Flexibility and firm value: the role of inventories

In the present thesis I study the contribution to firm value of inventories management from a risk management perspective. I find a significant contribution of inventories to the value of risk management especially through the operating flexibility channel. In contrast, I do not find evidence supporting the view of inventories a reserve of liquidity. Inventories substitute, albeit not perfectly, derivatives or cash holdings. The substitution between hedging with derivatives and inventory is moderated by the correlation between cash flow and the underlying asset in the derivative contract. Hedge ratios increase with the effectiveness of derivatives. The decision to hedge with cash holdings or inventories is strongly influenced by the degree of complementarity between production factors and by cash flow volatility. In addition, I provide a risk management based explanation of the secular substitution between inventories and cash holdings documented, among others, in Bates et al. (2009), Journal of Finance. In a sample of U.S. firms between 1980 and 2006, I empirically confirm the negative relation between inventories and cash and provide evidence on the poor performance of investment cash flow sensitivities as a measure of financial constraints also in the case of inventories investment. This result can be explained by firms' scarce reliance on inventories as a reserve of liquidity. Finally, as an extension of my study, I contrast with empirical data the theoretical predictions of a model on the integrated management of inventories, trade credit and cash holdings.

Emerging contaminants in agricultural ecosystems: impact of selected pharmaceutical on water and soil ecology and pratical implications

Pharmaceuticals are useful tools to prevent and treat human and animal diseases. Following administration, a significant fraction of pharmaceuticals is excreted unaltered into faeces and urine and may enter the aquatic ecosystem and agricultural soil through irrigation with recycled water, constituting a significant source of emerging contaminants into the environment. Understanding major factors influencing their environmental fate is consequently needed to value the risk, reduce contamination, and set up bioremediation technologies. The antiviral drug Tamiflu (oseltamivir carboxylate, OC) has received recent attention due to the potential use as a first line defence against H5N1 and H1N1 influenza viruses. Research has shown that OC is not removed during conventional wastewater treatments, thus having the potential to enter surface water bodies. A series of laboratory experiments investigated the fate and the removal of OC in surface water systems in Italy and Japan and in a municipal wastewater treatment plant. A preliminary laboratory study investigated the persistence of the active antiviral drug in water samples from an irrigation canal in northern Italy (Canale Emiliano Romagnolo). After an initial rapid decrease, OC concentration slowly decreased during the remaining incubation period. Approximately 65% of the initial OC amount remained in water at the end of the 36-day incubation period. A negligible amount of OC was lost both from sterilized water and from sterilized water/sediment samples, suggesting a significant role of microbial degradation. Stimulating microbial processes by the addition of sediments resulted in reduced OC persistence. Presence of OC (1.5 μg mL-1) did not significantly affect the metabolic potential of the water microbial population, that was estimated by glyphosate and metolachlor mineralization. In contrast, OC caused an initial transient decrease in the size of the indigenous microbial population of water samples. A second laboratory study focused on basic processes governing the environmental fate of OC in surface water from two contrasting aquatic ecosystems of northern Italy, the River Po and the Venice Lagoon. Results of this study confirmed the potential of OC to persist in surface water. However, the addition of 5% of sediments resulted in rapid OC degradation. The estimated half-life of OC in water/sediment of the River Po was 15 days. After three weeks of incubation at 20 °C, more than 8% of 14C-OC evolved as 14CO2 from water/sediment samples of the River Po and Venice Lagoon. OC was moderately retained onto coarse sediments from the two sites. In water/sediment samples of the River Po and Venice Lagoon treated with 14C-OC, more than 30% of the 14C-residues remained water-extractable after three weeks of incubation. The low affinity of OC to sediments suggests that the presence of sediments would not reduce its bioavailability to microbial degradation. Another series of laboratory experiments investigated the fate and the removal of OC in two surface water ecosystems of Japan and in the municipal wastewater treatment plant of the city of Bologna, in Northern Italy. The persistence of OC in surface water ranged from non-detectable degradation to a half-life of 53 days. After 40 days, less than 3% of radiolabeled OC evolved as 14CO2. The presence of sediments (5%) led to a significant increase of OC degradation and of mineralization rates. A more intense mineralization was observed in samples of the wastewater treatment plant when applying a long incubation period (40 days). More precisely, 76% and 37% of the initial radioactivity applied as 14C-OC was recovered as 14CO2 from samples of the biological tank and effluent water, respectively. Two bacterial strains growing on OC as sole carbon source were isolated and used for its removal from synthetic medium and environmental samples, including surface water and wastewater. Inoculation of water and wastewater samples with the two OC-degrading strains showed that mineralization of OC was significantly higher in both inoculated water and wastewater, than in uninoculated controls. Denaturing gradient gel electrophoresis and quantitative PCR analysis showed that OC would not affect the microbial population of surface water and wastewater. The capacity of the ligninolytic fungus Phanerochaete chrysosporium to degrade a wide variety of environmentally persistent xenobiotics has been largely reported in literature. In a series of laboratory experiments, the efficiency of a formulation using P. chrysosporium was evaluated for the removal of selected pharmaceuticals from wastewater samples. Addition of the fungus to samples of the wastewater treatment plant of Bologna significantly increased (P < 0.05) the removal of OC and three antibiotics, erythromycin, sulfamethoxazole, and ciprofloxacin. Similar effects were also observed in effluent water. OC was the most persistent of the four pharmaceuticals. After 30 days of incubation, approximately two times more OC was removed in bioremediated samples than in controls. The highest removal efficiency of the formulation was observed with the antibiotic ciprofloxacin. The studies included environmental aspects of soil contamination with two emerging veterinary contaminants, such as doramectin and oxibendazole, wich are common parasitic treatments in cattle farms.

