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.

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.

Understanding the bioactivity of plant tannins: developments in analysis methods and structure-activity studies

Tannins, typically segregated into two major groups, the hydrolyzable tannins (HTs) and the proanthocyanidins (PAs), are plant polyphenolic secondary metabolites found throughout the plant kingdom. On one hand, tannins may cause harmful nutritional effects on herbivores, for example insects, and hence they work as plants’ defense against plant-eating animals. On the other hand, they may affect positively some herbivores, such as mammals, for example by their antioxidant, antimicrobial, anti-inflammatory or anticarcinogenic activities. This thesis focuses on understanding the bioactivity of plant tannins, their anthelmintic properties and the tools used for the qualitative and quantitative analysis of this endless source of structural diversity. The first part of the experimental work focused on the development of ultra-high performance liquid chromatography−tandem mass spectrometry (UHPLC-MS/MS) based methods for the rapid fingerprint analysis of bioactive polyphenols, especially tannins. In the second part of the experimental work the in vitro activity of isolated and purified HTs and their hydrolysis product, gallic acid, was tested against egg hatching and larval motility of two larval developmental stages, L1 and L2, of a common ruminant gastrointestinal parasite, Haemonchus contortus. The results indicated clear relationships between the HT structure and the anthelmintic activity. The activity of the studied compounds depended on many structural features, including size, functional groups present in the structure, and the structural rigidness. To further understand tannin bioactivity on a molecular level, the interaction between bovine serum albumin (BSA), and seven HTs and epigallocatechin gallate was examined. The objective was to define the effect of pH on the formation on tannin–protein complexes and to evaluate the stability of the formed complexes by gel electrophoresis and MALDI-TOF-MS. The results indicated that more basic pH values had a stabilizing effect on the tannin–protein complexes and that the tannin oxidative activity was directly linked with their tendency to form covalently stabilized complexes with BSA at increased pH.

Frozenaire Plant

The refrigerator factory that would soon become the Glenridge Campus.

Does Gamma-aminobutyric acid function as a plant resistance mechanism against phytophagous insect activity? /

Gamma-aminobutyric acid (GAB A) is a ubiquitous non-protein amino acid synthesized via the decarboxylation of L-glutamate in a reaction catalyzed by the cytosolic enzyme L-glutamate decarboxylase (GAD). In animals it functions as an inhibitory neurotransmitter. In plants it accumulates rapidly in response to various stresses, but its function remains unclear. The hypothesis that GABA accumulation in leaf tissue may function as a plant resistance mechanism against phytophagous insect activity was investigated. GABA accumulation in response to mechanical stimulation, mechanical damage and insect activity was demonstrated. In wt tobacco (Nicotiana tabacum cv Samsun), mechanical stimulation or damage caused GABA to accumulate within 2 min from mean levels of 14 to 37 and 1~9 nmol g-l fresh weight (FW), respectively. In the transgenic tobacco strain CaMVGAD27c overexpressing Petunia GAD, the same treatments caused GABA to accumulate from 12 to 59 and 279 nmol g-l FW, respectively. In the transgenic tobacco strain CaMVGADilC 11 overexpressing Petunia GAD lacking an autoinhibitory domain, mechanical stimulation or damage caused GABA to accumulate from 180 to 309 and 630 nmol g-l FW, respectively. Ambulatory activity by tobacco budworm (TBW) larvae (Heliothis virescens) on leaves of CaMVGAD27c tobacco caused GABA to accumulate from 28 to 80 nmol g-l FW within 5 min. Ambulatory and leaf-rolling activity by oblique banded leaf roller (OBLR) larvae (Choristoneura rosaceana cv Harris) on wt soybean leaves (Glycine max cv Harovinton) caused GABA to accumulate from 60 to 1123 nmol g-l FW within 20 min. Increased GABA levels in leaf tissue were shown to affect phytophagous preference in TBW larvae presented with wt and transgenic tobacco leaves. When presented with leaves of Samsun wt and CaMVGAD27c plants, TBW larvae consumed more wt leaf tissue (640 ± 501 S.D. mm2 ) than transgenic leaf tissue (278 ± 338 S.D. mm2 ) nine times out of ten. When presented with leaves of Samsun wt and CaMVGAD~C11 plants, TBW larvae consumed more transgenic leaf tissue (1219 ± 1009 S.D. mm2 ) than wt leaf tissue (28 ± 31 S.D. mm2 ) ten times out of ten. These results indicate that: (1) ambulatory activity of insect larvae on leaves results in increased GABA levels, (2) transgenic tobacco leaves with increased capacity for GABA synthesis deter feeding, and (3) transgenic tobacco leaves with constitutively higher GABA levels stimulate feeding.

Is GABA involved in regulating plant growth and development? /

Rapid and large accumulation of GABA (y-aminobutyric acid) in response to a number of plant stresses has been well documented. But the role(s) of GABA in plants is not well defined. In recent years, the possibility of GABA involvement in regulating plant growth and development has been raised. In the present study, this possibility was examined. First, to rapidly and accurately determine GABA levels in plant tissues, a spectrometric method for GABA determination was developed based on a commercially available enzyme Gabase. Seventy mM LaCb almost completely removed water-soluble pigments from plant tissues which greatly interfere with the absorbance reading at 340nm. Inactivation of GAD (glutamate decarboxylase) by immediately adding methanol to a frozen plant tissue powder was suggested to prevent GABA production during extraction. The recovery of GABA with this method was approximately 100%. Second, the relationship between GABA levels and hypocotyl elongation in soybean seedlings was analyzed using different approaches to regulate in vivo GABA levels and the elongation of hypocotyls. The following major observations were made. (1) Mechanical stimulation by stroking elevated GABA levels and concurrently induced a rapid and significant reduction in hypocotyl elongation. (2) External GABA was demonstrated to penetrate into the hypocotyls using '*C-GABA. Application of external GABA elevated in vivo GABA levels, but failed to inhibit hypocotyl elongation. (3) LaCla and blue light irradiation caused an inhibition in the elongation of dark-grown hypocotyls, whereas GABA levels were not significantly affected. (4) Ca^was suggested to be involved in the signal transduction pathway leading from mechanical stimulation to GABA production, as indicated by the ability of La'* to inhibit GABA production in stimulated hypocotyls. (5) Bicuculline, saclofen and baclofen (agonists and antagonists of GABA receptors in animals) had no effect on hypocotyl elongation. It might indicate that GABA-binding components which are structurally similar to animal GABA receptors and functionally capable of regulating plant growth may not exist in plants. Therefore, the conclusion was drawn that GABA alone is not sufficient to inhibit hypocotyl elongation. Third, chloride influx in isolated Asparagus cells was enhanced by lOmM GABA during a 3 hour incubation, but the effect was not specific for GABA. Chloride efflux was not influenced by GABA. Both influx and efflux of chloride were significantly inhibited by NPPB, a chloride channel blocker. These results suggest that GABA does not influence the activity of plant chloride channels.