Pricing corporate bonds in Brazil: 2000 to 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond`s maturity influence pricing and points out associations of long-term bonds with better rating issues. (C) 2008 Elsevier Inc. All rights reserved.

Stability property of matchings is a natural solution concept in coalitional market games

Stability of matchings was proved to be a new cooperative equilibrium concept in Sotomayor (Dynamics and equilibrium: essays in honor to D. Gale, 1992). That paper introduces the innovation of treating as multi-dimensional the payoff of a player with a quota greater than one. This is done for the many-to-many matching model with additively separable utilities, for which the stability concept is defined. It is then proved, via linear programming, that the set of stable outcomes is nonempty and it may be strictly bigger than the set of dual solutions and strictly smaller than the core. The present paper defines a general concept of stability and shows that this concept is a natural solution concept, stronger than the core concept, for a much more general coalitional game than a matching game. Instead of mutual agreements inside partnerships, the players are allowed to make collective agreements inside coalitions of any size and to distribute his labor among them. A collective agreement determines the level of labor at which the coalition operates and the division, among its members, of the income generated by the coalition. An allocation specifies a set of collective agreements for each player.

Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

The pareto-stability concept is a natural solution concept for discrete matching markets with indifferences

In a decentralized setting the game-theoretical predictions are that only strong blockings are allowed to rupture the structure of a matching. This paper argues that, under indifferences, also weak blockings should be considered when these blockings come from the grand coalition. This solution concept requires stability plus Pareto optimality. A characterization of the set of Pareto-stable matchings for the roommate and the marriage models is provided in terms of individually rational matchings whose blocking pairs, if any, are formed with unmatched agents. These matchings always exist and give an economic intuition on how blocking can be done by non-trading agents, so that the transactions need not be undone as agents reach the set of stable matchings. Some properties of the Pareto-stable matchings shared by the Marriage and Roommate models are obtained.

Adjusting prices in the multiple-partners assignment game

Starting with an initial price vector, prices are adjusted in order to eliminate the excess demand and at the same time to keep the transfers to the sellers as low as possible. In each step of the auction, to which set of sellers should those transfers be made is the key issue in the description of the algorithm. We assume additively separable utilities and introduce a novel distinction by considering multiple sellers owing multiple identical objects and multiple buyers with an exogenously defined quota, consuming more than one object but at most one unit of a seller`s good and having multi-dimensional payoffs. This distinction induces a necessarily more complicated construction of the over-demanded sets than the constructions of these sets for the other assignment games. For this approach, our mechanism yields the buyer-optimal competitive equilibrium payoff, which equals the buyer-optimal stable payoff. The symmetry of the model allows to getting the seller-optimal stable payoff and the seller-optimal competitive equilibrium payoff can then be also derived.

Fiscal policy and reelection in Brazilian municipalities

This paper uses a new panel of more than 2,000 Brazilian municipalities over 13 years to analyze the influence of public expenditures on the probability of mayors` reelection. We examine Brazilian municipal elections from 1988 to 2000 using a logit fixed-effects model. The results suggest that mayors who spend more during their terms of office increase the probability of their own reelection or of a successor of the same political party. In particular, higher capital spending over the years preceding elections and current expenditures in election years are beneficial to Brazilian incumbent mayors.

Who chooses to inflation target?

In this article, we seek what are the factors behind a country`s decision to move to Inflation Targeting. We find that high past inflation, low debt levels and the absence of a nominal exchange rate anchor increase the probability that a country will end up opting for it. (C) 2007 Elsevier B.V. All rights reserved.

