Future lending income and security value

I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high- lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.

A wave of change: Labor market and social security impacts of the EU refugee inflow

The recent massive inflow of refugees to the European Union (EU) raises a number of unanswered questions on the economic impact of this phenomenon. To examine these questions, we constructed an overlapping-generations model that describes the evolution of the skill premium and of the welfare benefit level in relevant European countries, in the aftermath of an inflow of asylum-seekers. In our simulation, relative wages of skilled workers increase between 8% and 11% in the period of the inflow; their subsequent time path is dependent on the initial skill premium. The entry of migrants creates a fiscal surplus of about 8%, which can finance higher welfare benefits in the subsequent periods. These effects are weaker in a scenario where refugees do not fully integrate into the labor market.

A type system for value-dependent information flow analysis

Information systems are widespread and used by anyone with computing devices as well as corporations and governments. It is often the case that security leaks are introduced during the development of an application. Reasons for these security bugs are multiple but among them one can easily identify that it is very hard to define and enforce relevant security policies in modern software. This is because modern applications often rely on container sharing and multi-tenancy where, for instance, data can be stored in the same physical space but is logically mapped into different security compartments or data structures. In turn, these security compartments, to which data is classified into in security policies, can also be dynamic and depend on runtime data. In this thesis we introduce and develop the novel notion of dependent information flow types, and focus on the problem of ensuring data confidentiality in data-centric software. Dependent information flow types fit within the standard framework of dependent type theory, but, unlike usual dependent types, crucially allow the security level of a type, rather than just the structural data type itself, to depend on runtime values. Our dependent function and dependent sum information flow types provide a direct, natural and elegant way to express and enforce fine grained security policies on programs. Namely programs that manipulate structured data types in which the security level of a structure field may depend on values dynamically stored in other fields The main contribution of this work is an efficient analysis that allows programmers to verify, during the development phase, whether programs have information leaks, that is, it verifies whether programs protect the confidentiality of the information they manipulate. As such, we also implemented a prototype typechecker that can be found at http://ctp.di.fct.unl.pt/DIFTprototype/.