Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

On the estimation and testing of predictive panel regressions

Hjalmarsson (2010) considers an OLS-based estimator of predictive panel regressions that is argued to be mixed normal under very general conditions. In a recent paper, Westerlund et al. (2016) show that while consistent, the estimator is generally not mixed normal, which invalidates standard normal and chi-squared inference. The purpose of the present paper is to study the consequences of this theoretical result in small samples, which is done using both simulated and real data.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

La configuración de la fama en el Sumario del Despensero

Fil: Di Croce, Ely V.. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación; Argentina.

La configuración de la fama en el Sumario del Despensero

Fil: Di Croce, Ely V.. Universidad Nacional de La Plata. Facultad de Humanidades y Ciencias de la Educación; Argentina.

Del teatro al cine: hacia una teoría de la adaptación. (Tres versiones de Macbeth)

¿De qué se componen los sistemas semióticos propios de cada lenguaje, el dramático y el cinematográfico? ¿Cuáles son los complejos procesos de transformación por los que un texto dramático se convierte en una función teatral o bien en una obra fílmica? ¿Qué diferencia esencialmente la recepción de ambas obras? Y, finalmente, ¿existe la posibilidad de una teoría que estudie sistemáticamente el fenómeno de la adaptación? Estas son las preguntas que voy a tratar de responder en este trabajo, que llevarán a elaborar un esbozo de teoría de la adaptación del modo dramático al cinematográfico. Como cimientos previos a la elaboración de esta investigación, planteo un acercamiento a las teorías dramáticas y cinematográficas. Las fuentes que utilizo son, en primer lugar, los estudios sobre ambos sistemas semióticos. Para el estudio del drama utilizo el método de análisis dramatológico perfectamente sistematizado de José Luis García Barrientos en Cómo se comenta una obra de teatro (2001) y en Análisis de la dramaturgia. Nueve obras y un método (2007), complementándolo con las teorías de José Luis Alonso de Santos, Antonin Artaud, Ian Bernard, Keir Elam, John Gielgud, Roger Manvell, Vsévolod Emílievich Meyerhold, Konstantin Stanislavki y Anne Ubersfeld entre otros. Para el estudio de la teoría cinematográfica me apoyo en los estudios, principalmente, de Rudolph Arnheim, Henri Agel, Andrew Dudley, Daniel Arijon, Jacques Aumont y Michel Marie, Béla Balázs, André Bazin, David Bordwell y Kristin Thompson, Fernando Canet y Josep Prósper, Francesco Casetti, Sergei Eisenstein, Joaquín de Entrambasaguas, Jean Epstein, Susan Hayward, Siegfried Kracauer, Yuri Lotman, Marcel Martin, Christian Metz, Jean Mitry, Vsevolod Pudovkin, Vicente Sánchez Biosca y Robert Stam entre otros, quienes, en conjunto ofrecen un compendio muy amplio y dan una idea bastante completa y sistematizada del arte y lenguaje cinematográfico...

Too young to drink but old enough to drive under the influence : a study of underage offenders as seen in substance abuse treatment in Texas

Driving under the influence (DUI) is a major road safety problem. Historically, alcohol has been assumed to play a larger role in crashes and DUI education programs have reflected this assumption, although recent evidence suggests that younger drivers are becoming more likely to drive drugged than to drive drunk. This is a study of 7096 Texas clients under age 21 who were admitted to state-funded treatment programs between 1997 and 2007 with a past-year DUI arrest, DUI probation, or DUI referral. Data were obtained from the State’s administrative dataset. Multivariate logistic regressions models were used to understand the differences between those minors entering treatment as a DUI as compared to a non-DUI as well as the risks for completing treatment and for being abstinent in the month prior to follow-up. A major finding was that over time, the primary problem for underage DUI drivers changed from alcohol to marijuana. Being abstinent in the month prior to discharge, having a primary problem with alcohol rather than another drug, and having more family involved were the strongest predictors of treatment completion. Living in a household where the client was exposed to alcohol abuse or drug use, having been in residential treatment, and having more drug and alcohol and family problems were the strongest predictors of not being abstinent at follow-up. As a result, there is a need to direct more attention towards meeting the needs of the young DUI population through programs that address drug as well as alcohol consumption problems.