The stability of the equilibrium outcomes in the admission games induced by stable matching rules

A stable matching rule is used as the outcome function for the Admission game where colleges behave straightforwardly and the students` strategies are given by their preferences over the colleges. We show that the college-optimal stable matching rule implements the set of stable matchings via the Nash equilibrium (NE) concept. For any other stable matching rule the strategic behavior of the students may lead to outcomes that are not stable under the true preferences. We then introduce uncertainty about the matching selected and prove that the natural solution concept is that of NE in the strong sense. A general result shows that the random stable matching rule, as well as any stable matching rule, implements the set of stable matchings via NE in the strong sense. Precise answers are given to the strategic questions raised.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

Worker demography in a large-colony, swarm-founding wasp

Neotropical swarm-founding wasps build nests enclosed in a covering envelope, which makes it difficult to count individual births and deaths. Thus, knowledge of worker demography is very limited for swarm-founding species compared with that for independent-founding species. In this study, we explored the worker demography of the swarm-founding wasp Polybia paulista, the colony size of which usually exceeds several thousand adults. We considered each wasp colony as an open-population and estimated the survival probability, recruitment rate, and population size of workers using the developments of the Cormack-Jolly-Seber model. We found that capture probability varied considerably among the workers, probably due to age polyethism and/or task specialization. The daily survival rate of workers was high (around 0.97) throughout the season and was not related to the phase of colony development. On the other hand, the recruitment rate ranged from 0 to 0.37, suggesting that worker production was substantially less important than worker survival in determining worker population fluctuations. When we compared survival rates among worker groups of one colony, the mean daily survival rate was lower for founding workers than for progeny workers and tended to be higher in progeny workers that emerged in winter. These differences in survivorship patterns among worker cohorts would be related to worker foraging activity and/or level of parasitism.

Effect of mesoporosity of vanadium oxide prepared by sol-gel process as cathodic material evaluated by cyclability during Li(+) insertion/deinsertion

The effect of pore structure on the behavior of lithium intercalation into an electrode containing porous V(2)O(5) film has been investigated and compared with the electrode containing a non-porous V(2)O(5) film. X-ray diffraction patterns indicate a lamellar structure for both materials. Nitrogen adsorption isotherms, t-plot method, and Scanning Electronic Microscopy show that the route employed for the preparation of mesoporous V(2)O(5) was successful. The electrochemical performance of these matrices as lithium intercalation cathode materials was evaluated. The porous material reaches stability after several cycles more easily compared with the V(2)O(5) xerogel. Lithium intercalation into the porous V(2)O(5) film electrode is crucially influenced by pore surface and film surface irregularity, in contrast with the non-porous surface of the V(2)O(5) xerogel.

Characterization of rat behavior in the elevated plus-maze using a directed graph

The elevated plus-maze is a device widely used to assess rodent anxiety under the effect of several treatments, including pharmacological agents. The animal is placed at the center of the apparatus, which consists of two open arms and two arms enclosed by walls, and the number of entries and duration of stay in each arm are measured for a 5-min exposure period. The effect of an anxiolytic drug is to increase the percentage of time spent and number of entries into the open arms. In this work, we propose a new measure of anxiety levels in the rat submitted to the elevated plus-maze. We represented the spatial structure of the elevated plus-maze in terms of a directed graph and studied the statistics of the rat`s transitions between the nodes of the graph. By counting the number of times each transition is made and ordering them in descending frequency we represented the rat`s behavior in a rank-frequency plot. Our results suggest that the curves obtained under different pharmacological conditions can be well fitted by a power law with an exponent sensitive to both the drug type and the dose used. (C) 2009 Elsevier B.V. All rights reserved.

Use of the q-Gaussian mutation in evolutionary algorithms

This paper proposes the use of the q-Gaussian mutation with self-adaptation of the shape of the mutation distribution in evolutionary algorithms. The shape of the q-Gaussian mutation distribution is controlled by a real parameter q. In the proposed method, the real parameter q of the q-Gaussian mutation is encoded in the chromosome of individuals and hence is allowed to evolve during the evolutionary process. In order to test the new mutation operator, evolution strategy and evolutionary programming algorithms with self-adapted q-Gaussian mutation generated from anisotropic and isotropic distributions are presented. The theoretical analysis of the q-Gaussian mutation is also provided. In the experimental study, the q-Gaussian mutation is compared to Gaussian and Cauchy mutations in the optimization of a set of test functions. Experimental results show the efficiency of the proposed method of self-adapting the mutation distribution in evolutionary algorithms.

