Behavioral aspects of investment fund's markets: are good managers lucky or skilled?

It is generally accepted that financial markets are efficient in the long run a lthough there may be some deviations in the short run. It is also accepted that a good portfolio manager is the one who beats the market persistently along time, this type of manager could not exist if markets were perfectly efficient According to this in a pure efficient market we should find that managers know that they can not beat the market so they would undertake only pure passive management strategies. Assuming a certain degree of inefficiency in the short run, a market may show some managers who tr y to beat the market by undertaking active strategies. From Fama’s efficient markets theory we can state that these active managers may beat the market occasionally although they will not be able to enhance significantly their performance in the long run. On the other hand, in an inefficient market it would be expected to find a higher level of activity related with the higher probability of beating the market. In this paper we follow two objectives: first, we set a basis to analyse the level of efficiency in an asset invest- ment funds market by measuring performance, strategies activity and it’s persistence for a certain group of funds during the period of study. Second, we analyse individual performance persistence in order to determine the existence of skilled managers. The CAPM model is taken as theoretical background and the use of the Sharpe’s ratio as a suitable performance measure in a limited information environment leads to a group performance measurement proposal. The empiri- cal study takes quarterly data from 1999-2007 period, for the whole population of the Spanish asset investment funds market, provided by the CNMV (Comisión Nacional del Mercado de Valores). This period of study has been chosen to ensure a wide enough range of efficient market observation so it would allow us to set a proper basis to compare with the following period. As a result we develop a model that allows us to measure efficiency in a given asset mutual funds market, based on the level of strategy’s activity undertaken by managers. We also observe persistence in individual performance for a certain group of funds

Debt enforcement and relational contracting

We examine how third-party debt enforcement affects the emergence and performance ofrelational contracts in credit markets. We implement an experiment with finitely repeatedcredit relationships in which borrowers can default. In the weak enforcement treatmentdefaulting borrowers can keep their funds invested. In the strong enforcement treatmentdefaulting borrowers have to liquidate their investment. Under weak enforcement fewerrelationships emerge in which loans are extended and repaid. When such relationships doemerge they exhibit a lower credit volume than under strong enforcement. These findingssuggest that relational contracting in credit markets requires a minimum standard of thirdpartydebt enforcement.

Conflicto de intereses: agencias de rating, reguladores, países y empresas

Les agencies de qualificació de riscos son una peça fonamental en el engranatge del sistema financer internacional. Arreu de la crisi financera es detecten conflictes d’interès entre aquestes i la resta de agents econòmics, generat per un canvi en el model de cobro. El document explica com s’ha generat aquest problema, la resposta del mercat i de les pròpies agencies de rating i exposa també les noves propostes regulatòries per a corregir-lo.

Stockholder conflicts and dividends

Conflicts of interest between majority and minority stockholders affect a large proportion of firms in any economy, but has received little attention in the empirical literature. We examine the link between the potential for such conflicts and the firm's payout policy on a large sample of Norwegian private firms with controlling stockholders and detailed ownership data. Our evidence shows that the stronger the potential conflict between the stockholders, the higher the proportion of earnings paid out as dividends. This tendency to reduce stockholder conflicts by dividend payout is more pronounced when the minority is diffuse and when a family's majority block is held by a single family member. We also find evidence that a minority-friendly payout policy is associated with higher future minority investment in the firm. These results are consistent with the notion that potential agency costs of ownership are mitigated by dividend policy when the majority stockholder benefits from not exploiting the minority.

An Analysis of black-box optimization problems in reinsurance: evolutionary-based approaches

Black-box optimization problems (BBOP) are de ned as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). This paper is focussed on BBOPs that arise in the eld of insurance, and more speci cally in reinsurance problems. In this area, the complexity of the models and assumptions considered to de ne the reinsurance rules and conditions produces hard black-box optimization problems, that must be solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is not possible in BBOP, so new computational paradigms must be applied to solve these problems. In this paper we show the performance of two evolutionary-based techniques (Evolutionary Programming and Particle Swarm Optimization). We provide an analysis in three BBOP in reinsurance, where the evolutionary-based approaches exhibit an excellent behaviour, nding the optimal solution within a fraction of the computational cost used by inspection or enumeration methods.

