Kvantitatiivisten arvostrategioiden menestyminen Frankfurtin pörssissä

Tutkimuksessa tarkastellaan voidaanko Piotroskin (2000) kehittämää F-scorea käyttämällä saada arvostrategiaa parempia tuottoja Frankfurtin pörssissä 1998 – 2012. Arvostrategiaa määrittävinä tunnuslukuina käytetään P/E- ja P/B-lukujen käänteislukuja sekä niistä muodostettua yhdistelmätunnuslukua. Tunnusluvuille luodaan yhden, kahden ja kolmen vuoden sijoitusstrategiat, joiden menestymistä verrataan toisiinsa. Tuloksien perusteella voidaan todeta F-scoren olevan hyödyllisin P/B-lukuun yhdistettynä ja P/E-lukuun sovellettuna hyödytön. P/B-luvun kohdalla F-scoren ylituotto arvostrategiaan nähden on 9,60 prosenttiyksikköä. Vuotuinen tuotto P/B-luvun F-scoren strategialle on 23,16 %. Paras riskiin suhteutettu (oikaistu Sharpe) tulos on P/B-luvun yhden vuoden F-scoren strategialla (0,3414). Kolmifaktorimallin estimoimien ylituottojen erot ovat marginaalisen pieniä F-scoren ja arvostrategian välillä. Sijoitushorisontin osalta yhden vuoden pitoaika on menestyksekkäin kaikkien tutkimuksessa käytettyjen tunnuslukujen mukaan.

New ways to do business plans in multicultural organizations

Business plans are made when establishing new company or when organizations launch new product or services. In this Master Thesis was examined the elements are included in the business plan and emphasized. Business plan is a wide document and can also contain company specific information, the literature review was restricted into three areas which were investigated from the relating literature and articles. The selected areas were Market Segmentation and Targeting, Competitive Environment, and Market Positioning and Strategy. The different business plan models were investigated by interviewing companies who operates in a different industry sectors from each other’s. The models were compared to each other and to the findings from literature. Based on interview results and literature findings, the business plan for fibre based packaging. The created business plan contains three selected areas. It was found that the selected business plan elements can be found from the interviewed companies’ business plans. The market segmentation was done by comparing the market share to known total market size. When analyzing the competitive environment, there was no one selected model in use. The tools to evaluate competitive environment was selected parts from both SWOT analysis and Porter’s five forces model in applicable part. Based on interview results, it can be state that the company or organization should find and built its own model for business plans. In order to receive the benefits for future planning, the company should use the same model for long time.

Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

Effect of executive compensation on firm performance

The paper finds evidence that the equity-based CEO pay is positively related to firm performance and risk-taking. Both stock price and operating performance as well as firm's riskiness increase in the pay-performance sensitivities (PPS) provided by CEO stock options and stock holdings. PPS can explain stock returns better as an additional factor to the Fama-French 3-factor model. When CEOs are compensated with higher PPS, firms experience higher return on asset (ROA). The higher PPS also leads to the higher risk-taking. While CEO incentive compensation has been perceived mixed on its effectiveness, this study provides support to the equity-based CEO compensation in reducing agency conflicts between CEOs and shareholders.

Questionnaire d'attitudes et de préférences éducatives des intervenants (QAPÉI) : structure factorielle et relations avec les traits de personnalité

La psychoéducation de même que plusieurs approches théoriques en psychologie clinique suggèrent que l’intervenant constitue un élément actif fondamental des interventions auprès des individus en difficulté. Parmi l’ensemble des caractéristiques des intervenants qui sont utiles de considérer, les attitudes et préférences éducatives des intervenants apparaissent importantes puisqu’elles peuvent être reliées à un bon appariement avec un milieu d’intervention donné, au sentiment d’efficacité professionnelle et, ultimement, à l’efficacité d’une intervention. Or, très peu d’instruments psychométriques d’évaluation validés existent pour évaluer ces construits importants. Cette étude visait principalement à effectuer un examen préliminaire des propriétés psychométriques de la version française du Questionnaire d’attitudes et de préférences des intervenants (QAPÉI; Jesness & Wedge, 1983; Le Blanc, Trudeau-Le Blanc, & Lanctôt, 1999). Le premier objectif de la présente étude était d’évaluer si la structure théorique originale était reproductible empiriquement ou si une structure factorielle alternative était nécessaire. Le deuxième objectif était d’évaluer si les attitudes et préférences éducatives des intervenants étaient reliées à leurs traits de personnalité. L’échantillon utilisé était composé d’intervenants faisant partie de Boscoville2000, un projet d’intervention cognitive-comportementale en milieu résidentiel pour les adolescents en difficulté. Des analyses factorielles exploratoires ont démontré que la structure théorique originale n’était pas reproduite empiriquement. Une structure alternative en cinq facteurs a été recouvrée. Cette structure alternative était plus cohérente sur le plan conceptuel et démontrait une bonne adéquation aux données. Les facteurs identifiés ont été nommés Distance affective, Évitement thérapeutique, Exaspération, Permissivité et Coercition. Des analyses corrélationnelles ont démontré que ces échelles d’attitudes et de préférences éducatives étaient reliées de façon conceptuellement cohérente aux traits de personnalité des intervenants, ce qui appuie la validité de critère de la nouvelle structure de l’instrument.