A-REIT seasoned equity offerings : determinants and market reaction

The paper examines the decision by Australian Real Estate Trusts (A-REITs) to issue seasoned equity offerings from 2000 - 2008 and stock market reaction to the offerings using panel data and event study methodologies, respectively. The global financial crisis has resulted in freezing of the Australian bond markets, with several A-REITs left with seasoned equity issuance and asset sales as the only viable modes of raising additional capital. The findings review that leverage and operating risk are negative significant determinants of seasoned equity offerings; profitability and growth opportunities are positive significant determinants. Of the structure and type of properties held by the A-REIT, only stapled management structure and international operations are significant determinants. Type of properties held by A-REITs show inconsistent results. Similar to previous studies of seasoned equity offerings, we find a significant negative abnormal return associated with their announcement and no evidence of excessive leakage of information. Cross-sectional regressions show that the issued amount raised and leverage are significant factors affecting abnormal returns.

Lateral bone density variations in the scoliotic spine

Adolescent Idiopathic Scoliosis (AIS) is the most common deformity of the spine, affecting 2-4% of the population. Previous studies have shown that the vertebrae in scoliotic spines undergo abnormal shape changes, however there has been little exploration of how scoliosis affects bone density distribution within the vertebrae. In this study, existing CT scans of 53 female idiopathic scoliosis patients with right-sided main thoracic curves were used to measure the lateral (right to left) bone density profile at mid-height through each vertebral body. Five key bone density profile measures were identified from each normalised bone density distribution, and multiple regression analysis was performed to explore the relationship between bone density distribution and patient demographics (age, height, weight, body mass index (BMI), skeletal maturity, time since Menarche, vertebral level, and scoliosis curve severity). Results showed a marked convex/concave asymmetry in bone density for vertebral levels at or near the apex of the scoliotic curve. At the apical vertebra, mean bone density at the left side (concave) cortical shell was 23.5% higher than for the right (convex) cortical shell, and cancellous bone density along the central 60% of the lateral path from convex to concave increased by 13.8%. The centre of mass of the bone density profile at the thoracic curve apex was located 53.8% of the distance along the lateral path, indicating a shift of nearly 4% toward the concavity of the deformity. These lateral bone density gradients tapered off when moving away from the apical vertebra. Multi-linear regressions showed that the right cortical shell peak bone density is significantly correlated with skeletal maturity, with each Risser increment corresponding to an increase in mineral equivalent bone density of 4-5%. There were also statistically significant relationships between patient height, weight and BMI, and the gradient of cancellous bone density along the central 60% of the lateral path. Bone density gradient is positively correlated with weight, and negatively correlated with height and BMI, such that at the apical vertebra, a unit decrease in BMI corresponds to an almost 100% increase in bone density gradient.

The interactions of consumption characteristics on social norms

Purpose: An extended Theory of Planned Behavior (TPB) model tests how customer loyalty intentions may relate to subjective and descriptive norms. The study further determines whether consumption characteristics – product enjoyment and importance – moderate norms-loyalty relationships.----- Methodology: Using a two-study approach focusing on youth, an Australian study (n = 244) first augmented TPB with descriptive norm. A Singapore study (n = 415) followed up with how consumption characteristics might moderate norms-loyalty relationships. With both studies, linear regressions tested the relationships among the variables.----- Findings: Extending TPB with descriptive norm improved TPB’s predictive ability across studies. Further, product enjoyment and importance moderated the norms-loyalty relationships differently. Subjective norm related to loyalty intentions significantly with high enjoyment, whereas descriptive norm was significant with low enjoyment. Only subjective norm was significant with low importance.----- Research limitations: Single-item variables, self-reported questionnaires on intended rather than actual behavior, and not controlling for cultural differences between the two samples limit generalizablity.----- Practical implications: The significance of both norms suggests that mobile firms should reach youth through their peers. With youth, social pressure may be influential particularly with hedonic products. However, the different moderations of product enjoyment and importance imply that a blanket marketing strategy targeting youth may not work.----- Originality/Value: This study extends academic knowledge on the relationships between norms and customer loyalty, particularly with consumption characteristics as moderators. The findings highlight the importance of considering different norms with consumer behavior. The study should help mobile firms understand how social influences impact customer loyalty.