How does ownership structure invfluence bank risk? Analyzing the role of managerial incentives

This paper analyzes how ownership concentration and managerial incentives influences bank risk for a large sample of US banks over the period 1997-2007. Using 2SLS simultaneous equations models, we show that ownership concentration has a positive total effect on bank risk. This is the result of a positive direct effect, which reflects monitoring and opportunistic behavior, and a negative indirect effect, which works through the design of managerial incentive contracts and reflects shareholder preferences toward risk. Large shareholders reduce bank risk by reducing the sensitivity of CEO wealth to stock volatility (Vega) and by increasing the CEO pay-performance sensitivity (Delta). In addition, we show that the direct and indirect effect of ownership concentration on bank risk depends on the type of the largest shareholder (a family, a bank, a corporation or an institutional investor), as well as, on the total shareholding held by each type as a group. Our results suggest that the positive relation between ownership concentration and risk is not the result of preferences towards more risk. Rather, they point at opportunistic behavior of large shareholders.

¿Cuando los deseos no lo son todo? Hacienda Pública en Bolivia, 1882-2007

El presente trabajo pretende un análisid de la intervención estatal en Bolivia a través de la hacienda pública. El trabajo supone un avance respecto a anteriores estudios por dos motivos. Por un lado, porque presenta un horizonte temporal de análisis mucho más amplio: se inicia en el último cuarto de siglo XIX y llega hasta la actualidad. Por otro lado, porque presenta evidencia cuantitativa totalmente inédita: una estimación de los ingresos y gastos fiscales del Estado Central desagregados de acuerdo a parámetros internacionales.

Derivats financers al mercat espanyol: el Model de Black-Scholes i corbes de volatilitat per opcions sobre l'índex niniIBEX-35

El nostre treball es centrarà en conèixer i aprendre les nocions bàsiques del mercat financer espanyol, primer; i aplicar uns coneixements per veure si es verifica unahipòtesi plantejada, després. La incògnita que volem resoldre és la següent: comprovarsi tots els supòsits i resultats que faciliten els models teòrics emprats en l’estudi dels mercats financers a l’hora de la veritat es compleixen.D’entre els múltiples conceptes que ens proporcionen els estudis de mercatsfinancers ens centrarem sobretot en el model de Black-Scholes i els somriures devolatilitat per desenvolupar el nostre treball. Després de cercar les dades necessàries a través de la web del M.E.F.F., entrevistar-nos amb professionals del sector i fer un seguiment d’aproximadament dos mesos dels moviments de les opcions sobre l’Índex Mini-Íbex 35, amb l’ajuda d’un programa informàtic en llenguatge C, hem calculat les corbes de volatilitat de les opcions sobre l’Índex Mini-Íbex 35.Les conclusions més importants que hem extret són que el Model de Black-Scholes, malgrat va revolucionar el món dels mercats financers, està basat en 2 supòsits que no es compleixen a la realitat: la distribució lognormal del preu de les accions i unavolatilitat constant. Tal i com hem pogut comprovar, la corba de volatilitat de lesopcions sobre l’Índex Mini-Íbex 35 és decreixent amb el preu d’exercici i laMoneyness, tal i com sostenen les teories dels somriures de volatilitat; per tant, no és constant. A més, hem comprovat que a mesura que s’apropa el venciment d’una opció,el preu acordat de l’actiu subjacent a l’opció s’apropa al preu de mercat.

Paga o cobra : estudi de la morositat en el món empresarial

El tema del nostre treball és la morositat, centrant‐nos en el estudi d’un cas real en la relació entre dues empreses, un client i un proveïdor, en el què el client va presentar signes de morositat, encara que en cap moment va deixar de pagar cap factura al client. En primer lloc, volem analitzar dades sobre la morositat, per saber com és desenvolupa un cas real d’una empresa amb problemes de morositat i quines son les conseqüències de la morositat, centrant‐nos en dues possibles vies: la via judicial, amb una denúncia a l’Administració Concursal, i la que passa per acudir a certes empreses que, en el límit de la llei, fan servir mètodes persuasius, cal dir que Aquest és un dels objectius fonamentals del treball, és a dir, intentar trobar algunes de les possibles solucions a la morositat, així com intentar detectar aquesta i veure si es pot identificar un morós tipus, cosa que trobaríem d’extrema importància.D’altra banda, com es lògic, volem aplicar els coneixements adquirits en aquests últims anys pel que fa al àmbit de la economia, tant en l’anàlisi de les dades com en els altres apartats del treball.

El Consum i les empreses de refinançament

El principal objectiu del nostre treball és l’estudi de les empreses de refinançament espanyoles iamericanes mitjançant l’anàlisi de l’evolució de l’endeutament familiar al nostre país.Posteriorment intentarem establir paral·lelismes entre la situació a Espanya i als Estats Units, onmoltes d’aquestes societats han acabat fent fallida. L’objectiu de la comparació és veure si aquestacrisis arribarà al nostre país a mesura que creixin els impagats.Finalment, establirem un resum de les idees més importants per tal de que el lector pugui obteniruna idea ràpida amb una perspectiva el màxim de realista possible i capaç d’esclarir-nos les idees.

