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  • 1. Aalto, A
    et al.
    Nikkinen, J
    Peltomäki, Jarkko
    Vähämaa, S
    Profitability and Diversification Benefits of Momentum Strategies on Commodity Index Futures2011In: International Journal of Accounting and Finance, ISSN 1752-8232, Vol. 3, no 1, p. 21-32Article in journal (Refereed)
  • 2.
    Brunzell, Tor
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Ownership as a Determinant of Chairperson Activity: a Study of Nordic Listed Companies2015In: Qualitative Research in Financial Markets, ISSN 1755-4179, E-ISSN 1755-4187, Vol. 7, no 4, p. 412-428Article in journal (Refereed)
  • 3. Davydov, Denis
    et al.
    Florestedt, Otto
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Schön, Marcus
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Portfolio performance across genders and generations: The role of financial innovation2017In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 50, p. 44-51Article in journal (Refereed)
    Abstract [en]

    Using a unique dataset on the trading transaction records of private investors from Sweden, we explore the role of gender and age in the use of Exchange Traded Products (ETPs), considered to be innovative investment products, with respect to implications for portfolio performance. We show evidence that investors perform better when trading and investing in mutual funds, but younger investors may be relatively more skillful users of ETPs. We also find that older men and women trade more actively, although they also show a better investment performance, and we emphasize that age and gender are very different demographic determinants of investor behavior and performance.

  • 4.
    Graham, Michael
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Piljak, Vanja
    Global economic activity as an explicator of emerging market equity returns2016In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 36, p. 424-435Article in journal (Refereed)
    Abstract [en]

    This paper evaluates whether global economic activity, measured by the maritime index and commodity index, is a distinct common factor in explaining equity returns in emerging markets. We document two important features of global equity markets that show that emerging market equities are a segregated part of the global stock market. First, our results show that increases in global economic activity are associated with higher emerging market equity returns. Second, companies in developed markets that have a significant exposure in emerging markets have incremental exposure to commodity returns. By allocating more capital to emerging market equities, an investor increases portfolio exposure to changes in global economic activity.

  • 5.
    Graham, Michael
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Sturludottir, Hildur
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Do capital controls affect stock market efficiency? Lessons from Iceland2015In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 41, p. 82-88Article in journal (Refereed)
    Abstract [en]

    This paper presents analysis of market efficiency on stock index returns of five countries; Iceland, Denmark, Finland, Norway and Sweden over different periods of market liberalization and capital controls in Iceland. Although financial liberalization is often related to increased stock market efficiency, the results of this study suggest that the Icelandic stock market was relatively more efficient during periods of capital controls relative to periods of free capital flows. This evidence suggests that financial market liberalization does not necessarily lead to a more efficient stock market, at least in a small country. Comparing the efficiency of the Icelandic stock market to four other Nordicmarkets (Denmark, Finland, Norway, Sweden), our results show the Icelandic and Finnish stock markets to be the least weak-form efficient.

  • 6.
    Hasselgren, Anton
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Speculator Activity and Cross-Asset Predictability of FX Returns2018Conference paper (Refereed)
    Abstract [en]

    The gradual information diffusion hypothesis (GIDH) suggests that information flows slowly across investors and asset markets and thus generates return predictability. We examine cross-asset return predictability of FX market strategies. Apply the GIDH to empirically investigate the role of speculator activity in cross-asset return predictability of FX market strategies. We hypothesize that when speculators in the FX market are active, the speed of information diffusion into the market increases which, invariably, weaken predictability between the equity and commodity market and FX strategies. Our reported results, which provide strong support for this view, show that when speculators are active in the FX market, predictability from the equity market dissipates and predictability from the commodity market diminishes. Our findings suggest that speculators play a vital role in enhancing informational efficiency in the FX market.