Prediction of psychological adjustment to multiple sclerosis

This study examined the utility of self-efficacy as a predictor of social activity and mood control in multiple sclerosis (MS). Seventy-one subjects with MS were recruited from people attending an MS centre or from a mailing list and were examined on two occasions that were two months apart. Clinic patients were more disabled than patients who completed assessments by post, but they were of higher socioeconomic status and were less dysphoric. We attempted to predict self-reported performance of mood control and social activity at two months, from self-efficacy or performance on these tasks at pretest. Demographic variables, disorder status, disability, self-esteem and depression were also allowed to compete for entry into multiple regressions. Substantial stability in mood, performance and disability was observed over the two months. In both mood control and social activity, past performance was the strongest predictor of later performance, but self-efficacy also contributed significantly to the prediction. The disability level entered a prediction of socila activity, but no other variables predicted either type of performance. A secondary analysis predicting self-esteem at two months also included self-efficacy for social activity, illustrating the contribution of perceived capability to later assessments of self-worth. The study provided support for self-efficacy as a predictor of later behavioural outcomes and self-esteem in multiple sclerosis.

Health-related quality of life in obese children and adolescents

Objective: This review addresses the effect of overweight and obese weight status on pediatric health-related quality of life (HRQOL). Method: Web of Science, Medline, CINAHL, Cochrane Library, EMBASE, AMED and PubMed were searched for peer-reviewed studies in English reporting HRQOL and weight status in youth (<21 years), published before March 2008. Results: Twenty-eight articles were identified. Regression of HRQOL against body mass index (BMI) using pooled data from 13 studies utilizing the Pediatric Quality of Life Inventory identified an inverse relationship between BMI and pediatric HRQOL (r=−0.7, P=0.008), with impairments in physical and social functioning consistently reported. HRQOL seemed to improve with weight loss, but randomized controlled trials were few and lacked long-term follow-up. Conclusions: Little is known about the factors associated with reduced HRQOL among overweight or obese youth, although gender, age and obesity-related co-morbidities may play a role. Few studies have examined the differences in HRQOL between community and treatment-seeking samples. Pooled regressions suggest pediatric self-reported HRQOL can be predicted from parent proxy reports, although parents of obese youths tend to perceive worse HRQOL than children do about themselves. Thus, future research should include both pediatric and parent proxy perspectives.

Differences between students and non-students’ willingness to donate to a charitable organisation

This paper reports on a comparative study of students and non-students that investigates which psycho-social factors influence intended donation behaviour within a single organisation that offers multiple forms of donation activity. Additionally, the study examines which media channels are more important to encourage donation. A self-administered survey instrumentwas used and a sample of 776 respondents recruited. Logistic regressions and a Chow test were used to determine statistically significant differences between the groups. For donatingmoney, importance of charity and attitude towards charity influence students, whereas only importance of need significantly influences non-students. For donating time, no significant influences were found for non-students, however, importance of charity and attitude towards charity were significant for students. Importance of need was significant for both students and non-students for donating goods, with importance of charity also significant for students. Telephone and television channels were important for both groups. However, Internet, email and short messaging services were more important for students, providing opportunities to enhance this group’s perceptions of the importance of the charity, and the importance of the need, which ultimately impacts on their attitudes towards the charity. These differences highlight the importance of charities focussing on those motivations and attitudes that are important to a particular target segment and communicating through appropriate media channels for these segments.

Determinants and market impact of seasoned equity offerings : the case of A-REITs

The paper examines the decision by Australian Real Estate Trusts (A-REITs) to issue seasoned equity offerings from 2000 - 2008 and stock market reaction to the offerings. The findings reveal that highly leveraged A-REITs with variable earnings are less likely to issue seasoned equity offerings. Inconsistent results for structure and type of properties held by the A-REIT do not allow for inference to be drawn. Similar to previous studies of seasoned equity offerings, we find a significant negative abnormal return associated with their announcement and no evidence of excessive leakage of information. Furthermore, market reaction differences to announcements of SEOs for the pre-global financial crisis (GFC) (2000-2006) and GFC eras (2007-2008) are noted with GFC era shareholders incurring larger abnormal return losses at 1.13% in comparison to the pre-GFC era shareholder loss of 0.34% on the SEO announcement day. Cross-sectional regressions show that the issued amount, leverage and profitability are significant factors affecting abnormal returns. Growth opportunities, tangibility, operating risk, size of A-REIT and other variables capturing A-REIT structure and property types held do not have an impact on abnormal returns