is independent from oxygen concentration until very low levels of oxygen. (4) "Biphasic" kinetic plots of enzyme activity as a function of substrate concentration are found when the range of cytochrome c concentrations is extended; the biphasicity ~ is more apparent in low ionic strength buffer. These results imply two binding sites for cytochrome £ on the oxidase; one of high affinity and one of low affinity with Km values of 1.0 pM and 3.0 pM, respectively, under low ionic strength conditions. (5) Inhibition of the enzymic rate by azide is non-c~mpetitive with respect to cytochrome £ under all conditions indicating an internal electron transfer step, and not binding or dissociation of £ from the enzyme is rate limiting. The "tight" binding of cytochrome '£ to cytochrome c oxidase is confirmed in column chromatographic experiments. The complex has a cytochrome £:oxidase ratio of 1.0 and is dissociated in media of high ionic strength. Stopped-flow spectrophotometric studies of the reduction of equimolar mixtures and complexes of cytochrome c and the oxidase were initiated in an attempt to assess the functional relevance of such a complex. Two alternative routes -for reduction of the oxidase, under conditions where the predominant species is the £ - aa3 complex, are postulated; (i) electron transfer via tightly bound cytochrome £, (ii) electron transfer via a small population of free cytochrome c interacting at the "loose" binding site implied from kinetic studies. It is impossible to conclude, based on the results obtained, which path is responsible for the reduction of cytochrome a. The rate of reduction by various reductants of free cytochrome £ in high and low ionic strength and of cytochrome £ electrostatically bound to cytochrome oxidase was investigated. Ascorbate, a negatively charged reagent, reduces free cytochrome £ with a rate constant dependent on ionic strength, whereas neutral reagents TMPD and DAD were relatively unaffected by ionic strength in their reduction of cytochrome c. The zwitterion cysteine behaved similarly to uncharged reductants DAD and TI~PD in exhibiting only a marginal response to ionic strength. Ascorbate reduces bound cytochrome £ only slowly, but DAD and TMPD reduce bound cytochrome £ rapidly. Reduction of cytochrome £ by DAD and TMPD in the £ - aa3 complex was enhanced lO-fold over DAD reduction of free £ and 4-fold over TMPD reduction of free c. Thus, the importance of ionic strength on the reactivity of cytochrome £ was observed with the general conclusion being that on the cytochrome £ molecule areas for anion (ie. phosphate) binding, ascorbate reduction and complexation to the oxidase overlap. The increased reducibility for bound cytochrome £ by reductants DAD and TMPD supports a suggested conformational change of electrostatically bound c compare.d to free .£. In addition, analysis of electron distribution between cytochromes £ and a in the complex suggest that the midpotential of cytochrome ~ changes with the redox state of the oxidase. Such evidence supports models of the oxidase which suggest interactions within the enzyme (or c - enzyme complex) result in altered midpoint potentials of the redox centers.

Mermithid (nematoa: mermithidae) infections of black flies (Diptera: Simuliidae) : seasonal variation and developmental characteristics /

Mermithid nematodes (Nematoda: Mermithidae) parasitize larval, pupal and adult black flies (Diptera: Simuliidae), oftentimes resulting in partial or complete host feminization. This study was designed to characterize parasite-host seasonal variation and to estabUsh the developmental life stage at which feminization is initiated. Data indicate that the total adult population of black flies collected from Algonquin Provincial Park throughout the spring of 2004 was comprised of 31.8% female, 67.8% male and 0.4% intersex individuals. Of the total population, 0.6% was infected by mermithid nematodes (69.0% female, 3.5% male and 27.6% intersex). Seasonal infection trends established over a 12-month period revealed that black flies with different life histories host the same mermithid subfamilies, while black flies with similar life histories host mermithids from different subfamilies. If a simuliid species simultaneously hosts two mermithid species, these parasites are from different subfamilies. Molecular mermithid identification revealed two mermithid subfamilies, Me.somermithinae and Gastromermithinae, present in the simuliid hosts. Mermithid colour variation was not found to be a reliable species indicator. The developmental stage at which feminization is initiated was determined by examining gonad morphology and meiotic chromosomal condition. Results indicate that mermithid-infected black flies exhibit feminization prior to larval histoblast formation. Larvae can be morphologically male (testes present) or female (ovaries present), with morphological males exhibiting either male (achiasmate) or female (chiasmate) meiotic chromosomes; morphological females were only genetically female. Additionally, mermithid infection inhibits simuliid gonad development.