  • 7. Klemola, Antti
    et al.
    Nikkinen, Jussi
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Changes in Investors' Market Attention and Near-Term Stock Market Returns2016In: The journal of behavorial finance, ISSN 1542-7560, E-ISSN 1542-7579, Vol. 17, no 1, p. 18-30Article in journal (Refereed)
    Abstract [en]

    We use Google Search volume to track changes investors’ positive and negative market attention. Our results support the hypothesis that this information reflects investors’ optimistic and pessimistic anticipation and can be used to predict near-term future returns. We find that changes in negative search term volume of “market crash” and “bear market” and changes in positive search term volume “market rally” explain near-term stock returns. Changes in investors’ attention are partly related to past stock market returns implying that investors are prone to pay attention to possible price reversals. These measures of market attention are potential gauges of investor sentiment.

  • 8. Kotkatvuori-Örnberg, J
    et al.
    Nikkinen, J
    Peltomäki, Jarkko
    Geographical Focus in Emerging Markets and Hedge Fund Performance2011In: Emerging Markets Review, ISSN 1566-0141, E-ISSN 1873-6173, Vol. 12, no 4, p. 309-320Article in journal (Refereed)
  • 9. Lundström, Christian
    et al.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Beyond Trends: The Reconcilability of Short-Term CTA Strategies with Risk Shocks2016In: The Journal of Alternative Investments, ISSN 1520-3255, E-ISSN 2168-8435, Vol. 18, no 3, p. 74-83Article in journal (Refereed)
    Abstract [en]

    In this paper, we argue that the value addition from investing in short-term futures trading strategies is their reconcilability with unanticipated risk shocks. We perform empirical analysis on short-term and long-term CTA, i.e., trend-following, strategies and find that the exclusive characteristic of short-term CTAs is their significant and consistent long position in unanticipated risk shocks. Unlike long-term CTA strategies, their exposure to these risk shocks is prevalent in different states of the risk cycle. Our findings imply that short-term futures trading strategies can offer considerable diversification opportunities for investors during equity market crisis situations.

  • 10.
    Peltomaki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Aijo, Janne
    Cross-sectional anomalies and volatility risk in different economic and market cycles2015In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 12, p. 17-22Article in journal (Refereed)
    Abstract [en]

    This study examines the exposures of cross-sectional anomalies to volatility risk in different economic and market cycles. The study shows that cross-sectional anomalies exposures can change dramatically. Most notably, the exposure of the value factor to volatility risk changed completely from positive to negative during the financial crisis of 2007-2009, while the returns to the momentum strategy are positively associated with the volatility risk only during crises and market rebound periods, otherwise negative. The findings imply that the value premium is partly in compensation for risk and that the momentum strategy may be a more defensive strategy during crisis.

  • 11.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Beta as a determinant of investor activity in sector exchange-traded funds2017In: Quarterly Review of Economics and Finance, ISSN 1062-9769, E-ISSN 1878-4259, Vol. 65, p. 137-145Article in journal (Refereed)
    Abstract [en]

    This study investigates the role of beta along with an extended set of risk characteristics as determinants of ETF flow and ETF trading in sector exchange-traded funds (ETFs). The results reveal that the relation between beta and ETF trading (ETF flow) is decreasing (increasing) and U-shaped (inverse U-shaped). These findings imply, in line with the documented low-risk anomaly, that investors may perceive low-beta ETFs as less desirable alternatives than high-beta ETFs. The shape of the relation between beta and investor activity indicates that it is more important for investors to avoid low beta than to achieve high beta.

  • 12.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Does diversity of derivatives use affect fund performance?: Evidence from hedge funds and funds of hedge funds2013In: Managerial Finance, ISSN 0307-4358, E-ISSN 1758-7743, Vol. 39, no 8, p. 756-786Article in journal (Refereed)
    Abstract [en]

    Purpose – The purpose of this study is to investigate the benefits of using a more diverse derivative strategy of a fund in relation to their performance and risk characteristics.

    Design/methodology/approach – In this study, samples of 3,382 individual hedge funds and 761 funds of hedge funds are used to analyse risk in derivative strategies.

    Findings – The results of the study are consistent with the hypotheses that the diversity of derivatives strategy can be related to increased probability of suffering large losses and weaker performance. These awkward characteristics related to the diversity are particularly apparent for the fixed-income arbitrage strategy. Funds of hedge funds differ from hedge funds as they are more likely to use derivatives for risk management.

