References of "Suominen, Matti 50009121"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailHow some bankers made a million by trading just two securities?
Rinne, Kalle UL; Suominen, Matti UL

in Journal of Empirical Finance (in press)

We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for ... [more ▼]

We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for transaction costs. The strategy also generates positive alpha when controlling for the standard risk factors. Second, using transaction level data from Finland, focusing on a popular pair, we provide evidence that these kinds of pair trading returns are compensation from providing liquidity. On the days when the expected returns to our pair trading strategy are the highest, the trading volume is abnormally high and, judging from active brokers’ net trades, nearly 45% of all brokers (or their customers) engage in pair trading in accordance with our trading strategy. These brokers are mainly counterparties to few brokers that trade large quantities of stocks inconsistent with our strategy. [less ▲]

Detailed reference viewed: 144 (16 UL)
Full Text
Peer Reviewed
See detailHedge Funds and Stock Market Efficiency
Suominen, Matti UL; Kokkonen, Joni

in Management Science (2015)

Detailed reference viewed: 173 (7 UL)
Peer Reviewed
See detailMutual Funds' Returns from Providing Liquidity and Costs of Immediacy
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2014, October)

Detailed reference viewed: 26 (3 UL)
Full Text
Peer Reviewed
See detailDo Hedge Funds Supply or Demand Liquidity?
Jylhä, Petri; Rinne, Kalle UL; Suominen, Matti UL

in Review of Finance (2014), 18(4), 1259-1298

Regressing hedge funds’ returns on returns to a long–short contrarian trading strategy, a measure of the returns from providing liquidity, we find that hedge funds typically supply liquidity in the stock ... [more ▼]

Regressing hedge funds’ returns on returns to a long–short contrarian trading strategy, a measure of the returns from providing liquidity, we find that hedge funds typically supply liquidity in the stock market. In the cross-section, strict redemption restrictions and large fund size increase funds’ propensity to supply liquidity. In time series, poor market liquidity and good funding conditions increase funds’ propensity to supply liquidity. Although the hedge funds typically supply liquidity, during crises they demand liquidity. We also find that increases in the amount of speculative capital improve market liquidity and reduce the amount of short-term return reversals and volatility. [less ▲]

Detailed reference viewed: 133 (14 UL)
Peer Reviewed
See detailMutual funds' returns from providing liquidity and costs of immediacy
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2014, May)

Detailed reference viewed: 11 (3 UL)
Full Text
See detailMutual Funds’ Returns from Providing Liquidity and Costs of Immediacy
Rinne, Kalle UL; Suominen, Matti UL

E-print/Working paper (2014)

We present evidence that some mutual funds systematically act as contrarian traders, and earn returns in the stock market by providing liquidity to investors that demand immediacy, while others ... [more ▼]

We present evidence that some mutual funds systematically act as contrarian traders, and earn returns in the stock market by providing liquidity to investors that demand immediacy, while others systematically realize costs of immediacy. On average, the mutual funds’ costs of immediacy exceed their returns from providing liquidity. The funds with outflows, flows that correlate with industry flows, high market beta funds, and funds highly exposed to the momentum strategy suffer the most in costs of immediacy. The mutual funds’ average underperformance can be explained with their costs of immediacy. Finally, the funds’ historical costs of immediacy predict their alphas. [less ▲]

Detailed reference viewed: 24 (3 UL)
Full Text
Peer Reviewed
See detailCorporate Governance, Finance, and the Real Sector
Suominen, Matti UL; Fulghieri, Paolo

in JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2013), 47

Detailed reference viewed: 93 (5 UL)
Peer Reviewed
See detailDo Mutual Funds Supply or Demand Immediacy?
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2013)

Detailed reference viewed: 66 (5 UL)
Peer Reviewed
See detailDo Mutual Funds Supply or Demand Immediacy?
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2013)

Detailed reference viewed: 68 (9 UL)
Full Text
Peer Reviewed
See detailCurrency Carry Trades and Funding Risk
Ferreira Filipe, Sara UL; Suominen, Matti UL

E-print/Working paper (2013)

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the main funding currency country. We show that the measures of funding risk in Japan can ... [more ▼]

In this paper, we measure currency carry trade funding risk using stock market volatility and crash risk in Japan, the main funding currency country. We show that the measures of funding risk in Japan can explain 42% of the monthly currency carry trade returns during our sample period, 2000-2011. In addition, they explain 64% of the monthly foreign exchange volatility in our sample of ten main currencies, 28% of the speculators' net currency futures positions in Australian dollar versus Japanese yen, skewness in currency returns and currency crashes. We present a theoretical model that is consistent with these findings. [less ▲]

Detailed reference viewed: 107 (1 UL)
Peer Reviewed
See detailHow Some Bankers Made a Million by Trading Just Two Securities?
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2012)

Detailed reference viewed: 91 (2 UL)
Peer Reviewed
See detailA Structural Model of Short-Term Reversals
Rinne, Kalle UL; Suominen, Matti UL

Scientific Conference (2012)

Detailed reference viewed: 115 (9 UL)