Recent Publications in Peer-Refereed International Journals
Kiviaho, Jarno, Jussi Nikkinen, Vanja Piljak and Timo Rothovius (2012). The Co-movement
Dynamics of European Frontier Stock Markets. European Financial Management (forthcoming).
Graham, Michael, Jarno Kiviaho and Jussi Nikkinen (2012). Integration of 22 Emerging
Stock Markets: A Three Dimensional Analysis. Global Finance Journal (forthcoming).
Ittonen K. (2012). Market reactions to qualified audit reports: research approaches. Accounting Research Journal (forthcoming)
Graham, Michael and Jussi Nikkinen (2011). Co-movement of Finnish and International Stock
Markets: A Wavelet Analysis. European Journal of Finance, 17: 15-16, 409-425.
Kotkatvuori-Örnberg, Juha, Jussi Nikkinen and Jarkko Peltomäki (2011). Geographical Focus
in Emerging Markets and Hedge Fund Performance. Emerging Markets Review, 12: 4, 309-320.
Nikkinen, Jussi, Seppo Pynnönen, Mikko Ranta and Sami Vähämaa (2011). Cross-Dynamics of
Exchange Rate Expectations: A Wavelet Analysis. International Journal of Finance &
Economics, 16: 3, 205-217.
S. Vähämaa & J. Äijö (2011). The Fed´s policy decisions and implied volatility. Journal
of Futures Markets, Vol. 31 (forthcoming).
Äijö, J. (2011). Option-implied stock market expectations across the week: New evidence
from the FTSE-100 index options. International Review of Applied Financial Issues and
Economics, (forthcoming).
Ittonen, K., and E. Peni (2011). Auditor's gender and audit fees. International Journal of Auditing (forthcoming)
Booth, G. G., J.-P. Kallunki, P. Sahlström and J. Tyynelä (2011). Foreign Investors and the Post-Announcement Drift. International Journal of Managerial Finance, 7:3, 220-237.
Ittonen K, J. Kurtti, S. Vähämaa (2010). Does female representation on audit committees affect audit fees? Quarterly Journal of Finance and Accounting, 49:3-4
Fraser, D. R., J. W. Kolari, S. Pynnönen, and T. K. Tippens (2010). Market power, bank mergers, and welfare of bank borrowers. Journal of Financial Research (forthcoming)
Kolari, J. and S. Pynnönen (2010). Event study testing with cross-sectional correlation of abnormal returns. Review of Financial Studies (forthcoming)
Tomperi, I. (2010). Performance of Private Equity Real Estate Funds. Journal of European Real Estate Research, 3:2, 96-116. (Awarded the European Real Estate Society's IPD 2009 Prize for the Best Paper on Real Estate Investment.)
Högholm, K., J. Knif and S. Pynnönen (2010). Common local asymmetry and day-of-the-week effects among EU equity markets. Quantitative Finance, 10 (forthcoming).
Nikkinen, J. and S. Vähämaa (2010). Terrorism and stock market sentiment. Financial Review, 45:2, 263-275.
Nikkinen, J., S. Pynnönen, M. Ranta and S. Vähämaa (2010). Cross-dynamics of exchange rate expectations: A wavelet analysis. International Journal of Finance & Economics, 15 (forthcoming).
Peni, E. and S. Vähämaa (2010). Female executives and earnings management. Managerial Finance, 36:7, 629-645.
Ittonen K. (2010). Investor Reactions to Disclosures of Material Internal Control Weaknesses. Managerial Auditing Journal, 25:3, 259-268.
Peltomäki, J. (2010). The Performance of Currency Hedge Funds and the Yen/USD Carry Trade. International Journal of Finance and Economics, (forthcoming).
Peltomäki, J. and E. Peni (2010). Style Rotation and the Performance of Equity Long/Short Hedge Funds. Journal of Derivatives & Hedge Funds, (forthcoming).
Jalonen, E., Vähämaa, S. & Äijö, J. (2010). Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news? Research in International Business and Finance, 24, 75-81.
Krylova, E., J. Nikkinen and S. Vähämaa. (2009). Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options. Journal of Economics and Business, 61, 355-375.
