Asset Management and Investment Banking

We find evidence that conflicts of interest are pervasive in the asset management business owned by investment banks. Using data from 1990 to 2008, we compare the alphas of mutual funds, hedge funds, and institutional funds operated by investment banks and non-bank conglomerates. We find that, while no difference exists in performance by fund type, being owned by an investment bank reduces alphas by 46 basis points per year in our baseline model. Making lead loans increases alphas, but the dispersion of fees across portfolios decreases alphas. The economic loss is $4.9 billion per year.

IFRS 9 ‘Financial instruments’: Anticipated effects of the standard change at Kesko Group

IFRS 9 Financial instruments presents the classification and measurement, the impairment and the hedge accounting requirements for accounting of financial instruments. The standard was set by the International Accounting Standards Board to replace IAS 39 Financial instruments: Recognition and Measurement on 1 January 2018. Hence, the long-criticized and complexly experienced requirements for accounting of financial instruments will undergo the most significant reform. This thesis addresses anticipated effects of IFRS 9, focusing on the challenges the new classification and measurement requirements bring forth in the case organization Kesko. This thesis was conducted as an action research, in which, a case study method was applied. The thesis was conducted with a twofold manner, which involved general analysis of IFRS 9 and further covered distinct ambitions related to the case organization. For the general part, empirical data was gathered by interviewing two IFRS experts from KPMG and PwC, while the interviews within the case organization constituted for the case study. Further, the literature on the IFRS 9 was such scant that the theoretical examination was merged with the IFRS experts’ quotations that also strived to contribute to the overall objective of reinforcing the body of research related to the subject. This thesis indicates that IFRS 9 will most fundamentally reform the impairment and the hedge accounting requirements of financial instruments. Regard to impairment, the changes are anticipated to increase the amount of loan-loss provisions, whereas the relaxed hedge accounting requirements are expected to encourage more companies to commence the application of hedge accounting. The thesis provides empirical support on that the term business model for managing financial assets, introduced in IFRS 9, is ably hard to comprehend and remains ambiguous. It goes on to argue that the most prominent issue in defining the business model for managing financial assets is the limits set in IFRS 9 for selling financial assets. In consideration of Kesko, this thesis finds that the key effects of IFRS 9 are anticipated to be the reshaping of the organization’s treasury policy and further examination of the possibility to apply hedge accounting for foreign exchange derivatives. What is more, the thesis presumes that complying the requirements of IFRS 9 Kesko will apply the hold to collect and sell model for managing financial assets in future.

Cambios de CEO y presidentes de directorio en el Perú : un enfoque para las empresas peruanas con mayor frecuencia de negociación en la BVL de 1992 al 2014

Esta investigación tiene como objetivo determinar si los anuncios de cambios de CEO y presidentes de Directorio de las empresas listadas en la Bolsa de Valores de Lima (BVL) afectan el valor de la firma en los días cercanos al anuncio. Fue la pronta salida de Steve Jobs como CEO de Apple Inc., a causa de una enfermedad mortal, lo que nos generó el cuestionamiento respecto a cuál sería el desempeño que tienen las acciones cuyas compañías pasan por eventos similares. Como se sabe, el mercado castigó la acción de Apple el día de la muerte de Steve Jobs, con caídas superiores al 2% el día del anuncio. ¿Tendrían los mercados desarrollados y emergentes el mismo comportamiento?, ¿los eventos de cambio de CEO generan las mismas reacciones en los países emergentes? Grande fue nuestra sorpresa al observar, a nivel local, cambios en la gerencia general como en Backus & Johnston (3/9/2013) sin un efecto significativo en el mercado, pues incluso el mercado no negoció dicho valor hasta el 19/9/2013. Con el objetivo de obtener una respuesta a las consultas inicialmente planteadas, se aplicó la metodología denominada Event Analysis, la cual ya ha sido utilizada para evaluar la existencia de retornos anormales ante cambios en CEO y presidentes de Directorio en mercados desarrollados como EE. UU., Países Bajos, Australia, España, etc., y también en mercados emergentes como Colombia, Chile y México. Nuestro estudio para el mercado peruano consistió en una muestra conformada por las cincuenta empresas cuyas acciones son las de mayor frecuencia de negociación en la BVL. Se tomó en consideración todos los eventos de cambio de CEO y presidentes de Directorio entre 1992 y el 2014. De acuerdo con los resultados de la investigación realizada, la existencia de retornos anormales en los cambios de CEO y presidentes de Directorio no son estadísticamente significativos, por lo que no podrían ser usado para generar estrategias del tipo Event-driven por parte de los hedge funds. La razón predominante es la alta volatilidad de los resultados y la poca profundidad del mercado que cuenta con poca liquidez; asimismo, el hecho de tener eventos relevantes que no son tomados en cuenta por el mercado.

