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Performance of value shares in relation to growth shares on the Finnish stock markets for the period 2015–2010
No full textTutkielman tavoitteena on selvittää, onko Helsingin osakemarkkinoilla ollut hyödynnettävissä arvoanomaliaa tarkasteluperiodilla vuosina 2015–2020. Arvoanomalian olemassaolon lisäksi tutkitaan arvo-osakkeiden suoriutumista suhteessa kasvuosakkeisiin. Vastaavia tutkimuksia on tehty aiemminkin Helsingin osakemarkkinoilla, mutta tämän tutkimuksen tavoitteena on saada ajankohtaisempaa tietoa arvo-osakkeiden ja kasvuosakkeiden suoriutumisesta Suomen osakemarkkinoilla.
Tutkimuksen aineistona hyödynnetään OMX-Helsingissä noteerattuja osakkeita, joista on muodostettu tutkimuksessa käytettävät portfoliot hyödyntäen P/B- ja P/E-tunnuslukuja. Portfolioiden menestymistä mitataan kolmella riskikorjatulla suoriutumismittarilla Sharpen indeksillä, Treynorin indeksillä sekä Jensenin alfalla.
Suoriutumismittarit eivät antaneet yksiselitteistä vastausta yksittäisen portfolion paremmasta suoriutumisesta. Kokoanisriskillä mitattuna markkinat suoriutuivat muodostettuja portfolioita paremmin. Puolestaan systemaattisella riskillä sekä Jensenin alfalla mitattuna suurin osa portfolioista suoriutui markkinoita paremmin. Näistä parhaiten suoriutuivat P/B-tunnusluvun kasvuportfolio sekä P/E-tunnusluvun arvoportfolio.The aim of the thesis is to determine whether the Finnish stock markets had an exploitable value anomaly during the period 2015–2020. In addition to the existence of the value anomaly, the performance of value shares relative to the growth shares is examined. Similar studies have been conducted before on the Finnish stock market, but the aim of this study is to obtain more timely information on the performance of value shares and growth shares in the Finnish stock market.
The data for the study utilizes shares listed in OMX-Helsinki. From the data portfolios have been formed utilizing P/B- and P/E-ratios. The success of portfolios is measured using three risk-adjusted performance metrics which are Sharpe’s index, Treynor’s index, and Jensen’s alpha.
Performance metrics did not provide an unequivocal response on better performance in an individual portfolio. Measured by overall risk, the market performed better than the portfolios. In turn, measured by systematic risk, as well as Jensen’s alpha, most portfolios performed better than the market. Among there, the P/B-ratio growth portfolio and the P/E- ratio value portfolio were best performed
Vertaileva analyysi koneoppimisen malleista taloudellisen ahdingon luokittelussa
No full textFinancial distress prediction is a critical area of study within financial risk management, influencing decision-making for various stakeholders, including financial institutions, regulators, investors, and corporate managers. Traditional models, such as logistic regression, have been widely used to assess financial distress, but recent advancements in machine learning offer promising improvements in predictive accuracy and model efficiency.
The research conducted evaluates multiple models, including logistic regression, K-nearest neighbors, decision trees, support vector machines, and neural networks. The results indicate that these models exhibit strong predictive capabilities, with all models achieving an accuracy exceeding 67%. Among the evaluated models, traditional logistic regression performed the weakest, highlighting the limitations of conventional statistical methods in handling complex financial data. KNN, while effective, exhibited marginally lower performance than the decision tree model. Neural networks emerged as the most effective model, achieving the highest accuracy and AUC. This underscores their superior predictive performance in financial distress forecasting. These findings reinforce the practical utility of machine learning in financial risk assessment. While neural networks demonstrate the highest predictive accuracy, their limited explainability raises concerns regarding the transparency of the model's decision-making process. In contrast, decision trees provide clearer reasoning behind predictions, making them valuable for stakeholders requiring transparent decision-making frameworks.Taloudellisen ahdingon ennustaminen on keskeinen tutkimusalue rahoitusriskien hallinnassa, ja se vaikuttaa monien sidosryhmien päätöksentekoon, kuten rahoituslaitosten, sääntelyviranomaisten, sijoittajien ja yritysjohtajien. Perinteisiä malleja, kuten logistista regressiota, on käytetty laajasti taloudellisen ahdingon arvioinnissa, mutta viimeaikaiset koneoppimisen edistysaskeleet tarjoavat lupaavia parannuksia ennustetarkkuudessa ja mallien tehokkuudessa.
Tässä tutkimuksessa arvioitiin useita malleja, mukaan lukien logistinen regressio, KNN, päätöspuut, SVM ja NN. Tulokset osoittavat, että näillä malleilla on vahva ennustekyky, ja kaikki mallit saavuttivat yli 67 %:n tarkkuuden. Arvioiduista malleista perinteinen logistinen regressio suoriutui heikoimmin, mikä korostaa perinteisten tilastollisten menetelmien rajoituksia monimutkaisen taloudellisen datan käsittelyssä. KNN malli oli tehokas, mutta sen suorituskyky jäi hieman päätöspuiden alapuolelle. NN osoittautui tehokkaimmiksi, saavuttaen parhaan tarkkuuden ja AUC:n, mikä korostaa niiden ylivoimaista ennustesuorituskykyä taloudellisen ahdingon ennustamisessa. Nämä havainnot vahvistavat koneoppimisen käytännön hyödyn rahoitusriskien arvioinnissa. Vaikka NN saavuttaa korkeimman ennustetarkkuuden, niiden rajallinen selitettävyys herättää huolta mallin päätöksenteon läpinäkyvyydestä. Sen sijaan päätöspuut tarjoavat selkeät perustelut ennusteilleen, mikä tekee niistä arvokkaita sidosryhmille, jotka tarvitsevat läpinäkyviä päätöksenteon välineitä
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
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