Mika Vaihekoski

Mika Vaihekoski
University of Turku | UTU · Turku School of Economics

D.Sc.. (Finance)

About

58
Publications
9,451
Reads
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478
Citations
Introduction
I am Professor of Finance at the Turku School of Economics at the University of Turku, Department of Accounting and Finance.
Additional affiliations
January 2009 - August 2012
University of Turku
Position
  • History of Finnish Financial Markets (just one example)
September 2008 - present
University of Turku
Position
  • Professor (Full)
Description
  • During the last 10 years I have taught several master's level course. E.g. LRS31 Asset Pricing and Portfolio Theory, LRS28 Advanced Corporate Finance, and LRS34 Financial Econometrics.
September 2004 - August 2008
Lappeenranta – Lahti University of Technology LUT
Position
  • Professor
Education
August 1995 - June 1999
Hanken School of Economics
Field of study
  • Finance

Publications

Publications (58)
Article
We develop a new approach for testing conditional asset pricing models that avoids the issues in using realized returns as a proxy for expected returns. Testable restrictions are developed by asking what realized returns we would observe, given the pricing model under scrutiny. The new reverse testing approach is used to test the Merton ICAPM and a...
Article
Full-text available
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rate regime. Tests are conducted for a conditional asset pricing model using the Ding and Engle (2001) specification which allows estimation of multivariate GARCH-in mean models. Using a sample peri...
Article
This paper tests the counter-cyclicality of aggregate risk aversion and price of market risk using a novel testing approach introduced in Antell and Vaihekoski (2015) for conditional asset pricing models. Cohen et al. (2015) report experimental evidence that the risk aversion is countercyclical, although empirical support from financial studies is...
Article
We report empirical evidence in line with the disciplining role of different institutional and other owner types in reducing managerial myopia. Using data from a large Nordic survey, we find that companies, to a reasonably high degree, feel that external pressure for a good result in the short-term generates conflict with the company's long-term go...
Article
In this paper we report the results from a survey among all publicly listed Nordic firms on their policy decisions concerning their capital structure. We find that more than 60 percent of the companies have a rather or relatively flexible debt target, whether a strict target or no target, and find support for both firm characteristics as well as be...
Article
Using new monthly series collected together for the first time for Finland, this paper analyses the performance and development of the Finnish equity and money markets as well as the equity premium and inflation from 1912 to 2009. The series are analyzed and compared to similar series from Sweden and USA. Continuously compounded nominal returns in...
Article
This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields and market capitalization values. The series are also...
Article
Traditional tests of conditional asset pricing models are performed under the assumption of rational expectations and presume that the use of realized returns as a proxy for expected returns is acceptable. This paper turns the tables and asks what realized returns we would observe, given the pricing model. Based on this idea, we develop a new appro...
Article
Full-text available
In this paper we report the results from a survey among all publicly listed Nordic firms on their policy decisions concerning their capital structure. We find that more than 60 percent of the companies have rather or relatively flexible debt target, whereas a strict target or no target at all is approximately equally common. We also study the deter...
Article
Full-text available
We study the determinants for the choice of capital budgeting methods and the setting of hurdle rates (WACCs) in five Nordic countries. Combining survey data with a rich set of determinants, including ownership data, CFO characteristics, and financial data, we find that the use of the Net Present Value method and the sophistication of the capital b...
Article
We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the Finnish stock market over the period 1987–2008, we find...
Article
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional international asset pricing model. Using a sample period from 1970...
Article
This paper reviews the first 30 years of finance research and education history in Finland from the publication of the first financial dissertation in 1977. It was also the year when finance was first offered as a major subject in Finland, among the first ones in the Nordic countries. This review shows how Finnish financial education and research h...
Article
We report empirical evidence regarding the disciplining role of different institutional and other owners in reducing managerial myopia. Using data from a large Nordic survey, we find that companies to a reasonably high degree feel that external pressure for a good result in the short-term generates conflict with the company’s long-term goals. We te...
Article
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 analysed 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...
Article
This paper gathers together for the first time the longest available historical monthly return series for the Finnish equity, bond, and money markets as well as inflation. The series are investigated in order to analyze the statistical characteristics of the returns investors would have received in these markets. We also survey the literature conce...
Article
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...
Article
Increased media exposure to layoffs and corporate quarterly financial reporting have created arguable a common perception—especially favored by the media itself—that the companies have been forced to improve their financial performance from quarter to quarter. Academically, the relevant question is whether companies themselves feel that they are ex...
Article
This paper develops a model to explain the wage differential (salary discount) between a person granted with a job without risk of unemployment (lifetime employment; tenure) and another without such guarantee ceteris paribus. The discount and its sensitivity to different key parameters of the model are analyzed. The results show the minimum accepta...
Article
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 another index becomes available. When combined, they can be used to study continuously the development of...
Article
We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the Finnish stock market over the period 1987–2008, we find...
Article
In this paper we study international asset pricing models and the pricing of global and local market risks as well as currency risk in the Russian stock market from an international investors' point of view using weekly data from 1999 to 2009. In our empirical specification, we utilize the multivariate GARCH-M framework of De Santis and Gérard (199...
Article
This study investigates the pricing of liquidity risk in stock market using conditional Asset Pricing Models (APMs). The estimation is conducted in the Generalized Method of Moment (GMM) framework with a price of risk specification. The main interest is to find out whether liquidity is priced as a systematic source of risk or as an asset-specific c...
Article
