29.08.2019

Experts from Mandatum Life contribute to significant international scientific publications

Leading academic journals in the field of finance have approved two research papers written by Finnish experts. Experts from Mandatum Life played an active role in the papers.

“Cross-Asset Signals and Time Series Momentum”, by Aleksi Pitkäjärvi, Matti Suominen and Lauri Vaittinen, has recently been approved for publication in The Journal of Financial Economics (JFE). In addition, “Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs”, by Erkko Etula, Kalle Rinne, Matti Suominen and Lauri Vaittinen, was published in The Review of Financial Studies (RFS) in May 2019. Both JFE and RFS are considered to be among the world’s premier academic research publications in finance, measured by impact rankings, among other things.

“Cross-Asset Signals and Time Series Momentum” examines data from 20 countries and shows that past bond market returns can be used to predict future equity market returns. Similarly, equity index performance can be used to predict future bond returns. In their paper, the authors present evidence that the phenomenon is driven by slow-moving capital in bond and equity markets.

“Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs” looks at the impact of liquid markets on market returns in the equity and bond markets around the globe. According to their research, in many equity markets, a substantial proportion of historical returns arise over a few days at the turn of the month. The research attributes the phenomenon to the liquidity problems of institutional investors and the related selling pressure at the end of the month.

“Mandatum Life is proud that our employees and partners are at the forefront of academic research and that we as a company can support world-class financial research,” says Mandatum Life’s CEO, Petri Niemisvirta.

“We actively apply the findings of academic research to our investment operations and to develop our services, and our experts are also involved as researchers. A good example of this is Mandatum Life’s Slim Tail funds, the strategies of which rely considerably on the findings of precisely these two research papers. The fact that these two papers made it into leading financial academic journals shows that the Slim Tail strategies are on a solid academic foundation,” says Lauri Vaittinen, Senior Vice President of Mandatum Life’s Investment Solutions unit.

Of the authors, Lauri Vaittinen is Senior Vice President of Mandatum Life’s Investment Solutions unit. Kalle Rinne is Risk Manager for Mandatum Life in Luxembourg. Matti Suominen is a Professor of Finance at Aalto University and an advisor to Mandatum Life. Erkko Etula is an Investment Director and develops systematic investment strategies at Goldman Sachs.

For more information, please contact:

Lauri Vaittinen, Senior Vice President, Investment Solutions, lauri.vaittinen@mandatumlife.fi, tel. +358 50 382 1674

Niina Riihelä, Vice President, Marketing and Communications: niina.riihela@mandatumlife.fi, tel. +358 40 728 1548

Pitkäjärvi, Aleksi and Suominen, Matti and Vaittinen, Lauri Tapani, Cross-Asset Signals and Time Series Momentum (January 6, 2019). Available at SSRN: https://ssrn.com/abstract=2891434 or http://dx.doi.org/10.2139/ssrn.2891434

Etula, Erkko and Rinne, Kalle and Suominen, Matti and Vaittinen, Lauri Tapani, Dash for Cash: Monthly Market Impact of Institutional Liquidity Needs (December 31, 2018). FORTHCOMING IN THE REVIEW OF FINANCIAL STUDIES. Available at SSRN: https://ssrn.com/abstract=2528692 or http://dx.doi.org/10.2139/ssrn.2528692