De la modélisation à la quantification par ultrasons de l'agrégation érythrocytaire

Le travail a été réalisé en collaboration avec le laboratoire de mécanique acoustique de Marseille, France. Les simulations ont été menées avec les langages Matlab et C. Ce projet s'inscrit dans le champ de recherche dénommé caractérisation tissulaire par ultrasons.

Cross-sectional dependence in idiosyncratic volatility

This paper introduces a framework for analysis of cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities such as covariances and correlations. Next, we study an idiosyncratic volatility factor model, in which we decompose the co-movements in idiosyncratic volatilities into two parts: those related to factors such as the market volatility, and the residual co-movements. When using high frequency data, naive estimators of all of the above measures are biased due to the estimation errors in idiosyncratic volatility. We provide bias-corrected estimators and establish their asymptotic properties. We apply our estimators to high-frequency data on 27 individual stocks from nine different sectors, and document strong cross-sectional dependence in their idiosyncratic volatilities. We also find that on average 74% of this dependence can be explained by the market volatility.

Texture, composition and provinance of innershelf sediments between Narakkal and Purakkad, Kerala with special reference to the formation of Mud Banks

The continental shelf of southwest coast of India (Kerala) is broader and . flatter compared to that of the east coast. The unique characteristic feature of the study area (innershelf between Narakkal and Purakkad) is the intermittent appearance of 'mud banks' at certain locations during southwest monsoon. The strong seasonality manifests significant changes in the wind, waves, currents, rainfall, drainage etc., along this area. Peculiar geomorphological variation with high, mid and lowlands in the narrow strip of the hinterland, the geological formations mainly consisting of rocks of metamorphic origin and the humid tropical weathering conditions play significant role in regulating the shelf sedimentation. A complementary pattern of distri bution is observed for clay that shows an abundance in the nearshore. Silt, to a major extent, depicts semblance with clay distribution . Summation of the total asymmetry of grain size distribution are inferred from the variation of skewness and kurtosis.Factor I implies a low energy regime where the transportation and deposition phases are controlled mostly by pelagic suspension process as the factor loadings are dominant on finer phi sizes. The second Factor is inferred to be the result of a high energy regime which gives higher loadings on coarser size fractions. The third Factor which might be a transition phase (medium energy regime) representing the resultant flux of coastal circulation of the re-suspension/deposition and an onshoreoffshore advection by reworking and co-deposition of relict and modern sediments. The spatial variations of the energy regime based on the three end-member factor model exhibits high energy zone in the seaward portion transcending to a low energy one towards the coast.From the combined analysis of granulometry and SEM studies, it is concluded that the sandy patches beyond 20 m depth are of relict nature. They are the resultant responses of beach activity during the lower stand of sea level in the Holocene. Re-crystallisation features on the quartz grains indicate that they were exposed to subaerial weathering process subsequent to thei r deposition

Valoración del costo de los recursos propios de las empresas. caso particular: empresas de servicios a la persona en Francia

El WACC o Coste Medio Ponderado de Capital es la tasa a la que se deben descontar los flujos para evaluar un proyecto o empresa. Para calcular esta tasa es necesario determinar el costo de la deuda y el costo de los recursos propios de la compañía; el costo de la deuda es la tasa actual del mercado que la empresa está pagando por su deuda, sin embargo el costo de los recursos propios podría ser difícil y más complejo de estimar ya que no existe un costo explícito. En este trabajo se presenta un panorama de las teorías propuestas a lo largo de la historia para calcular el costo de los recursos propios. Como caso particular, se estimará el costo de los recursos propios sin apalancamiento financiero de seis empresas francesas que no cotizan en bolsa y pertenecientes al sector de Servicios a la Persona (SAP). Para lograr lo anterior, se utilizará el Proceso de Análisis Jerárquico (AHP) y el Modelo de Valoración del Precio de los Activos Financieros (CAPM) con base en lo presentado por Martha Pachón (2013) en “Modelo alternativo para calcular el costo de los recursos propios”.