Martikainen, M., J. Nikkinen and S. Vähämaa (2009). Production Functions and Productivity of Family Firms: Evidence from the S&P 500. Quarterly Review of Economics and Finance, 49, 295-307.
Nikkinen, J. and S. Vähämaa (2009). Central Bank Interventions and Implied Exchange Rate Correlations. Journal of Empirical Finance, 16, 862-873.
Nikkinen, J., M. Omran, P. Sahlström and J. Äijö (2009). The Effects of U.S. Macroeconomic News Announcements on Emerging Stock Markets in the Asia-Pacific Region. Asia Pacific Journal of Economics and Business, (forthcoming).
Nikkinen, J., P. Sahlström, K. Takko and J. Äijö (2009). Turn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market. International Journal of Economics and Finance, 1, 3-12.
Peltomäki, J. (2009). Investor Sentiment and Time-Varying Market Risk in Market-Neutral Hedge Funds. Journal of Behavioral Finance, 10:4, 226-233.
Peltomäki, J. and E. Peni (2009). Is There Momentum in Cross-Sectional Anomalies? Journal of Wealth Management, 12:3, 78-88.
Vähämaa, S. (2009). A note on the impact of scheduled macroeconomic news announcements on implied volatility. Applied Economics Letters, 16, 1783-1789.
Knif, J., J. Kolari and S. Pynnönen (2008). Stock market reaction to good and bad inflation news. Journal of Financial Research, 31, 141-166.
Andersson, M., E. Krylova and S. Vähämaa (2008). Why does the correlation between stock and bond returns vary over time? Applied Financial Economics, Vol. 18, No. 2, pp. 139-151.
Nikkinen, J., M. Omran, P. Sahlström and J. Äijö (2008). The Effects of U.S. Macroeconomic News Announcements on Emerging Stock Markets in the Asia-Pacific Region. Asia Pacific Journal of Economics and Business, 12, 3-14.
Nikkinen, J., M. Omran, P. Sahlström and J. Äijo (2008). Stock Returns and Volatility Following the September 11 Attacks: Evidence from 53 Equity Markets. International Review of Financial Analysis, 17:1, 27-46.
Peltomäki, J. (2008). Emerging Market Hedge Funds and the Yen Carry Trade. Emerging Markets Review 9:3, 220-290.
Äijö, J. (2008). Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices. Global Finance Journal.
Äijö, J. (2008). Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 options. International Review of Financial Analysis.
Knif, J. and S. Pynnönen (2007). Volatility driven changes in stock return correlation dynamics. Managerial Finance, 33, 220-235.
Nikkinen, J., P. Sahlström and J. Äijo (2007). Turn-of-the-Month and Intramonth Effects: Explanation from the Important Macroeconomic News Announcements. Journal of Futures Markets, 27:2, 105-126.
Nikkinen, J., P. Sahlström and J. Äijo (2007). Do the US Macroeconomic News Anouncements Explain Turn-of-the-Month and Intramonth Anomalies on European stock markets? Journal of Applied Business and Economics, 7:3, 48-62.
Peltomäki, J. (2007). The Asymmetric Impact on Volatility Risk on Hedge Fund Returns. Journal of Applied Finance 17:1, 88-95.
Pynnönen, S, W. Hogan and J. Batten (2006). Modelling credit spreads on yen Eurobonds within an equilibrium correction framework. Applied Financial Economics, 16, 583-606.
Booth, G.G., J. Junttila, J.-P. Kallunki, M. Rahiala and P. Sahlström (2006). How Does the Financial Environment Affect the Stock Market Valuation of R&D Spending? Journal of Financial Intermediation, 15:2, 197-214.
Jokipii, A. and S. Vähämaa (2006). The free cash flow anomaly revisited: Finnish evidence. Journal of Business Finance & Accounting, Vol. 33, No. 7-8, pp. 961-978.
Kallunki, J.-P., J. Nikkinen, P. Sahlström and K. Wichmann (2006). Should There Exist Secondary Markets for Executive Stock Options? Accounting and Finance, 46:2, 265-283.
Nikkinen, J., P. Sahlström and S. Vähämaa (2006). Implied Volatility Linkages among Major European Currencies. Journal of International Financial Markets, Institutions & Money, 16:2, 87-103.