    Originality/value – This study presents new evidence on the relation between derivative use and fund performance. In this study, a new measure of the diversity of a derivative strategy is considered, which is the number of derivatives used by a fund.

  • 13. Peltomäki, Jarkko
    Emerging Market Hedge Funds and the Yen Carry Trade2008In: Emerging Markets Review, ISSN 1566-0141, E-ISSN 1873-6173, Vol. 9, no 3, p. 220-290Article in journal (Refereed)
  • 14.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Investment Styles and the Multifactor Analysis of Market Timing Skill2017In: International Journal of Managerial Finance, ISSN 1743-9132, E-ISSN 1758-6569, Vol. 13, no 1, p. 21-35Article in journal (Refereed)
    Abstract [en]

    The purpose of the study is to present and demonstrate how the use of a multifactor model in the analysis of market timing skill can be misleading because the use of a multifactor model does not suit all investment styles equally well. If the factors of the analysis model do not span the portfolio holdings of a fund with less conventional investment strategy, the use of a multifactor model may even be detrimental to the overall inference in measuring the market timing skill of a large sample of funds.

  • 15. Peltomäki, Jarkko
    Investor Sentiment and Time-Varying Market Risk in Market-Neutral Hedge Funds2009In: Journal of Behavioral Finance, Vol. 10, no 4, p. 226-233Article in journal (Refereed)
  • 16. Peltomäki, Jarkko
    Nonlinear Exposures of Fundamental Index Returns2010In: Journal of Wealth Management, ISSN 1520-4154, Vol. 13, no 3, p. 96-106Article in journal (Refereed)
  • 17. Peltomäki, Jarkko
    On Derivatives Use by Equity Specialized Hedge Funds2011In: Journal of Derivatives & Hedge Funds, Vol. 17, no 1, p. 42-62Article in journal (Refereed)
  • 18. Peltomäki, Jarkko
    The Asymmetric Impact on Volatility Risk on Hedge Fund Returns2007In: Journal of Applied Finance, ISSN 1534-6668, Vol. 17, no 1, p. 88-95Article in journal (Refereed)
  • 19. Peltomäki, Jarkko
    The Performance of Currency Hedge Funds and the Yen/USD Carry Trade2011In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 16, no 2, p. 103-113Article in journal (Refereed)
    Abstract [en]

    Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also, the results implicate that the exposure of hedge funds to the carry trade returns may be conditional on the implied volatility of the yen/USD exchange rate. And changes in this implied volatility have statistically significant impact on the returns of hedge funds.

  • 20.
    Peltomäki, Jarkko
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    The relation between manager description and fund performance Evidence from emerging market hedge funds2014In: Journal of Derivatives & Hedge Funds, ISSN 1753-9641, Vol. 20, no 1, p. 52-70Article in journal (Refereed)
    Abstract [en]

    In this study, it is examined whether the manager description of a fund is related to its performance. It is hypothesized that the length of the manager description can be an indicator of both manager quality and overconfidence. Overall, the results of the study suggest that the manager description is related to fund performance when the performance is measured using the Sharpe ratio. In addition, the results reveal that past performance in particular explains the length of the manager description. This finding implies that fund managers attribute their performance to themselves making the manager description a potential indicator of overconfidence. However, when the alpha, which is a performance measure for a well-diversified fund investor, is used instead of the Sharpe ratio, the results suggest that it is rather the length of the strategy description that is an indicator of good fund performance.

  • 21.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    Graham, Michael
    Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
    On the importance of trend gaps in assessing equity market correlations2014In: Emerging markets and the global economy / [ed] Mohamed El Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen, Amsterdam: Elsevier, 2014, p. 583-601Chapter in book (Refereed)
  • 22.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Alagidede, Paul
    Commodity-driven integration of stock markets in Africa2017In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 24, no 11, p. 784-789Article in journal (Refereed)
    Abstract [en]

    This article examines stock market integration for commodity-dependent African countries. The analysis is carried out in two phases - first we adjust the respective national equity returns for changes in commodity prices and examine integration in the context of commodity-adjusted stock returns, and second we focus on integration associated with changes in commodity prices in a novel modelling framework. The results for this unexamined area of research are interesting: (a) African stock markets are not driven by more than one common component and (b) commodity-adjusted integration is significantly lower than nonadjusted integration. We discuss the implications of the results for index construction, modelling and diversification in the conclusions.

