Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Developing the Product Return Process of a Service Center With Lean Methods

Today lean-philosophy has gathered a lot of popularity and interest in many industries. This customer-oriented philosophy helps to understand customer’s value creation which can be used to improve efficiency. A comprehensive study of lean and lean-methods in service industry were created in this research. In theoretical part lean-philosophy is studied in different levels which will help to understand its diversity. To support lean, this research also presents basic concepts of process management. Lastly theoretical part presents a development model to support process development in systematical way. The empirical part of the study was performed by performing experimental measurements during the service center’s product return process and by analyzing this data. Measurements were used to map out factors that have a negative influence on the process flow. Several development propositions were discussed to remove these factors. Problems mainly occur due to challenges in controlling customers and due to the lack of responsibility and continuous improvement on operational level. Development propositions concern such factors as change in service center’s physical environment, standardization of work tasks and training. These factors will remove waste in the product return process and support the idea of continuous improvement.

Point Of No Return: Dope Sick Love and Reindeerspotting as Documentaries of Addiction

In this postgraduate thesis the focus is on two documentary films, Renaud Brothers's Dope Sick Love (2005) and Joonas Neuvonen's Reindeerspotting (2010). In both of these films, addicts are on limelight. The directors of both films follow addicts and their everyday lives on streets with handheld cameras. This thesis will analyze and compare the narratives of these addicts. Do these documentaries affirm to the existing conventions, according to which representations of addicts and addiction are always either miraculous survival stories or stories, which always end up in utter decadence. The main questions this thesis proposes, are how addicts and their narratives are being handled in the two case study films, and how the drug cultures depicted in the films differ from each other. What changes between New York City and Rovaniemi, Northern Finland, and what remains the same. The academic and theoretical framework of this thesis consists of Susanna Helke's doctoral thesis Nanookin jälki, where the history of documentary films' methods and approaches are discussed. Additionally, the thinking is heavily informed by such poststructuralist writers as Roland Barthes, Michel Foucault, Louis Althusser, Stuart Hall and Chris Weedon.

Inhibition of return, gap effect and saccadic reaction time to a visual target

Simple manual reaction time (MRT) to a visual target (S2) is shortened when a non-informative cue (S1) is flashed at the S2 location shortly before the onset of S2 (early facilitation). Afterwards, MRT to S2 appearing at the S1 location is lengthened (inhibition of return - IOR). Similar results have been obtained for saccadic reaction time (SRT). Moreover, when there is a temporal gap between offset of the fixation point (FP) and onset of a target (gap paradigm), SRT is shorter than SRT in an overlap paradigm (FP remains on). In the present study, we determined SRT to S2 (10º) after presenting S1 at the same eccentricity (10º) or at a parafoveal position (2º) in the same or in the opposite hemifield. In addition, we employed both gap and overlap paradigms. Twelve subjects were asked not to respond to S1 (2º or 10º) to the right or to the left of FP, but to respond by making a saccadic movement in response to S2. We obtained the following results: 1) a 40-ms gap effect, 2) an interaction between gap effect and IOR, 3) a 39-ms delay (IOR) when S2 appeared at the cued (S1) position, and 4) a smaller (17 ms) but significant inhibition when S1 occurred at 2º in the ipsilateral hemifield. Thus, a parafoveal (2º) S1 elicits an inhibition of SRT towards ipsilateral peripheral targets. Since an inhibition of the ipsilateral hemifield by a 1º eccentric cue has been reported to occur when manual responses are employed, we suggest that the postulated functional link between covert and overt orienting of attention is also valid for parafoveal cues.

Return and Volatility spillovers among stock and Foreign Exchange Markets: Empirical Evidence from selected African Markets

Return and volatility dynamics in financial markets across the world have recently become important for the purpose of asset pricing, portfolio allocation and risk management. However, volatility, which come about as a result of the actions of market participants can help adapt to different situations and perform when it really matters. With recent development and liberalization among financial markets in emerging and frontier markets, the need for how the equity and foreign exchange markets interact and the extent to which return and volatility spillover are spread across countries is of importance to investors and policy makers at large. Financial markets in Africa have received attention leading to investors diversifying into them in times of crisis and contagion effects in developed countries. Regardless of the benefits these markets may offer, investors must be wary of issues such as thin trading, volatility that exists in the equity and currency markets and its related fluctuations. The study employs a VAR-GARCH BEKK model to study the return and volatility dynamics between the stock and foreign exchange sectors and among the equity markets of Egypt, Kenya, Nigeria, South Africa and Tunisia. The main findings suggest a higher dependence of own return in the stock markets and a one way return spillover from the currencies to the equity markets except for South Africa which has a weaker interrelation among the two markets. There is a relatively limited integration among the equity markets. Return and volatility spillover is mostly uni-directional except for a bi-directional relationship between the equity markets of Egypt and Tunisia. The study implication still proves a benefit for portfolio managers diversifying in these African equity markets, since they are independent of each other and may not be highly affected by the influx of negative news from elsewhere. However, there is the need to be wary of return and volatility spillover between the equity and currency markets, hence devising better hedging strategies to curb them.