Are rules-based government programs shielded from special-interest politics? Evidence from revenue-sharing transfers in Brazil

Manipulation of government finances for the benefit of narrowly defined groups is usuallythought to be limited to the part of the budget over which politicians exercise discretion inthe short run, such as earmarks. Analyzing a revenue-sharing program between the centraland local governments in Brazil that uses an allocation formula based on local population estimates,I document two main results: first, that the population estimates entering the formulawere manipulated and second, that this manipulation was political in nature. Consistent withswing-voter targeting by the right-wing central government, I find that municipalities withroughly equal right-wing and non-right-wing vote shares benefited relative to opposition orconservative core support municipalities. These findings suggest that the exclusive focus ondiscretionary transfers in the extant empirical literature on special-interest politics may understatethe true scope of tactical redistribution that is going on under programmatic disguise.

The effects of employment uncertainty and wealth shocks on the labor supply and claiming behavior of older American workers

Unemployment rates in developed countries have recently reached levels not seenin a generation, and workers of all ages are facing increasing probabilities of losingtheir jobs and considerable losses in accumulated assets. These events likely increasethe reliance that most older workers will have on public social insurance programs,exactly at a time that public finances are suffering from a large drop in contributions.Our paper explicitly accounts for employment uncertainty and unexpectedwealth shocks, something that has been relatively overlooked in the literature, butthat has grown in importance in recent years. Using administrative and householdlevel data we empirically characterize a life-cycle model of retirement and claimingdecisions in terms of the employment, wage, health, and mortality uncertainty facedby individuals. Our benchmark model explains with great accuracy the strikinglyhigh proportion of individuals who claim benefits exactly at the Early RetirementAge, while still explaining the increased claiming hazard at the Normal RetirementAge. We also discuss some policy experiments and their interplay with employmentuncertainty. Additionally, we analyze the effects of negative wealth shocks on thelabor supply and claiming decisions of older Americans. Our results can explainwhy early claiming has remained very high in the last years even as the early retirementpenalties have increased substantially compared with previous periods, andwhy labor force participation has remained quite high for older workers even in themidst of the worse employment crisis in decades.

The sustainable debts of Philip II: A reconstruction of Castile's fiscal position, 1566-1596

The defaults of Philip II have attained mythical status as the origin of sovereigndebt crises. We reassess the fiscal position of Habsburg Castile, derivingcomprehensive estimates of revenue, debt, and expenditure from new archivaldata. The king s debts were sustainable. Primary surpluses were large and rising.Debt-to-revenue ratios remained broadly unchanged during Philip s reign.Castilian finances in the sixteenth century compare favorably with those of otherearly modern fiscal states at the height of their imperial ambitions, includingBritain. The defaults of Philip II therefore reflected short-term liquidity crises,and were not a sign of unsustainable debts.

Lending to the borrower from hell: Debt and default in the age of Philip II, 1556-1598

What sustained borrowing without third-party enforcement, in the early days of sovereignlending? Philip II of Spain accumulated towering debts while stopping all payments tohis lenders four times. How could the sovereign borrow much and default often? Weargue that bankers ability to cut off Philip II s access to smoothing services was key. Aform of syndicated lending created cohesion among his Genoese bankers. As a result,lending moratoria were sustained through a cheat the cheater mechanism (Kletzer andWright, 2000). Our paper thus lends empirical support to a recent literature emphasizingthe role of bankers incentives for continued sovereign borrowing.

Hisenda pública europea: on som i on podríem arribar?

En un panorama econòmic mundial on les grans potències emergents creixen amb força i, com alguns informes recents de la OCDE apunten, la Xina es trobarà durant els propers anys en situació de sobrepassar els EEUU com a primera potència econòmica. En aquest context la Unió Europea apareix en una posició afeblida i els estats membres difícilment poden adoptar individualment un paper rellevant a nivell mundial. També comencen a sentir-se veus demanant una major integració al sí de la UE. Una de les opcions per assolir-la seria la creació d’una Hisenda Pública Europea. L’objecte d’estudi d’aquest treball serà la Unió Europea; més concretament la possibilitat d’assolir una Hisenda Pública Europea. Es pretén respondre a dues preguntes: Seria possible la creació d’una Hisenda Pública Europea? Com es podria estructurar? Per tal de poder respondre sòlidament aquestes qüestions s’analitzarà què s’ha fet fins ara en l’àmbit de la unió fiscal tant a la UE com a diversos països; quins passos es podrien donar per avançar cap a una Hisenda Pública de la Unió; i a quin model es podria arribar. També es contrastarà amb el marc teòric proposat, així com amb l’experiència prèvia de les diferents fases d’Integració Europea dutes a terme fins ara.