Outcome a lungo termine dei pazienti pediatrici con rene singolo. Valutazione di marker laboratoristici e strumentali di danno renale

Obiettivi: valutare in pazienti con rene singolo congenito la correlazione tra il filtrato glomerulare misurato con il DTPA (DTPA-VFG) e 1) marker laboratoristici di danno renale (creatinina, cistatinaC, proteinuria) 2) formule per stimare il filtrato glomerulare 3) parametri di valutazione della crescita renale ecografica. Materiali e metodi: Sono stati arruolati 118 pazienti con rene singolo congenito tra 0 e 18 anni. Sono stati valutati a ogni visita altezza, creatinina, cistatinaC, proteinuria e lunghezza ecografica renale. E’ stato calcolato il filtrato stimato con formule basate sulla creatinina (Schwartz), sulla cistatina C (Zappitelli, Filler, Grubb e Bokenkamp) e su entrambe (equazione di Zappitelli). La crescita renale è stata valutata come rapporto lunghezza ecografica/altezza corporea (USL/H), differenza percentuale tra lunghezza renale misurata e attesa per età (delta%) e presenza o meno d’ipertrofia compensatoria. In 74 bambini è stata misurata la DTPA-VFG. Risultati: Il follow-up è di 2.1 ± 0.9 anni. Il 65% sono maschi. Nessun paziente ha sviluppato danno renale cronico. La media del DTPA-VFG era di 135±44ml/min/1.73m², il valore medio della creatinina 0.47±0.17mg/dl e di cistatinaC di 1±0.4mg/L. La lunghezza ecografica renale media era di 100±17 mm, il rapporto USL/H medio di 0.8±0,1 e il delta% di 1,13±11,4, il 66% presentava ipertrofia renale. Le uniche correlazioni significative con DTPA-VFG sono inversa con la creatinina (p=<.001) e lineare con USL/H (p=<.001). Discussione: Lo studio ha mostrato che come per altre nefrouropatie, la creatina e l’ecografia renale siano due strumenti validi per il follow-up dei pazienti con rene singolo congenito. Il limite principale è dovuto al fatto che nessuno dei pazienti ha sviluppato danno renale cronico e pertanto non è stato possibile stabilire dei cutt-off di rischio per parametri quali USL/H.