Nikkinen, J., M. Omran, P. Sahlström and J. Äijö (2006). Worldwide Stock Market Reactions to the Scheduled U.S. Macroeconomic News Announcements. Global Finance Journal, 17:1, 92-104.
Luoma, M., P. Sahlström and R. Ruuhela (2005). An alternative estimation method of the equity risk premium using financial statements and market data. Advances in Accounting.
Nikkinen, J. and P. Sahlström (2005). Risk in Audit Pricing: the Role of Firm-Specific Dimensions of Risk. Advances in International Accounting, 18, 141-152.
Vähämaa, S., S. Watzka, J. Äijö (2005). What moves option-implied bond market expectations? Journal of Futures Markets, Vol. 25, No. 9, pp. 817-843.
Vähämaa, S. (2005). Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB. Journal of Economics and Business, Vol. 57, No. 1, pp. 23-38.
Nikkinen, J. and P. Sahlström (2004). Scheduled Domestic and U.S. Macroeconomic News and Stock Valuation in Europe. Journal of Multinational Financial Management 14:3, 201-215.
Nikkinen, J. and P. Sahlström (2004). Does Agency Theory Provide a General Framework for Audit Pricing? International Journal of Auditing 8: November, 253-262.
Nikkinen, J. and P. Sahlström (2004). International Transmission of Uncertainty Implicit in Stock Index Option Prices. Global Finance Journal 15:1, 1-15.
Nikkinen, J. and P. Sahlström (2004). Impact of an Accounting Environment on Cash Flow Prediction. Journal of International Accounting, Auditing and Taxation, 13:1, 39-52.
Nikkinen, J. and P. Sahlström (2004). Impact of the Federal Open Market Committee's Meetings and Scheduled Macroeconomic News on Stock Market Uncertainty. International Review of Financial Analysis, 13:1, 1-12.
Nikkinen, J. and P. Sahlström (2004). Distributional Properties and Transformation of Financial Ratios: The Impact of Accounting Environment. Advances in International Accounting, 17, 85-101.
Vähämaa, S. (2004). Delta hedging with the smile. Financial Markets and Portfolio Management, Vol. 18, No. 3, pp. 241-255.
Graham, M., J. Nikkinen and P. Sahlström (2003). Relative Importance of Scheduled Macroeconomic News for Stock Market Investors. Journal of Economics and Finance, 27: 2, 153-165.
Nikkinen, J. and P. Sahlström (2003). Do Auditors Assess the Systematic Risk in Their Audit Pricing Decisions? International Evidence. Advances in Accounting, 20, 233-244.
Nikkinen, J. (2003). Impact of Foreign Ownership Restrictions on Stock Return Distributions: Evidence from an Option Market. Journal of Multinational Financial Management, 13:2, 1-19.
Nikkinen, J. (2003). Normality Tests of Option Implied Risk-neutral Densities: Evidence from the Small Finnish Market. International Review of Financial Analysis, 12, 99-116.
Vähämaa, S. (2003). Skewness and kurtosis adjusted Black-Scholes model: A note on hedging performance. Finance Letters, Vol. 1, No. 5, pp. 6-12.
Recent Research Awards and Recognitions
Jarno Kiviaho, Jussi Nikkinen and Michael Graham received the Best Paper Award at the
2011 Global Finance Association Conference for their paper "Integration of 22 Emerging
Stock Markets: A Three Dimensional Analysis".
Sami Vähämaa was awarded the Kiel Institute's 2010 Excellence Award in Global Economic Affairs for his outstanding contributions to financial market research.
Jarkko Peltomäki won the Best Paper Award at the 2009 Annual Global Finance Conference with his paper entitled "Round Return Perversion: Evidence from the Hedge Fund Industry.
Jussi Nikkinen and Sami Vähämaa received the Outstanding Paper Award at the 2006 Annual Meeting of the Southern Finance Association for their paper "Central Bank Interventions and Implied Exchange Rate Correlations.
The Finance and Financial Accounting Research Group was ranked 10th among the European universities and business schools. (Chan, Chen & Steiner (2004). Who is publishing? An analysis of finance research productivity in the European region, Journal of Business Finance and Accounting, 31, 401-437.)
