Earnings management and stock price crashes post-crossdelisting

We test whether cross-delisted firms from the major U.S. stock exchanges experience an increase in crash risk associated with earnings management. Consistent with our prediction, we find that earnings management have a greater positive impact on stock price crash risk post-cross-delisting when compared to a sample of still cross-listed firms. Moreover, our results suggest that this effect is more pronounced for crossdelisted firms from countries with weaker investor protection and poorer quality of their information environment. We further examine whether managers’ ability to manipulate earnings increases post-cross-delisting around seasoned equity offerings. Our evidence shows that cross-delisted firms that engage in earnings management to inflate reported earnings prior to a seasoned equity offering are more likely to observe a subsequent stock price crash.

Post-operating performance of cross-delisted firms from U.S. stock exchanges

We investigate the long-term performance of cross-delisted firms from U.S. stock markets. Using a sample of foreign firms listed and delisted from U.S. stock exchange markets over 2000-2012, we examine the operating performance and the long-run stock returns performance of firms post-cross-delisting. Our results suggest that cross-delisted firms have less growth opportunities than matched cross-listed firms in the long run. Moreover, firms that cross-delist after the passage of Rule 12h-6 of 2007 exhibit a significant decline in operating performance. In contrast, before the adoption of the Rule 12h-6, cross-delisted firms seem to be affected by the cost of a U.S. listing in the precross -delisting period. In addition, we provide evidence that cross-delisted firms underperform their cross-listed peers; cross-delisted firms experience negative average abnormal returns, especially in the post-delisting period.

Global warming in Amazonia: impacts and Mitigation

Global warming has potentially catastrophic impacts in Amazonia, while at the same time maintenance of the Amazon forest offers one of the most valuable and cost-effective options for mitigating climate change. We know that the El Niño phenomenon, caused by temperature oscillations of surface water in the Pacific, has serious impacts in Amazonia, causing droughts and forest fires (as in 1997-1998). Temperature oscillations in the Atlantic also provoke severe droughts (as in 2005). We also know that Amazonian trees die both from fires and from water stress under hot, dry conditions. In addition, water recycled through the forest provides rainfall that maintains climatic conditions appropriate for tropical forest, especially in the dry season. What we need to know quickly, through intensified research, includes progress in representing El Niño and the Atlantic oscillations in climatic models, representation of biotic feedbacks in models used for decision-making about global warming, and narrowing the range of estimating climate sensitivity to reduce uncertainty about the probability of very severe impacts. Items that need to be negotiated include the definition of "dangerous" climate change, with the corresponding maximum levels of greenhouse gases in the atmosphere. Mitigation of global warming must include maintaining the Amazon forest, which has benefits for combating global warming from two separate roles: cutting the flow the emissions of carbon each year from the rapid pace of deforestation, and avoiding emission of the stock of carbon in the remaining forest that can be released by various ways, including climate change itself. Barriers to rewarding forest maintenance include the need for financial rewards for both of these roles. Other needs are for continued reduction of uncertainty regarding emissions and deforestation processes, as well as agreement on the basis of carbon accounting. As one of the countries most subject to impacts of climate change, Brazil must assume the leadership in fighting global warming.

Consumption, wealth, stock and housing returns: evidence from emerging markets

We test the predictive ability of the transitory deviations of consumption from its common trend with aggregate wealth and labour income, cay, for both future equity and housing risk premia in emerging market economies. Using quarterly data for 31 markets, our country-level evidence shows that forecasting power of cay vis-à-vis stock returns is high for Brazil, China, Colombia, Israel, Korea, Latvia and Malaysia. As for housing returns, the empirical evidence suggests that financial and housing assets are perceived as complements in the case of Chile, Russia, South Africa and Thailand, and as substitutes in Argentina, Brazil, Hong Kong, Indonesia, Korea, Malaysia, Mexico and Taiwan. Using a panel econometric framework, we find that the cross-country heterogeneity observed in asset return predictability does not accrue to regional location, but can be attributed to differences in the degree of equity market development and in the level of income.

Investor sentiment and the cross-section of stock returns in the French stock market

Dissertação de mestrado em Finanças

The real economic effects of cross-delistingfrom the united states: evidence on post-operating performance, financial constraints and stock crash risk

Tese de Doutoramento em Ciências Empresariais.