An investigation of geological and geochemical characteristics of late-Quaternay sediments in the Georgian Bay Region, Southern Ontario

Core samples of postglacial sediments and sediment surface samples from Shepherd Lake on the Bruce Peninsula, Harts Lake on the Canadian Shield, and two cores from Georgian Bay (core P-l in the western deep part and core P-7 in the eastern shallow part) have been analyzed for pH, grain size distribution, water content, bulk density, loss on ignition at 4500C and 11000 C, major oxides (Si02 ,A1203,!FeO,MgO,CaO, Na20,K20,Ti02 ,MnO and P205) and trace elements (Ba,Zr,Sr,y,S, Zn,Cu,Ni,Ce and Rb). The sediment in Georgian Bay are generally fine grained (fine silt to very fine silty clay) and the grain size decreases from the Canadian Shield (core p-7) towards the Bruce Peninsula (core P-l) along the assumed direction of sediment transport. This trend coincides with a decrease in sorting coefficient and an increase in roundness. Other physical characteristics, such as water content, bulk density and loss on ignition are positively correlated with the composition of sediments and their compaction, as well as with the energy of the depositional environment. Analyses of sediment surface samples from Shepherd Lake and Harts Lake indicate the influence of bedrock and surficial deposits in the watershed on pH condition that is also influenced by the organic matter content and probably I ! I man's activities. Organic matter content increases significantly in the surface sediment in these small lakes as a result of either natural eutrophication or anthropogenic organic loading. The extremely high organic matter content in Shepherd Lake sediment indicates rapid natural eutrophication in this closed basin and high biological productivity during postglacial time, probably due to high nutrient levels and shallow depth. The chemical composition of the Canadian Shield bedrock is positively correlated with the chemical characteristics of predominantly inorganic lake sediments that were derived from the Shield rocks by glacial abrasion and by postglacial weathering and erosion of both bedrock and surficial deposits. High correlation coefficients were found between organic matter in lake sediments and major oxides (Si02,AI203,.~FeO, MgO,CaO,K20 and MnO) , as well as some trace elements (Ba,Y, S,Zn,Cu,Ni and Rb). The chemical composition of sediments in Harts Lake and core P-7 in Georgian Bay on the Canadian Shield differs from the chemistry of sediments in Shepherd Lake and core P-l in Georgian Bay on the Bruce Peninsula. The difference between cores P-l and P-7 is indicated by values of Si02 , AI203 ,:LFeo,Mgo,CaO,Ba,Zr,Sr,y and S, and also by the organic matter content. This study indicates that the processes of sediment transport, depositional environment, weathering of the rocks and surficial deposits in the watershed, as well as chemical composition of source rocks all affect the chemical characteristics of lake sediments. The stratigraphic changes and variations in lake sediment chemistry with regard to major oxides, trace elements, and organic matter content are probably related to the history of glacial and postglacial lake stages of the Georgian Bay Region and, therefore, the geochemical data can make a useful contribution to a better understanding of the Late-Quaternary history of the Great Lakes.

Behavioural characteristics in phylogenetics : a case study using black fly (Diptera: Simuliidae) cocoon spinning behaviour