Myocardial scintigraphy and clinical stratification as predictors of events in renal transplant candidates

Background: We tested the hypothesis that the universal application of myocardial scanning with single-photon emission computed tomography (SPECT) would result in better risk stratification in renal transplant candidates (RTC) compared with SPECT being restricted to patients who, in addition to renal disease, had other clinical risk factors. Methods: RTCs (n=363) underwent SPECT and clinical risk stratification according to the American Society of Transplantation (AST) algorithm and were followed up until a major adverse cardiovascular event (MACE) or death. Results: Of the 363 patients, 79 patients (22%) had an abnormal SPECT scan and 270 (74%) were classified as high risk. Both methods correctly identified patients with increased probability of MACE. However, clinical stratification performed better (sensitivity and negative predictive value 99% and 99% vs. 25% and 87%, respectively). High-risk patients with an abnormal SPECT scan had a modest increased risk of events (log-rank = 0.03; hazard ratio [HR] = 1.37; 95% confidence interval [95% CI], 1.02-1.82). Eighty-six patients underwent coronary angiography, and coronary artery disease (CAD) was found in 60%. High-risk patients with CAD had an increased incidence of events (log-rank = 0.008; HR=3.85; 95% CI, 1.46-13.22), but in those with an abnormal SPECT scan, the incidence of events was not influenced by CAD (log-rank = 0.23). Forty-six patients died. Clinical stratification, but not SPECT, correlated with the probability of death (log-rank = 0.02; HR=3.25; 95% CI, 1.31-10.82). Conclusion: SPECT should be restricted to high-risk patients. Moreover, in contrast to SPECT, the AST algorithm was also useful for predicting death by any cause in RTCs and for selecting patients for invasive coronary testing.

The Absence of Coronary Calcification Does Not Exclude Obstructive Coronary Artery Disease or the Need for Revascularization in Patients Referred for Conventional Coronary Angiography

Objectives This study was designed to evaluate whether the absence of coronary calcium could rule out >= 50% coronary stenosis or the need for revascularization. Background The latest American Heart Association guidelines suggest that a calcium score (CS) of zero might exclude the need for coronary angiography among symptomatic patients. Methods A substudy was made of the CORE64 (Coronary Evaluation Using Multi-Detector Spiral Computed Tomography Angiography Using 64 Detectors) multicenter trial comparing the diagnostic performance of 64-detector computed tomography to conventional angiography. Patients clinically referred for conventional angiography were asked to undergo a CS scan up to 30 days before. Results In all, 291 patients were included, of whom 214 (73%) were male, and the mean age was 59.3 +/- 10.0 years. A total of 14 (5%) patients had low, 218 (75%) had intermediate, and 59 (20%) had high pre-test probability of obstructive coronary artery disease. The overall prevalence of >= 50% stenosis was 56%. A total of 72 patients had CS = 0, among whom 14 (19%) had at least 1 >= 50% stenosis. The overall sensitivity for CS = 0 to predict the absence of >= 50% stenosis was 45%, specificity was 91%, negative predictive value was 68%, and positive predictive value was 81%. Additionally, revascularization was performed in 9 (12.5%) CS = 0 patients within 30 days of the CS. From a total of 383 vessels without any coronary calcification, 47 (12%) presented with >= 50% stenosis; and from a total of 64 totally occluded vessels, 13 (20%) had no calcium. Conclusions The absence of coronary calcification does not exclude obstructive stenosis or the need for revascularization among patients with high enough suspicion of coronary artery disease to be referred for coronary angiography, in contrast with the published recommendations. Total coronary occlusion frequently occurs in the absence of any detectable calcification. (Coronary Evaluation Using Multi-Detector Spiral Computed Tomography Angiography Using 64 Detectors [CORE-64]; NCT00738218) (J Am Coll Cardiol 2010;55:627-34) (C) 2010 by the American College of Cardiology Foundation