Multiple testing in spatial epidemiology: a Bayesian approach

In this work we aim to propose a new approach for preliminary epidemiological studies on Standardized Mortality Ratios (SMR) collected in many spatial regions. A preliminary study on SMRs aims to formulate hypotheses to be investigated via individual epidemiological studies that avoid bias carried on by aggregated analyses. Starting from collecting disease counts and calculating expected disease counts by means of reference population disease rates, in each area an SMR is derived as the MLE under the Poisson assumption on each observation. Such estimators have high standard errors in small areas, i.e. where the expected count is low either because of the low population underlying the area or the rarity of the disease under study. Disease mapping models and other techniques for screening disease rates among the map aiming to detect anomalies and possible high-risk areas have been proposed in literature according to the classic and the Bayesian paradigm. Our proposal is approaching this issue by a decision-oriented method, which focus on multiple testing control, without however leaving the preliminary study perspective that an analysis on SMR indicators is asked to. We implement the control of the FDR, a quantity largely used to address multiple comparisons problems in the eld of microarray data analysis but which is not usually employed in disease mapping. Controlling the FDR means providing an estimate of the FDR for a set of rejected null hypotheses. The small areas issue arises diculties in applying traditional methods for FDR estimation, that are usually based only on the p-values knowledge (Benjamini and Hochberg, 1995; Storey, 2003). Tests evaluated by a traditional p-value provide weak power in small areas, where the expected number of disease cases is small. Moreover tests cannot be assumed as independent when spatial correlation between SMRs is expected, neither they are identical distributed when population underlying the map is heterogeneous. The Bayesian paradigm oers a way to overcome the inappropriateness of p-values based methods. Another peculiarity of the present work is to propose a hierarchical full Bayesian model for FDR estimation in testing many null hypothesis of absence of risk.We will use concepts of Bayesian models for disease mapping, referring in particular to the Besag York and Mollié model (1991) often used in practice for its exible prior assumption on the risks distribution across regions. The borrowing of strength between prior and likelihood typical of a hierarchical Bayesian model takes the advantage of evaluating a singular test (i.e. a test in a singular area) by means of all observations in the map under study, rather than just by means of the singular observation. This allows to improve the power test in small areas and addressing more appropriately the spatial correlation issue that suggests that relative risks are closer in spatially contiguous regions. The proposed model aims to estimate the FDR by means of the MCMC estimated posterior probabilities b i's of the null hypothesis (absence of risk) for each area. An estimate of the expected FDR conditional on data (\FDR) can be calculated in any set of b i's relative to areas declared at high-risk (where thenull hypothesis is rejected) by averaging the b i's themselves. The\FDR can be used to provide an easy decision rule for selecting high-risk areas, i.e. selecting as many as possible areas such that the\FDR is non-lower than a prexed value; we call them\FDR based decision (or selection) rules. The sensitivity and specicity of such rule depend on the accuracy of the FDR estimate, the over-estimation of FDR causing a loss of power and the under-estimation of FDR producing a loss of specicity. Moreover, our model has the interesting feature of still being able to provide an estimate of relative risk values as in the Besag York and Mollié model (1991). A simulation study to evaluate the model performance in FDR estimation accuracy, sensitivity and specificity of the decision rule, and goodness of estimation of relative risks, was set up. We chose a real map from which we generated several spatial scenarios whose counts of disease vary according to the spatial correlation degree, the size areas, the number of areas where the null hypothesis is true and the risk level in the latter areas. In summarizing simulation results we will always consider the FDR estimation in sets constituted by all b i's selected lower than a threshold t. We will show graphs of the\FDR and the true FDR (known by simulation) plotted against a threshold t to assess the FDR estimation. Varying the threshold we can learn which FDR values can be accurately estimated by the practitioner willing to apply the model (by the closeness between\FDR and true FDR). By plotting the calculated sensitivity and specicity (both known by simulation) vs the\FDR we can check the sensitivity and specicity of the corresponding\FDR based decision rules. For investigating the over-smoothing level of relative risk estimates we will compare box-plots of such estimates in high-risk areas (known by simulation), obtained by both our model and the classic Besag York Mollié model. All the summary tools are worked out for all simulated scenarios (in total 54 scenarios). Results show that FDR is well estimated (in the worst case we get an overestimation, hence a conservative FDR control) in small areas, low risk levels and spatially correlated risks scenarios, that are our primary aims. In such scenarios we have good estimates of the FDR for all values less or equal than 0.10. The sensitivity of\FDR based decision rules is generally low but specicity is high. In such scenario the use of\FDR = 0:05 or\FDR = 0:10 based selection rule can be suggested. In cases where the number of true alternative hypotheses (number of true high-risk areas) is small, also FDR = 0:15 values are well estimated, and \FDR = 0:15 based decision rules gains power maintaining an high specicity. On the other hand, in non-small areas and non-small risk level scenarios the FDR is under-estimated unless for very small values of it (much lower than 0.05); this resulting in a loss of specicity of a\FDR = 0:05 based decision rule. In such scenario\FDR = 0:05 or, even worse,\FDR = 0:1 based decision rules cannot be suggested because the true FDR is actually much higher. As regards the relative risk estimation, our model achieves almost the same results of the classic Besag York Molliè model. For this reason, our model is interesting for its ability to perform both the estimation of relative risk values and the FDR control, except for non-small areas and large risk level scenarios. A case of study is nally presented to show how the method can be used in epidemiology.

