The effects Ishares IBovespa index fund creation on the liquidity of underlying stocks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.

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.

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.

Aktiivisten ja passiivisten osakerahastojen suoriutuminen Suomen ja Euroopan markkinoilla

The performance of active and passive fund management has been extensively studied especially in the US. This thesis is focused on the performance of active and passive fund management in the Finnish and European stock markets during a five-year time span from 3/2011 to 3/2016. The aim of this study is to find out which strategy will result in better returns for the small-scale investor. The thesis questions also which strategy leads to a better profit-risk rate and how well the fund managers perform in creating added value. The data of the study consists of 44 active Finnish funds and two passive exchange traded funds available for Finnish investors. Indexes of both Finnish and European markets and a risk-free rate are used to support the analysis. The data for the thesis is collected from the DataStream database. Performance indicators that are used in the study are: return, volatility, Sharpe ratio and Jensen’s alpha. Based on the results of this study it can be concluded that in the Finnish stock market the passive strategy yielded a little better profits than the average of active funds. In the European stock market, the profits for the passive fund were significantly better than the average of active funds. Considering the profit-risk rate, neither strategy out- performed. The results of this thesis are in line with the previous studies, that encourage to favor the passive strategy.

Body mass index and risk of head and neck cancer in a pooled analysis of case-control studies in the International Head and Neck Cancer Epidemiology (INHANCE) Consortium

Methods We pooled data from 17 case-control studies including 12 716 cases and the 17 438 controls. Odds ratios (ORs) and 95% confidence intervals (CIs) were estimated for associations between body mass index (BMI) at different ages and HNC risk, adjusted for age, sex, centre, race, education, tobacco smoking and alcohol consumption. Results Adjusted ORs (95% CIs) were elevated for people with BMI at reference (date of diagnosis for cases and date of selection for controls) < 18.5 kg/m(2) (2.13, 1.75-2.58) and reduced for BMI > 25.0-30.0 kg/m(2) (0.52, 0.44-0.60) and BMI >= 30 kg/m(2) (0.43, 0.33-0.57), compared with BMI > 18.5-25.0 kg/m(2). These associations did not differ by age, sex, tumour site or control source. Although the increased risk among people with BMI < 18.5 kg/m(2) was not modified by tobacco smoking or alcohol drinking, the inverse association for people with BMI > 25 kg/m(2) was present only in smokers and drinkers. Conclusions In our large pooled analysis, leanness was associated with increased HNC risk regardless of smoking and drinking status, although reverse causality cannot be excluded. The reduced risk among overweight or obese people may indicate body size is a modifier of the risk associated with smoking and drinking. Further clarification may be provided by analyses of prospective cohort and mechanistic studies.

Estimation of body fatness from body mass index and bioelectrical impedance: comparison of New Zealand European, Maori and Pacific Island children

Objective: To compare percentage body fat (%BF) for a given body mass index (BMI) among New Zealand European, Maori and Pacific Island children. To develop prediction equations based on bioimpedance measurements for the estimation of fat-free mass (FFM) appropriate to children in these three ethnic groups. Design: Cross-sectional study. Purposive sampling of schoolchildren aimed at recruiting three children of each sex and ethnicity for each year of age. Double cross-validation of FFM prediction equations developed by multiple regression. Setting: Local schools in Auckland. Subjects: Healthy European, Maori and Pacific Island children (n = 172, 83 M, 89 F, mean age 9.4 +/- 2.8(s. d.), range 5 - 14 y). Measurements: Height, weight, age, sex and ethnicity were recorded. FFM was derived from measurements of total body water by deuterium dilution and resistance and reactance were measured by bioimpedance analysis. Results: For fixed BMI, the Maori and Pacific Island girls averaged 3.7% lower % BF than European girls. For boys a similar relation was not found since BMI did not significantly influence % BF of European boys ( P = 0.18). Based on bioimpedance measurements a single prediction equation was developed for all children: FFM (kg) = 0.622 height (cm)(2)/ resistance +0.234 weight (kg)+1.166, R-2 = 0.96, s. e. e. = 2.44 kg. Ethnicity, age and sex were not significant predictors. Conclusions: A robust equation for estimation of FFM in New Zealand European, Maori and Pacific Island children in the 5 - 14 y age range that is more suitable than BMI for the determination of body fatness in field studies has been developed. Sponsorship: Maurice and Phyllis Paykel Trust, Auckland University of Technology Contestable Grants Fund and the Ministry of Health.

Indexing and active fund management: International evidence

Author's pre-print

The association of education with body mass index and waist circumference in the EPIC-PANACEA study

Background To examine the association of education with body mass index (BMI) and waist circumference (WC) in the European Prospective Investigation into Cancer and Nutrition (EPIC). Method This study included 141,230 male and 336,637 female EPIC-participants, who were recruited between 1992 and 2000. Education, which was assessed by questionnaire, was classified into four categories; BMI and WC, measured by trained personnel in most participating centers, were modeled as continuous dependent variables. Associations were estimated using multilevel mixed effects linear regression models. Results Compared with the lowest education level, BMI and WC were significantly lower for all three higher education categories, which was consistent for all countries. Women with university degree had a 2.1 kg/m2 lower BMI compared with women with lowest education level. For men, a statistically significant, but less pronounced difference was observed (1.3 kg/m2). The association between WC and education level was also of greater magnitude for women: compared with the lowest education level, average WC of women was lower by 5.2 cm for women in the highest category. For men the difference was 2.9 cm. Conclusion In this European cohort, there is an inverse association between higher BMI as well as higher WC and lower education level. Public Health Programs that aim to reduce overweight and obesity should primarily focus on the lower educated population.