  • 23.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Investor attention to market categories and market volatility: The case of emerging markets2018In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 44, p. 532-546Article in journal (Refereed)
    Abstract [en]

    This paper examines the impact of investor attention on stock market and FX market volatility in emerging economies using newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature of investor attention to market categories. We find that investor attention explains stock market volatility and shocks to attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to investor attention.

  • 24.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Graham, Michael
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Hasselgren, Anton
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Using CO2 Emission Allowances in Equity Portfolios2015In: Handbook of Environmental and Sustainable Finance / [ed] Vikash Ramiah & Greg N. Gregoriou, Amsterdam: Academic Press, 2015, 1Chapter in book (Refereed)
    Abstract [en]

    In this chapter, we show that while the carbon emission allowances futures market, which is still emerging, has gained relative little popularity among investors it can present attractive diversification opportunities for investors. Our findings show that the exposure of these futures returns to equity returns as well as the value factor is low but increases with stock market stress. As our further analysis suggests that investors can also profit from negative convenience yield in carbon emission futures by taking short positions in them, the strategy can be an attractive addition to equity portfolios.  We note that potential reasons for the lack of popularity are poor liquidity, lack of investors’ attention to the investments, investment ambiguity, and investment constraints. Nevertheless, carbon emission allowances and environmental investments of its kind can be important portfolio diversifiers in future.

  • 25. Peltomäki, Jarkko
    et al.
    Peni, E
    Is There Momentum in Cross-Sectional Anomalies?2009In: Journal of Wealth Management, ISSN 1520-4154, Vol. 12, no 3, p. 78-88Article in journal (Refereed)
  • 26. Peltomäki, Jarkko
    et al.
    Peni, E
    Style Rotation and the Performance of Equity Long/Short Hedge Funds2010In: Journal of Derivatives & Hedge Funds, Vol. 16, no 3, p. 162-175Article in journal (Refereed)
  • 27.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, School of Business.
    Peni, Emilia
    University of Vaasa.
    The integration of national bank stock indexes across Europe.2011In: Proceedings of the 2011 Annual Meeting of the Southern Finance Association and the 18th Annual Global Finance Conference., 2011Conference paper (Refereed)
  • 28.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Vähämaa, Emilia
    Friday the Thirteenth and Stock Index Returns2014In: Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen / [ed] Johan Knif, Bernd Pape, Vaasa: University of Vaasa , 2014, p. 393-408Chapter in book (Other academic)
  • 29.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Vähämaa, Emilia
    Investor attention to the Eurozone crisis and herding effects in national bank stock indexes2015In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 14, p. 111-116Article in journal (Refereed)
    Abstract [en]

    In this study, we investigate the relation between investor attention to the Eurozone crisis and herding effects in national bank stock indexes across Europe. We especially focus on two different groups of European countries: non-EMU member countries and EMU member countries. Our results suggest that an increased investor attention to the Eurozone crisis decreased herding effects in the EMU region in the following week, but the effect was temporary as the effect became the opposite with a two-week lag. Herding effects in the EMU region affected herding effects in the non-EMU region, but not vice versa.

  • 30.
    Peltomäki, Jarkko
    et al.
    Stockholm University, Faculty of Social Sciences, Stockholm Business School.
    Äijö, Janne
    Where Is the “Meat” in Smart Beta Strategies?2017In: Journal of Wealth Management, ISSN 1520-4154, Vol. 20, no 3, p. 24-32Article in journal (Refereed)
    Abstract [en]

    In this study, the authors use principal component analysis (PCA) to address the relevance and style mix of four common smart beta strategy indexes: minimum volatility, momentum, fundamental value, and equal weight. They discover that the major proportion of equity smart beta beyond a market-cap-weighted index originates from the momentum smart beta strategy, while, for example, the value smart beta strategy has little relevance. The authors’ results show that returns to different smart beta strategies are partly driven by the same factor exposures related to multifactor models of asset pricing.

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