1-1 is torically, the predominan t method of reconstructing phylogenies has been through the use of morphological characters. There are new techniques now gaining acceptance, including molecular techniques al1d chromosomal information. Altl10ugh the study of behaviour has been used in a comparative framework, these analyses have, historically, been based on intuition. Hennig (1966) devised a neV\' method of reconstructing phylogenies which provided a 110ncircular method for formulating, testing and refining phylogenies. Subsequent s)Tstematists had virtually abandoned ecological and beha\lioural data as primary indicators of phylogenetic relationships (Brooks and McLennan 1991). Therefore, in a modern cladistic framework (sensu Hennig) the analysis of behavioural traits remains underrepresented as a method of reconstructing phylogenies. This thesis will reconstruct the phylogeny for species of black flies (Diptera: Simuliidae), using two steps. The first step is to thoroughl)' understand and explain the cocoon spinning in black fly larvae. There have bee115 previous descriptions of cocoon spinning, but all were incomplete or erroneous. The advances in technology, including video recorders and VCRs, have allowed this behaviour to be analyzed in great detail in 20 different species. A complete description of the cocoon spinning of Simulium \littatum is given. This description will be used as a template for the other species observed. The description and understanding of cococ)n spinning was the first step in undertaking a phylogenetic analysis using this behaviour. The behaviour was then broken down and analyzed, revealing 23 characters, 3 either qualitative and quantitative in nature. These characters were assessed in a cladistic framework (sensu Hennig) and a phylogenetic tree was reconstructed with a e.I of 0.91 and an R.I. of 0.96. This phylogenetic tree closely resembles a previously established pllylogenetic tree produced from morphological and cytological information. The importance of this result is the indication that, contrary to some authors, behavioural characters, if used properly, can add very informative characters to a data set.

Test of Hockman and Oldham's job characteristics model in a post-secondary educational setting

One hundred and seventy-two subj ects participated in this quantitative, correlational survey which tested Hackman and Oldham's Job Characteristics Model in an educational setting. Subjects were Teaching Masters, Chairmen and Deans from an Ontario community college. The data were collected via mailed questionnaire, on all variables of the model. Several reliable, valid instruments were used to test the variables. Data analysis through Pearson correlation and stepwise multiple regression analyses revealed that core job characteristics predicted certain critical psychological states and that these critical psychological states, in turn were able to predict various personal and work outcomes but not absenteeism. The context variable, Satisfaction with Co-workers, was the only consistent moderating variable between core characteristics and critical psychological states; however, individual employee differences did moderate the relationship between critical psychological states and all of the personal and work outcomes except Internal Work Motivation. Two other moderator variables, Satisfaction with Context and Growth Need Strength, demonstrated an ability to predict the outcome General Job Satisfaction. The research suggests that this model may be used for job design and redesign purposes within the community college setting.

Textual characteristics of coarse sediments in selected streams of the Niagara Peninsula, Ontario

The streams flowing through the Niagara Escarpment are paved by coarse carbonate and sandstone sediments which have originated from the escarpment units and can be traced downstream from their source. Fifty-nine sediment samples were taken from five streams, over distances of 3,000 to 10,000 feet (915 to 3050 m), to determine downstream changes in sediment composition, textural characteristics and sorting. In addition, fluorometric velocity measurements were used in conjunction with measured -discharge and flow records to estimate the frequency of sediment movement. The frequency of sediments of a given lithology changes downstream in direct response to the outcrop position of the formations in the channels. Clasts derived from a single stratigraphic unit usually reach a maximum frequency within the first 1,000 feet (305 m) of transport. Sediments derived from formations at the top of waterfalls reach a modal frequency farther downstream than material originating at the base of waterfalls. Downstream variations in sediment size over the lengths of the study reaches reflect the changes in channel morphology and lithologic composition of the sediment samples. Linear regression analyses indicate that there is a decrease in the axial lengths between the intial and final samples and that the long axis decreases in length more rapidly than the intermediate, while the short axis remains almost constant. Carbonate sediments from coarse-grained, fossiliferous units - iii - are more variable in size than fine-grained dolostones and sandstones. The average sphericity for carbonates and sandstones increases from 0.65 to 0.67, while maximum projection sphericity remains nearly constant with an average value of 0.52. Pebble roundness increases more rapidly than either of the sphericity parameters and the sediments change from subrounded to rounded. The Hjulstrom diagram indicates that the velocities required to initiate transport of sediments with an average intermediate diameter of 10 cm range from 200 cm/s to 300 cm/s (6.6 ft./sec. to 9.8 ft./sec.). From the modal velocitydischarge relations, the flows corresponding to these velocities are greater than 3,500 cfs (99 m3s). These discharges occur less than 0.01 p~r cent (0.4 days) of the time and correspond to a discharge occurring during the spring flood.