Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

Thermal Decomposition Kinetics of Humic Substances Extracted from Mid-Rio Negro (Amazon Basin) Soil Samples

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Acceleration of the decomposition of Sicilian lemon leaves as an auxiliary measure in the control of citrus black spot

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Thermogravimetric studies of decomposition kinetics of six different IAC Hevea rubber clones using Flynn-Wall-Ozawa approach

The thermal degradation behaviour of rubber from six new Hevea brasiliensis clones (IAC 40, 56, 300, 301, 302 and 303) from São Paulo State, Brazil was studied by thermogravimetry using the Flynn-Wall-Ozawa approach to assess the kinetic parameters ( reaction order, activation energy and pre-exponential factor) of the decomposition process. This study indicated that the thermal behaviour is a complex multiple step process, which depends on the type of rubber Hevea clones studied. The rubber from these clones can be classified, following the order of decreasing thermal stability, as IAC 303 > 302 > 56 > 40 > 300 > 301.

Effect of cationic micelles on the decomposition of alpha-aminophenyl cephalosporins

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Thermal stability and thermal decomposition of sucralose

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Time-domain analysis of piezoelectric impedance-based structural health monitoring using multilevel wavelet decomposition

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Alternative Model of Three-Phase Transmission Line Theory-Based Modal Decomposition

In this paper is shown the development of a transmission line, based on discrete circuit elements that provide responses directly in the time domain and phase. This model is valid for ideally transposed rows represent the phases of each of the small line segments are separated in their modes of propagation and the voltage and current are calculated at the modal field. However, the conversion phase-mode-phase is inserted in the state equations which describe the currents and voltages along the line of which there is no need to know the user of the model representation of the theory in the field lines modal.

Straw decomposition of nitrogen-fertilized grasses intercropped with irrigated maize in an integrated crop-livestock system

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Hartman-Grobman decomposition when in presence of jumps in the relative degree of the dynamics in an energy harvesting device

This work deals with the nonlinear piezoelectric coupling in vibration-based energy harvesting, done by A. Triplett and D.D. Quinn in J. of Intelligent Material Syst. and Structures (2009). In that paper the first order nonlinear fundamental equation has a three dimensional state variable. Introducing both observable and control variables in such a way the controlled system became a SISO system, we can obtain as a corollary that for a particular choice of the observable variable it is possible to present an explicit functional relation between this variable one, and the variable representing the charge harvested. After-by observing that the structure in the Input-Output decomposition essentially changes depending on the relative degree changes, presenting bifurcation branches in its zero dynamics-we are able in to identify this type of bifurcation indicating its close relation with the Hartman - Grobman theorem telling about decomposition into stable and the unstable manifolds for hyperbolic points.

Laurdan Spectrum Decomposition as a Tool for the Analysis of Surface Bilayer Structure and Polarity: a Study with DMPG, Peptides and Cholesterol

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Photocatalytic decomposition of diclofenac potassium using silver-modified TiO(2) thin films

The effects of silver insertion on the TiO(2) photocatalytic activity for the degradation of diclofenac potassium were reported here. Techniques such as X-ray diffraction, scanning electron microscopy and UV-Vis spectroscopy were used to comprehend the relation between structure and properties of the silver-modified TiO(2), thin films obtained by the sol-gel method. The lattice parameters and the crystallinity of TiO(2) anatase phase were affected by inserted silver, and the film thickness increased about 4 nm for each 1 wt.% of silver inserted. The degradation of diclofenac potassium and by-products reached an efficiency of 4.6 mg(C) W(-1) when the material was modified with silver. Although the first step of degradation involves only the photochemical process related to the loss of the chlorine and hydrogen atoms. This cyclization reaction leads to the formation of intermediate, which degradation is facilitated by the modified material. (C) 2007 Elsevier B.V. All rights reserved.

A Decomposition and Noise Removal Method Combining Diffusion Equation and Wave Atoms for Textured Images

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)