The impact of R&D in firm value across Europe

In this thesis the impact of R&D expenditures on firm market value and stock returns is examined. This is performed in a sample of European listed firms for the period 2000-2009. I apply different linear and GMM econometric estimations for testing the impact of R&D on market prices and construct country portfolios based on firms’ R&D expenditure to market capitalization ratio for studying the effect of R&D on stock returns. The results confirm that more innovative firms have a better market valuation,investors consider R&D as an asset that produces long-term benefits for corporations. The impact of R&D on firm value differs across countries. It is significantly modulated by the financial and legal environment where firms operate. Other firm and industry characteristics seem to play a determinant role when investors value R&D. First, only larger firms with lower financial leverage that operate in highly innovative sectors decide to disclose their R&D investment. Second, the markets assign a premium to small firms, which operate in hi-tech sectors compared to larger enterprises for low-tech industries. On the other hand, I provide empirical evidence indicating that generally highly R&D-intensive firms may enhance mispricing problems related to firm valuation. As R&D contributes to the estimation of future stock returns, portfolios that comprise high R&D-intensive stocks may earn significant excess returns compared to the less innovative after controlling for size and book-to-market risk. Further, the most innovative firms are generally more risky in terms of stock volatility but not systematically more risky than low-tech firms. Firms that operate in Continental Europe suffer more mispricing compared to Anglo-Saxon peers but the former are less volatile, other things being equal. The sectors where firms operate are determinant even for the impact of R&D on stock returns; this effect is much stronger in hi-tech industries.

Gold and the Stock Market: 3 Essays on Gold Investments

This thesis gives an overview of the history of gold per se, of gold as an investment good and offers some institutional details about gold and other precious metal markets. The goal of this study is to investigate the role of gold as a store of value and hedge against negative market movements in turbulent times. I investigate gold’s ability to act as a safe haven during periods of financial stress by employing instrumental variable techniques that allow for time varying conditional covariance. I find broad evidence supporting the view that gold acts as an anchor of stability during market downturns. During periods of high uncertainty and low stock market returns, gold tends to have higher than average excess returns. The effectiveness of gold as a safe haven is enhanced during periods of extreme crises: the largest peaks are observed during the global financial crises of 2007-2009 and, in particular, during the Lehman default (October 2008). A further goal of this thesis is to investigate whether gold provides protection from tail risk. I address the issue of asymmetric precious metal behavior conditioned to stock market performance and provide empirical evidence about the contribution of gold to a portfolio’s systematic skewness and kurtosis. I find that gold has positive coskewness with the market portfolio when the market is skewed to the left. Moreover, gold shows low cokurtosis with the market returns during volatile periods. I therefore show that gold is a desirable investment good to risk averse investors, since it tends to decrease the probability of experiencing extreme bad outcomes, and the magnitude of losses in case such events occur. Gold thus bears very important and under-researched characteristics as an asset class per se, which this thesis contributed to address and unveil.

The cardio-renal axis. Non ST-segment elevation myocardial infarction risk stratification according to renal dysfunction

Background: Chronic kidney disease (CKD) is one of the strongest risk factor for myocardial infarction (MI) and mortality. The aim of this study was to assess the association between renal dysfunction severity, short-term outcomes and the use of in-hospital evidence-based therapies among patients with non–ST-segment elevation myocardial infarction (NSTEMI). Methods: We examined data on 320 patients presenting with NSTEMI to Maggiore’s Emergency Department from 1st Jan 2010 to 31st December 2011. The study patients were classified into two groups according to their baseline glomerular filtration rate (GFR): renal dysfunction (RD) (GFR<60) and non-RD (GFR≥60 ml/min). Patients were then classified into four groups according to their CKD stage (GFR≥60, GFR 59-30, GFR 29-15, GFR <15). Results: Of the 320 patients, 155 (48,4%) had a GFR<60 ml/min at baseline. Compared with patients with a GFR≥60 ml/min, this group was, more likely to be female, to have hypertension, a previous myocardial infarction, stroke or TIA, had higher levels of uric acid and C-reactive protein. They were less likely to receive immediate (first 24 hours) evidence-based therapies. The GFR of RD patients treated appropriately increases on average by 5.5 ml/min/1.73 m2. The length of stay (mean, SD) increased with increasing CKD stage, respectively 5,3 (4,1), 7.0 (6.1), 7.8 (7.0), 9.2 (5.8) (global p <.0001). Females had on average a longer hospitalization than males, regardless of RD. In hospital mortality was higher in RD group (3,25%). Conclusions: The in-hospital mortality not was statically difference among the patients with a GFR value ≥60 ml/min, and patients with a GFR value <60 ml/min. The length of stay increased with increasing CKD stages. Despite patients with RD have more comorbidities then without RD less frequently receive guideline –recommended therapy. The GFR of RD patients treated appropriately improves during hospitalization, but not a level as we expected.