Pricing of Liquidity Risks in London Stock Exchange

This thesis aims to investigate pricing of liquidity risks in London Stock Exchange. Liquidity Adjusted Capital Asset Pricing Model i.e. LCAPM developed by Acharya and Pedersen (2005) is being applied to test the influence of various liquidity risks on stock returns in London Stock Exchange. The Liquidity Adjusted Capital Asset Pricing model provides a unified framework for the testing of liquidity risks. All the common stocks listed and delisted for the period of 2000 to 2014 are included in the data sample. The study has incorporated three different measures of liquidity – Percent Quoted Spread, Amihud (2002) and Turnover. The reason behind the application of three different liquidity measures is the multi-dimensional nature of liquidity. Firm fixed effects panel regression is applied for the estimation of LCAPM. However, the results are robust according to Fama-Macbeth regressions. The results of the study indicates that liquidity risks in the form of (i) level of liquidity, (ii) commonality in liquidity (iii) flight to liquidity, (iv) depressed wealth effect and market return as well as aggregate liquidity risk are priced at London Stock Exchange. However, the results are sensitive to the choice of liquidity measures.

Determinants of bankruptcy protection duration for Canadian firms

The present thesis examines the determinants of the bankruptcy protection duration for Canadian firms. Using a sample of Canadian firms that filed for bankruptcy protection between the calendar years 1992 and 2009, we fmd that the firm age, the industry adjusted operating margin, the default spread, the industrial production growth rate or the interest rate are influential factors on determining the length of the protection period. Older firms tend to stay longer under protection from creditors. As older firms have more complicated structures and issues to settle, the risk of exiting soon the protection (the hazard rate) is small. We also find that firms that perform better than their benchmark as measured by the industry they belong to, tend to leave quickly the bankruptcy protection state. We conclude that the fate of relatively successful companies is determined faster. Moreover, we report that it takes less time to achieve a final solution to firms under bankrupt~y when the default spread is low or when the appetite for risk is high. Conversely, during periods of high default spreads and flight for quality, it takes longer time to resolve the bankruptcy issue. This last finding may suggest that troubled firms should place themselves under protection when spreads are low. However, this ignores the endogeneity issue: high default spread may cause and incidentally reflect higher bankruptcy rates in the economy. Indeed, we find that bankruptcy protection is longer during economic downturns. We explain this relation by the natural increase in default rate among firms (and individuals) during economically troubled times. Default spreads are usually larger during these harsh periods as investors become more risk averse since their wealth shrinks. Using a Log-logistic hazard model, we also fmd that firms that file under the Companies' Creditors Arrangement Act (CCAA) protection spend longer time restructuring than firms that filed under the Bankruptcy and Insolvency Act (BIA). As BIA is more statutory and less flexible, solutions can be reached faster by court orders.

Medición del efecto del SPREAD entre las tasas de interés de los créditos hipotecarios de casa habitación en México y la tasa libre de riesgo, ante la bursatilización de la cartera hipotecaria del INFONAVIT, para el período de junio de 2001 a diciembre de

Tesis (Doctor en Filosofía con especialidad en Administración] U.A.N.L. Facultad de Contaduría Pública y Administración, 2007

Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Tracing the Origin and Spread of Agriculture in Europe

The origins of early farming and its spread to Europe have been the subject of major interest for some time. The main controversy today is over the nature of the Neolithic transition in Europe: the extent to which the spread was, for the most part, indigenous and animated by imitatio (cultural diffusion) or else was driven by an influx of dispersing populations (demic diffusion). We analyze the spatiotemporal dynamics of the transition using radiocarbon dates from 735 early Neolithic sites in Europe, the Near East, and Anatolia. We compute great-circle and shortest-path distances from each site to 35 possible agricultural centers of origin—ten are based on early sites in the Middle East and 25 are hypothetical locations set at 58 latitude/longitude intervals. We perform a linear fit of distance versus age (and vice versa) for each center. For certain centers, high correlation coefficients (R . 0.8) are obtained. This implies that a steady rate or speed is a good overall approximation for this historical development. The average rate of the Neolithic spread over Europe is 0.6–1.3 km/y (95% confidence interval). This is consistent with the prediction of demic diffusion(0.6–1.1 km/y). An interpolative map of correlation coefficients, obtained by using shortest-path distances, shows that the origins of agriculture were most likely to have occurred in the northern Levantine/Mesopotamian area

Identifying seed uptake pathways: The spread of Agya amoah rice cultivar in southwestern Ghana

A study was carried out to identify the factors that contributed to the natural spread and uptake of a rainfed rice variety named Agya Amoah in the Western Region of Ghana after introduction of a small amount (0.5 kg) of seed in 1987 by a small-scale farmer. Fifteen years after its introduction over 73% of rice farmers had grown the variety in the Western Region. Initial awareness of the variety was created by information provided mainly by friends, seeing the variety grown in fields and from relatives. Seed for initial planting of the variety was purchased from other farmers by 67% of farmers, but in the most recent season 77% of farmers used their own saved seed. Annual incremental income per household from the replacement of the previously most widely grown variety with Agya Amoah was estimated to be US $282. The results show that informal systems can result in relatively fast spread and extensive uptake. Local seed systems need to be understood to design appropriate activities that are likely to lead to rapid spread and equitable distribution of introduced varieties, irrespective of characteristics such as wealth and kin.

Modelling disease spread and control in networks: implications for plant sciences

Networks are ubiquitous in natural, technological and social systems. They are of increasing relevance for improved understanding and control of infectious diseases of plants, animals and humans, given the interconnectedness of today's world. Recent modelling work on disease development in complex networks shows: the relative rapidity of pathogen spread in scale-free compared with random networks, unless there is high local clustering; the theoretical absence of an epidemic threshold in scale-free networks of infinite size, which implies that diseases with low infection rates can spread in them, but the emergence of a threshold when realistic features are added to networks (e.g. finite size, household structure or deactivation of links); and the influence on epidemic dynamics of asymmetrical interactions. Models suggest that control of pathogens spreading in scale-free networks should focus on highly connected individuals rather than on mass random immunization. A growing number of empirical applications of network theory in human medicine and animal disease ecology confirm the potential of the approach, and suggest that network thinking could also benefit plant epidemiology and forest pathology, particularly in human-modified pathosystems linked by commercial transport of plant and disease propagules. Potential consequences for the study and management of plant and tree diseases are discussed.