The risk free rate is one of the most often used data series in empirical tests of financial theories. This paper discusses issues in calculating risk free rates from the money market instruments, especially for tests of asset pricing models and event studies. Special attention is given to situations where the maturity of the money market instrumen...
Article
We study a pricing model for global and local sources of risk in six Eastern European emerging stock markets. Utilizing GMM estimation and an unconditional asset-pricing framework with and without time-varying betas, we perform estimations based on monthly data from 1996 to 2007 for Poland, Czech Republic, Hungary, Bulgaria, Slovenia and Russia. Mo...
Article
Increased media exposure to layoffs and corporate quarterly financial reporting have created arguable a common perception--especially favored by the media itself--that the companies have been forced to improve their financial performance from quarter to quarter. Academically, the relevant question is whether companies themselves feel that they are...
Article
Full-text available
Several papers report evidence on corporate short-term value maximization e.g. in the form of earnings management, or reluctance to undertake profitable investments, if such investments hurt the result in the short run. We provide new evidence on who causes such short-term behavior and what kind of effect is has on companies. We find significant di...
Article
One measure of the health of the Social Security system is the difference between the market value of the trust fund and the present value of benefits accrued to date. How should present values be computed for this calculation in light of future uncertainties? We think it is important to use market value. Since claims on accrued benefits are not cu...
Article
"Corporate real estate disposals have increased in Europe during the past few years. In this research paper, we study market reactions of publicly traded European companies' real estate sale and leaseback announcements during 1998-2004. This study is one of the first ones to study the sale and leaseback impact on corporate value with a pan-European...
Article
In this paper we investigate whether global, local and currency risks are priced in two Nordic stock markets using conditional international asset pricing models. We take the view of US investors. The estimation is conducted using a modified version of the multivariate GARCH framework of De Santis and Gérard (1998). For a sample period from 1970 to...
Article
This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., Gérard, B., 1998, How big is the premium for currency risk? J...
Article
Increased media exposure to layoffs and corporate quarterly financial reporting have created arguable a common perception – especially favored by the media itself – that the companies have been forced to improve their financial performance from quarter to quarter. Academically the relevant question is whether the companies themselves feel that they...
Article
In this paper we investigate whether global, local and currency risks are priced in the Finnish stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH framework of [De Santis, G., Gérard, B., 1998. How big is the premium for...
Article
Full-text available
The US economy is arguably following an unsustainable trajectory. The main indicators of this are a large current account deficit, a large federal budget deficit and trend-wise increasing costs of Social Security and Medicare. In this chapter, we will discuss these observations and to what extent the financial and economic crisis may have changed t...
Article
Using conditional international asset pricing models, this paper investigates whether global market and currency risks are priced in the Finnish stock market. We take the view of Finnish investors and study the pricing of the market portfolio and industry portfolios using monthly data from 1987 to 2000. The results give strong support for the prici...
Article
This paper investigates the justifiable salary discount for employees granted with tenure (lifetime employment) when compared to their colleagues working in the private sector without similar employment guarantees. Using the model developed in this paper, we analyze how different parameters affect the discount. The model can be easily applied to st...
Article
Using the model by Vaihekoski (2005), this paper investigates whether professors are over- or underpaid. Empirical analysis is performed using tenured Finnish professors' salary data against the salary and unemployment data for comparable peer employee groups. The results suggest among other things that professors' salaries should vary according to...
Article
Portfolios are commonly used in finance literature to study asset-pricing models. In business practice portfolios are used to detect abnormal performance in certain asset groups or to construct reference assets. However, analyses on practical issues related to portfolio construction are surprisingly few. This paper presents and discusses issues rel...
Article
Full-text available
Financial literature and professors advocate the use of the Net Present Value method for the evaluation of investments. Its key parameter is the required rate of return on equity, which is to be calculated using the Capital Asset Pricing Model or a similar model especially if the company is publicly listed. However, there is ample evidence on compa...
Article
The paper explores issues related to time-varying global equity market integration from a Finnish perspective. Finland is an interesting market since profound economic changes and financial deregulation have taken place since the mid-1980s. Using Finnish firm size ranked portfolios and a conditional four-factor asset pricing model, several restrict...
Article
Portfolios are commonly used in finance literature to study asset pricing models. In business practice portfolios are often used to detect abnormal performance or to construct reference assets. However, analysis on practical issues related to return measurement and portfolio construction is surprisingly scarce, especially on smaller and/or emerging...
Article
Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing m...
Article
Single and multifactor unconditional international asset pricing models are tested for the real and excess returns on Finnish size and industry portfolios using the traditional alpha intercept tests. The results support the efficiency of the global equity market portfolio, although the explanative power of the model remains low. The results also gi...
Thesis
Diss. -- Helsingfors -- Svenska handelshögskolan.
Article
The predictability of Finnish stock returns is studied using the framework of Ferson and Harvey (1993). We employ a conditional asset pricing model where risk premia and risk sensitivities are conditioned on a range of financial information variables. In particular, we study the effect of the return interval on the predictability of short-term stoc...
Article
Using the model by Vaihekoski (2005), this paper investigates whether professors are over-or underpaid. Empirical analysis is performed using tenured Finnish professors' salary data against the salary and unemployment data for comparable peer employee groups. The results suggest among other things that professors' salaries should vary according to...

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Projects

Project (1)
Project
Collect financial data and analyze the history of Finnish financial markets from the beginning of the 20th century forward.