A performance analysis of conventional and fundamental exchange traded funds: ETFs and their risk-return characteristics in relation to building institutional investor’s passive portfolio

An exchange traded fund (ETF) is a financial instrument that tracks some predetermined index. Since their initial establishment in 1993, ETFs have grown in importance in the field of passive investing. The main reason for the growth of the ETF industry is that ETFs combine benefits of stock investing and mutual fund investing. Although ETFs resemble mutual funds in many ways, also many differences occur. In addition, ETFs not only differ from mutual funds but also differ among each other. ETFs can be divided into two categories, i.e. market capitalisation ETFs and fundamental (or strategic) ETFs, and further into subcategories depending on their fundament basis. ETFs are a useful tool for diversification especially for a long-term investor. Although the economic importance of ETFs has risen drastically during the past 25 years, the differences and risk-return characteristics of fundamental ETFs have yet been rather unstudied area. In effect, no previous research on market capitalisation and fundamental ETFs was found during the research process. For its part, this thesis seeks to fill this research gap. The studied data consist of 50 market capitalisation ETFs and 50 fundamental ETFs. The fundaments, on which the indices that the fundamental ETFs track, were not limited nor segregated into subsections. The two types of ETFs were studied at an aggregate level as two different research groups. The dataset ranges from June 2006 to December 2014 with 103 monthly observations. The data was gathered using Bloomberg Terminal. The analysis was conducted as an econometric performance analysis. In addition to other econometric measures, the methods that were used in the performance analysis included modified Value-at-Risk, modified Sharpe ratio and Treynor ratio. The results supported the hypothesis that passive market capitalisation ETFs outperform active fundamental ETFs in terms of risk-adjusted returns, though the difference is rather small. Nevertheless, when taking into account the higher overall trading costs of the fundamental ETFs, the underperformance gap widens. According to the research results, market capitalisation ETFs are a recommendable diversification instrument for a long-term investor. In addition to better risk-adjusted returns, passive ETFs are more transparent and the bases of their underlying indices are simpler than those of fundamental ETFs. ETFs are still a young financial innovation and hence data is scarcely available. On future research, it would be valuable to research the differences in risk-adjusted returns also between the subsections of fundamental ETFs.

Khrushchev's Beau Geste: the Return of Porkkala and its Global Significance

The return of the Porkkala naval base, which was leased to the Soviet Union at the end of World War II was unexpectedly returned in early 1956, 42 years before the USSR's lease on the area was to expire. There is no commonly accepted reason, and therefore the purpose of this work is to study the possible motives behind the return of Porkkala. These seem to have been reflected in the new foreign policy after the death of Stalin, which went far beyond returning Porkkala to Finland. The Soviet Union's courting of the non-aligned powers during this time, into which category Finland was assigned, also seems to be more than coincidence. However, the greater events of 1956, and the fact that Porkkala is remembered almost exclusively in Finland may have conspired to trap the events around Porkkala into the smaller narrative of Finnish-Soviet relations and the rise of Kekkonen to the presidency, due in no small part to his presence in negotiating the return of Porkkala. However this does not negate the message that Porkkala was intended to broadcast the USSR's new approach to neutrality. Through primary and secondary sources, gleaned from archives in Finland, memoirs of people involved, and historical literature, this thesis hopes to broaden the view that Porkkala's main and only significance lay in the changes it brought to Finnish-Soviet relations.

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.

