Foreign Ownership of Stocks and Long-Run Interdependence Between National Housing and Stock Markets - Evidence from Finnish Data

Foreign Ownership of Stocks and Long-Run Interdependence Between National Housing and Stock Markets - Evidence from Finnish Data
Author: Elias Oikarinen
Publisher:
Total Pages:
Release: 2015
Genre:
ISBN:
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Globalization of the financial markets may have undermined co-movement between stock and housing markets, at least in small open economies. This paper provides an empirical study on the long-term dynamic interrelation between stock and housing markets in a small open economy with special attention to the effect of foreign investors on the dynamics. The empirical findings, based on a quarterly dataset from Finland over 1970-2006, do not support the hypothesis of diminished co-movement between Finnish stock and housing markets after the abolishment of the foreign ownership restrictions of stocks in 1993. The markets still appear to be tightly interdependent in the long run. Nevertheless, the results suggest that the substantial growth in the foreign ownership of Finnish stocks induced a large and long-lasting deviation from the co-integrating long-run relation between stock and housing prices. The results also imply that diversification between stock and housing markets works the worse the longer the investment horizon is.

A New Value-Weighted Total Return Index for the Finnish Stock Market 1912-1969

A New Value-Weighted Total Return Index for the Finnish Stock Market 1912-1969
Author: Peter M. Nyberg
Publisher:
Total Pages:
Release: 2013
Genre:
ISBN:
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This paper presents a new monthly value-weighted, all-share total return index for the Finnish stock market. The index covers the period from the establishment of the Helsinki Stock Exchange in October 1912 to the beginning of 1970, after which the WI index by Berglund et al. (1983) and later in 1990 the HEX index become available. When combined, they can be used to study continuously the development of the Finnish equity market from the beginning of the stock market until the present day. We also provide a detailed description of the construction methodology and a comparison between our index and those available earlier. The index also replaces the Unitas price index which has been the only index available for long-term studies from 1928 onwards. The new index also provides an alternative to the book equity weighted Poutvaara (1996) price index for the period 1912-1929.

Descriptive Analysis of Finnish Equity, Bond, and Money Markets

Descriptive Analysis of Finnish Equity, Bond, and Money Markets
Author: Peter M. Nyberg
Publisher:
Total Pages: 54
Release: 2011
Genre:
ISBN:
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This paper gathers the longest available historical monthly return series for the Finnish equity, bond, and money markets as well as inflation. The series are analyzed to calculate the statistical characteristics of the returns investors would have received in these markets. We also survey existing literature concerning the history of these markets and review the main developments to facilitate future research on the long-term development of the Finnish markets. Using a new total return stock market index for Finland in an approach similar to Mehra and Prescott (2003), we find the equity premium for Finland to be 10.14 percent from 1913 to 2009.

Trend Following with Managed Futures

Trend Following with Managed Futures
Author: Alex Greyserman
Publisher: John Wiley & Sons
Total Pages: 470
Release: 2014-08-25
Genre: Business & Economics
ISBN: 1118890973
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An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.

Information Efficiency and Anomalies in Asian Equity Markets

Information Efficiency and Anomalies in Asian Equity Markets
Author: Qaiser Munir
Publisher: Routledge
Total Pages: 271
Release: 2016-10-04
Genre: Business & Economics
ISBN: 1317270290
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The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

Security Market Imperfections in Worldwide Equity Markets

Security Market Imperfections in Worldwide Equity Markets
Author: Donald B. Keim
Publisher: Cambridge University Press
Total Pages: 576
Release: 2000-03-13
Genre: Business & Economics
ISBN: 9780521571388
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The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.