Estructura a Plazo Colombia: Modelo Afín de tres factores

La estimación e interpretación de la estructura a plazo de la tasas de interés es de gran relevancia porque permite realizar pronósticos, es fundamental para la toma de decisiones de política monetaria y fiscal, es esencial en la administración de riesgos y es insumo para la valoración de diferentes activos financieros. Por estas razones, es necesario entender que puede provocar un movimiento en la estructura a plazo. En este trabajo se estiman un modelo afín exponencial de tres factores aplicado a los rendimientos de los títulos en pesos de deuda pública colombianos. Los factores estimados son la tasa corta, la media de largo plazo de la tasa corta y la volatilidad de la tasa corta. La estimación se realiza para el periodo enero 2010 a mayo de 2015 y se realiza un análisis de correlaciones entre los tres factores. Posterior a esto, con los factores estimados se realiza una regresión para identificar la importancia que tiene cada uno de estos en el comportamiento de las tasas de los títulos de deuda pública colombiana para diferentes plazos al vencimiento. Finalmente, se estima la estructura a plazo de las tasas de interés para Colombia y se identifica la relación de los factores estimados con los encontrados por Litterman y Scheinkman [1991] correspondientes al nivel, pendiente y curvatura.

Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Confidence sets for asset correlations in portfolio credit risk

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

Network externalities across financial institutions

We propose and estimate a financial distress model that explicitly accounts for the interactions or spill-over effects between financial institutions, through the use of a spatial continuity matrix that is build from financial network data of inter bank transactions. Such setup of the financial distress model allows for the empirical validation of the importance of network externalities in determining financial distress, in addition to institution specific and macroeconomic covariates. The relevance of such specification is that it incorporates simultaneously micro-prudential factors (Basel 2) as well as macro-prudential and systemic factors (Basel 3) as determinants of financial distress. Results indicate network externalities are an important determinant of financial health of a financial institutions. The parameter that measures the effect of network externalities is both economically and statistical significant and its inclusion as a risk factor reduces the importance of the firm specific variables such as the size or degree of leverage of the financial institution. In addition we analyze the policy implications of the network factor model for capital requirements and deposit insurance pricing.

Antioxidant enzymes, inflammatory indices and lifestyle factors in older men: a cohort analysis

We examined the relationship between blood antioxidant enzyme activities, indices of inflammatory status and a number of lifestyle factors in the Caerphilly prospective cohort study of ischaemic heart disease. The study began in 1979 and is based on a representative male population sample. Initially 2512 men were seen in phase I, and followed-up every 5 years in phases II and III; they have recently been seen in phase IV. Data on social class, smoking habit, alcohol consumption were obtained by questionnaire, and body mass index was measured. Antioxidant enzyme activities and indices of inflammatory status were estimated by standard techniques. Significant associations were observed for: age with α-1-antichymotrypsin (p<0.0001) and with caeruloplasmin, both protein and oxidase (p<0.0001); smoking habit with α-1-antichymotrypsin (p<0.0001), with caeruloplasmin, both protein and oxidase (p<0.0001) and with glutathione peroxidose (GPX) (p<0.0001); social class with α-1-antichymotrypsin (p<0.0001), with caeruloplasmin both protein (p<0.001) and oxidase (p<0.01) and with GPX (p<0.0001); body mass index with α-1-antichymotrypsin (p<0.0001) and with caeruloplasmin protein (p<0.001). There was no significant association between alcohol consumption and any of the blood enzymes measured. Factor analysis produced a three-factor model (explaining 65.9% of the variation in the data set) which appeared to indicate close inter-relationships among antioxidants.

Continuity of care for people with psychotic illness: its relationship to clinical and social functioning.

Background: The relationship between continuity of care and user characteristics or outcomes has rarely been explored. The ECHO study operationalized and tested a multi-axial definition of continuity of care, producing a seven-factor model used here. Aims: To assess the relationship between user characteristics and established components of continuity of care, and the impact of continuity on clinical and social functioning. Methods: The sample comprised 180 community mental health team users with psychotic disorders who were interviewed at three annual time-points, to assess their experiences of continuity of care and clinical and social functioning. Scores on seven continuity factors were tested for association with user-level variables. Results: Improvement in quality of life was associated with better Experience & Relationship continuity scores (better user-rated continuity and therapeutic relationship) and with lower Meeting Needs continuity factor scores. Higher Meeting Needs scores were associated with a decrease in symptoms. Conclusion: Continuity is a dynamic process, influenced significantly by care structures and organizational change.