Kierkegaard : the temporality of becoming a self

Introduction In Difference and Repetition, Deleuze compares and contrasts Kierkegaard's and Nietzsche's ideas of repetition. He argues that neither of them really give a representation of repetition. Repetition for them is a sort of selective task: the way in which they determine what is ethical and eternal. With Nietzsche, it is a theater of un belie f. ..... Nietzsche's leading idea is to found the repetition in the etemal return at once on the death of God and the dissolution of the self But it is a quite different alliance in the theater of faith: Kierkegaard dreams of alliance between a God and a self rediscovered. I Repetition plays a theatrical role in their thinking. It allows them to dramatically stage the interplay of various personnae. Deleuze does give a positive account ofKierkegaard's "repetition"; however, he does not think that Kierkegaard works out a philosophical model, or a representation of what repetition is. It is true that in the book Repetition, Constantin Constantius does not clearly and fully work out the concept of repetition, but in Sickness Unto Death, Kierkegaard gives a full explanation of the self and its temporality which can be connected with repetition. When Sickness Unto Death is interpreted according to key passages from Repetition and The Concept of Anxiety, a clear philosophical concept of repetition can be established. In my opinion, Kierkegaard's philosophy is about the task of becoming a self, and I will be attempting to show that he does have a model of the temporality of self-becoming. In Sickness Unto Death, Kierkegaard explains his notions of despair with reference to sin, self, self-becoming, faith, and repetition. Despair is a sickness of the spirit, of the self, and accordingly can take three forms: in despair not to be conscious of having a self (not despair in the strict sense); in despair not to will to be oneself; in despair to will to be oneself2 In relation to this definition, he defines a self as "a relation that relates itself to itself and in relating itself to itself relates to another.''3 Thus, a person is a threefold relationship, and any break in that relationship is despair. Despair takes three forms corresponding to the three aspects of a self s relation to itself Kierkegaard says that a selfis like a house with a basement, a first floor, and a second floor.4 This model of the house, and the concept of the stages on life's way that it illustrates, is central to Kierkegaard's philosophy. This thesis will show how he unpacks this model in many of his writings with different concepts being developed in different texts. His method is to work with the same model in different ways throughout his authorship. He assigns many of the texts to different pseudonyms, but in this thesis we will treat the model and the related concepts as being Kierkegaard's and not only the pseudonyms. This is justified as our thesis will show this modelremains the same throughout Kierkegaard's work, though it is treated in different ways by different pseudonyms. According to Kierkegaard, many people live in only the basement for their entire lives, that is, as aesthetes ("in despair not to be conscious of having a self'). They live in despair of not being conscious of having a self They live in a merely horizontal relation. They want to get what they desire. When they go to the first floor, so to speak, they reflect on themselves and only then do they begin to get a self In this stage, one acquires an ideology of the required and overcomes the strict commands of the desired. The ethical is primarily an obedience to the required whereas the aesthetic is an obedience to desire. In his work Fear and Trembling (Copenhagen: 1843), Johannes de Silentio makes several observations concerning this point. In this book, the author several times allows the desired ideality of esthetics to be shipwrecked on the required ideality of ethics, in order through these collisions to bring to light the religious ideality as the ideality that precisely is the ideality of actuality, and therefore just as desirable as that of esthetics and not as impossible as the ideality of ethics. This is accomplished in such a way that the religious ideality breaks forth in the dialectical leap and in the positive mood - "Behold all things have become new" as well as in the negative mood that is the passion of the absurd to which the concept "repetition" corresponds.s Here one begins to become responsible because one seeks the required ideality; however, the required ideality and the desired ideality become inadequate to the ethical individual. Neither of them satisfy him ("in despair not to will to be oneself'). Then he moves up to the second floor: that is, the mystical region, or the sphere of religiousness (A) ("despair to will to be oneself). Kiericegaard's model of a house, which is connected with the above definition ofdespair, shows us how the self arises through these various stages, and shows the stages of despair as well. On the second floor, we become mystics, or Knights of Infinite Resignation. We are still in despair because we despair ofthe basement and the first floor, however, we can be fiill, free persons only ifwe live on all the floors at the same time. This is a sort of paradoxical fourth stage consisting of all three floors; this is the sphere of true religiousness (religiousness (B)). It is distinguished from religiousness (A) because we can go back and live on all the floors. It is not that there are four floors, but in the fourth stage, we live paradoxically on three at once. Kierkegaard uses this house analogy in order to explain how we become a self through these stages, and to show the various stages of despair. Consequently, I will be explaining self-becoming in relation to despair. It will also be necessary to explain it in relation to faith, for faith is precisely the overcoming of despair. After explaining the becoming of the self in relation to despair and faith, I will then explain its temporality and thereby its repetition. What Kierkegaard calls a formula, Deleuze calls a representation. Unfortunately, Deleuze does not acknowledge Kierkegaard's formula for repetition. As we shall see, Kierkegaard clearly gives a formula for despair, faith, and selfbecoming. When viewed properly, these formulae yield a formula for repetition because when one hasfaith, the basement, firstfloor, and secondfloor become new as one becomes oneself The self is not bound in the eternity ofthe first floor (ethical) or the temporality of the basement (aesthete). I shall now examine the two forms of conscious despair in such a way as to point out also a rise in the consciousness of the nature of despair and in the consciousness that one's state is despair, or, what amounts to the same thing and is the salient point, a rise in the consciousness of the self The opposite to being in despair is to have faith. Therefore, the formula set forth above, which describes a state in which there is not despair at all, is entirely correct, and this formula is also the formula for faMi in ^elating itself to itself and in willing to be itself, the self rests transparently in the power that established it.

An exploration of women elementary school teachers' perceptions of how their decision to return to teaching part-time from a maternity leave influences their professional and personal lives /

The purpose of this research was to explore women elementary teachers' perceptions of how their decision to return to teaching part-time from a maternity leave influences their professional and personal lives. The investigation focused on the decisions surrounding a mother's choice to reenter the teaching profession parttime in a field where each mother had previously been employed full-time. A collective case study was undertaken based on an in-depth interview with five mothers who had made the choice to return to the classroom part-time. The data collected in this study were analyzed and interpreted using qualitative methods. The following four major themes emerged from the interviews: decisionmaking process, challenges faced by mothers who teach part-time, the importance of support, and the enhancement of instructional practice from parenthood. Using these four themes, an analysis was conducted to examine the similarities and differences among the experiences of the participants. The mothers' reflections, my analysis, and the related literature were used at the conclusion of this report to compile implications for teaching practice, theory, and further research.