An investigation of soil quality parameters relating to agricultural reuse and land disposal options for the management of biosolids

Sludge provides valuable nutrients to soil. Application of sludge to land is subject to a number of limitations. Its use as a soil conditioner represents a "beneficial reuse option". Primary and secondary sludge from Dublin city is treated in Ringsend treatment plant where it undergoes thermal drying. This study investigates the feasibility of land application of thermally dried biosolids (TDB) from Ringsend treatment plant.

Data for the sustainable management of an emerging fishery: Age, growth and stock structure of Atlantic saury Scomberesox saurus saurus (Walbaum), in the Northeastern Atlantic Ocean

Almost half of Ireland’s commercial stocks face overexploitation. As traditional species decrease in abundance and become less profitable, the industry is increasingly turning to alternate species. Atlantic saury (Scomberesox saurus saurus (Walbaum)) has been identified as a potential species for exploitation. Very little information is available on its biology or population dynamics, especially for Irish waters. This thesis aims to obtain sound scientific data, which will help to ensure that a future Atlantic saury fishery can be sustainably managed. The research has produced valuable data, some of which contradicts previous studies. Growth of Atlantic saury measured using otolith microstructure is found to be more than twice that previously calculated from annual structures on scales and otoliths. This results in a significant reduction of the expected life span from five to about two years. Investigation of maturity stage at age indicates that Atlantic saury will reproduce for the first time at age one and will survive for one or at most two reproduction seasons. It is concluded that a future Irish fishery will target mostly fish prior to their first reproduction. Finally the thesis gives some insights into the population structure of Atlantic saury, by analysis of otolith morphometric. Significant differences are detected between Northeastern Atlantic and western Mediterranean Sea specimens of the 0+ age class (less than one year old). The implications of these results for the management of an emerging fishery are discussed.

Stock market volatility and learning

Introducing bounded rationality in a standard consumption-based asset pricing model with time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though our learning scheme introduces just one free parameter and we only consider learning schemes that imply small deviations from full rationality. The findings are robust to the learning rule used and other model features. What is key is that agents forecast future stock prices using past information on prices.

Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Why do convertible issuers simultaneously repurchase stock? An arbitrage-based explanation

We examine why firms combine convertible debt offerings with stock repurchases. In 2006, 33% of the convertible issuers in the US simultaneously repurchased stock. These combined transactions are inconsistent with traditional motivations for convertible issuance. We document that convertible arbitrage drives these stock repurchases. Convertible debt arbitrageurs simultaneously buy convertibles and short sell the issuer’s common stock, resulting in downward pressure on the stock price. To prevent such short-selling activity, firms repurchase their stock directly from arbitrageurs. We show that combined transactions exhibit lower short-selling activity and that convertible arbitrage explains both the size and speed of the stock repurchases.

Stock market integration between new EU member states and the Euro-zone

This paper measures the degree in stock market integration between five Eastern European countries and the Euro-zone. A potentially gradual transition in correlations is accommodated by smooth transition conditional correlation models. We find that the correlation between stock markets has increased from 2001 to 2007. In particular, the Czech and Polish markets show a higher correlation to the Euro-zone. However, this is not a broad-based phenomenon across Eastern Europe. We also find that the increase in correlations is not a reflection of a world-wide phenomenon of financial integration but appears to be specific to the European market. JEL classifications: C32; C51; F36; G15 Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock Return Comovement; New EU Members.

The long run relationship between stock prices and goods prices: new evidence from panel cointegration

We examine the long run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from sixteen OECD countries over the period 1970-2006 are used. We account for different inflation regimes with the use of sub-sample regressions, whilst maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis.

Options chirurgicates pour l'insuffisance cardiaque terminale [Surgical options for terminal heart failure]

Terminal heart failure can be the cause or the result of major dysfunctions of the organisms. Although, the outcome of the natural history is the same in both situations, it is of prime importance to differentiate the two, as only heart failure as the primary cause allows for successful mechanical circulatory support as bridge to transplantation or towards recovery. Various objective parameters allow for the establishment of the diagnosis of terminal heart failure despite optimal medical treatment. A cardiac index <2.0 l/min, and a mixed venous oxygen saturation <60%, in combination with progressive renal failure, should trigger a diagnostic work-up in order to identify cardiac defects that can be corrected or to list the patient for transplantation with/without mechanical circulatory support.