Pattern of recurrence of early breast cancer is different according to intrinsic subtype and proliferation index.

INTRODUCTION Recurrence risk in breast cancer varies throughout the follow-up time. We examined if these changes are related to the level of expression of the proliferation pathway and intrinsic subtypes. METHODS Expression of estrogen and progesterone receptor, Ki-67, human epidermal growth factor receptor 2 (HER2), epidermal growth factor receptor (EGFR) and cytokeratin 5/6 (CK 5/6) was performed on tissue-microarrays constructed from a large and uniformly managed series of early breast cancer patients (N = 1,249). Subtype definitions by four biomarkers were as follows: luminal A (ER + and/or PR+, HER2-, Ki-67 <14), luminal B (ER + and/or PR+, HER2-, Ki-67 ≥14), HER2-enriched (any ER, any PR, HER2+, any Ki-67), triple-negative (ER-, PR-, HER2-, any Ki-67). Subtype definitions by six biomarkers were as follows: luminal A (ER + and/or PR+, HER2-, Ki-67 <14, any CK 5/6, any EGFR), luminal B (ER + and/or PR+, HER2-, Ki-67 ≥14, any CK 5/6, any EGFR), HER2-enriched (ER-, PR-, HER2+, any Ki-67, any CK 5/6, any EGFR), Luminal-HER2 (ER + and/or PR+, HER2+, any Ki-67, any CK 5/6, any EGFR), Basal-like (ER-, PR-, HER2-, any Ki-67, CK5/6+ and/or EGFR+), triple-negative nonbasal (ER-, PR-, HER2-, any Ki-67, CK 5/6-, EGFR-). Each four- or six-marker defined intrinsic subtype was divided in two groups, with Ki-67 <14% or with Ki-67 ≥14%. Recurrence hazard rate function was determined for each intrinsic subtype as a whole and according to Ki-67 value. RESULTS Luminal A displayed a slow risk increase, reaching its maximum after three years and then remained steady. Luminal B presented most of its relapses during the first five years. HER2-enriched tumors show a peak of recurrence nearly twenty months post-surgery, with a greater risk in Ki-67 ≥14%. However a second peak occurred at 72 months but the risk magnitude was greater in Ki-67 <14%. Triple negative tumors with low proliferation rate display a smooth risk curve, but with Ki-67 ≥14% show sharp peak at nearly 18 months. CONCLUSIONS Each intrinsic subtype has a particular pattern of relapses over time which change depending on the level of activation of the proliferation pathway assessed by Ki-67. These findings could have clinical implications both on adjuvant treatment trial design and on the recommendations concerning the surveillance of patients.

Is it possible to utilize VIX for a profitable trading strategy of S&P 500 Index?

The goal of this research was to make an overall sight to VIX® and how it can be used as a stock market indicator. Volatility index often referred as the fear index, measures how much it costs for investor to protect his/her S&P 500 position from fluctuations with options. Over the relatively short history of VIX it has been a successful timing coordinator and it has given incremental information about the market state adding its own psychological view of the amount of fear and greed. Correctly utilized VIX information gives a considerable advantage in timing market actions. In this paper we test how VIX works as a leading indicator of broad stock market index such as S&P 500 (SPX). The purpose of this paper is to find a working way to interpret VIX. The various tests are made on time series data ranging from the year 1990 to the year 2010. The 10-day simple moving average strategy gave significant profits from the whole time when VIX data is available. Strategy was able to utilize the increases of SPX in example portfolio value and was able to step aside when SPX was declining. At the times when portfolio was aside of S it was on safety fund like on treasury bills getting an annual yield of 3 percent. On the other side just a static number’s of VIX did not work as indicators in a profit making way.

Birth weight, current body mass index, and insulin sensitivity and secretion in young adults in two Latin American populations

Background and aims: Although studies have shown association of birth weight (BW) and adult body mass index (BMI) with insulin sensitivity in adults, there is limited evidence that BW is associated with insulin secretion. We assessed the associations between BW and current BMI with insulin sensitivity and secretion in young Latin American adults. Methods and results: Two birth cohorts, one from Ribeirao Preto, Brazil, based on 1984 participants aged 23-25 years, and another from Limache, Chile, based on 965 participants aged 22-28 years were studied. Weight and height at birth, and current fasting plasma glucose and insulin levels were measured. Insulin sensitivity (HOMA%S) and secretion (HOMA%beta) were estimated using the Homeostatic Model Assessment (HOMA2). Multiple linear regression analyses were carried out to test the associations between BW and adult BMI z-scores on log HOMA%S and log HOMA%beta. BW z-score was associated with HOMA%S in the two populations and HOMA%beta in Ribeirao Preto when adult BMI z-score was included in the model. BW z-score was associated with decreasing insulin secretion even without adjusting for adult BMI, but only in Ribeirao Preto. BMI z-score was associated with low HOMA%S and high HOMA%beta. No interactions between BW and BMI z-scores on insulin sensitivity were shown. Conclusions: This study supports the finding that BW may affect insulin sensitivity and secretion in young adults. The effect size of BW on insulin status is small in comparison to current BMI. (C) 2010 Elsevier B.V. All rights reserved.