Essays in corporate finance

China has been growing rapidly over the last decades. The private sector is the driving force of this growth. This thesis focuses on firm-level investment and cash holdings in China, and the chapters are structured around the following issues. 1. Why do private firms grow so fast when they are more financially constrained? In Chapter 3, we use a panel of over 600,000 firms of different ownership types from 1998 to 2007 to find the link between investment opportunities and financial constraints. The main finding indicates that private firms, which are more likely to be financially constrained, have high investment-investment opportunity sensitivity. Furthermore, this sensitivity is relatively lower for state-owned firms in China. This shows that constrained firms value investment opportunities more than unconstrained firms. To better measure investment opportunities, we attempt to improve the Q model by considering supply and demand sides simultaneously. When we capture q from the supply side and the demand side, we find that various types of firms respond differently towards different opportunity shocks. 2. In China, there are many firms whose cash flow is far greater than their fixed capital investment. Why is their investment still sensitive to cash flow? To explain this, in Chapter 4, we attempt to introduce a new channel to find how cash flow affects firm-level investment. We use a dynamic structural model and take uncertainty and ambiguity aversion into consideration. We find that uncertainty and ambiguity aversion will make investment less sensitive to investment opportunities. However, investment-cash flow sensitivity will increase when uncertainty is high. This suggests that investment cash flow sensitivities could still be high even when the firms are not financially constrained. 3. Why do firms in China hold so much cash? How can managers’ confidence affect corporate cash holdings? In Chapter 5, we analyse corporate cash holdings in China. Firms hold cash for precautionary reasons, to hedge frictions such as financing constraints and uncertainty. In addition, firms may act differently if they are confident or not. In order to determine how confidence shocks affect precautionary savings, we develop a dynamic model taking financing constraints, uncertainty, adjustment costs and confidence shocks into consideration. We find that without confidence shocks, firms will save money in bad times and invest in good times to maximise their value. However, if managers lose their confidence, they tend to save money in good times to use in bad times, to hedge risks and financing constraint problems. This can help explain why people find different results on the cash flow sensitivity of cash. Empirically, we use a panel of Chinese listed firms. The results show that firms in China save more money in good times, and the confidence shock channel can significantly affect firms’ cash holdings policy.

Lipid and lipid carbon stable isotope composition of the hydrothermal vent shrimp Mirocaris fortunata: evidence for nutritional dependence on photosynthetically fixed carbon

Mirocaris fortunata were sampled from the Lucky Strike hydrothermal vent area (Eiffel Tower site) on the mid-Atlantic ridge during the French DIVA 2 cruise (June 1994). Small adults (17 to 22 mm total length), although morphologically identical, could be divided into 2 categories on the basis of pigmentation, lipid composition and C-13/C-12 stable isotope ratios of fatty acids. Highly pigmented small adults (8.6 to 9.2 mu g carotenoid shrimp(-1)) contained higher levels of total lipid than similar-sized individuals containing lower levels of pigment (0.9 to 2.9 mu g carotenoid shrimp(-1)). Lipid class analysis indicated that wax esters comprised 62.5% of total lipid in the former group. These pigmented shrimp also contained high proportions of polyunsaturated fatty acids (PUFA), particularly the phototrophic microplanktonic markers 20:5(n-3) and 22:6(n-3) (14.0 and 33.5% respectively). By contrast small adults (22 mm) and adult shrimp (25 to 26 mm) with low levels of carotenoid pigmentation contained lower amounts of total lipid, little or no wax ester and low levels of 20:5(n-3) and 22:6(n-3), but did contain 16:2(n-4) and 18:2(n-4) and the non-methylene interrupted dienes 20:2 Delta 5,13 and 22:2 Delta 7,15. GC-IRMS analysis of all fatty acids and fatty alcohols in the pigmented small adults indicated delta(13)C values of -18.2 to -27.7 parts per thousand, which is consistent with a photosynthetic carbon source for these compounds. The C-13/C-12 isotope composition of fatty acids from low-pigmented small adults and adults was more variable (-12.5 to -33.1 parts per thousand) and suggests a bimodal distribution which may be attributable to differing nutritional sources or the physiological/reproductive status of these shrimp. Samples of eggs, which are carried by the female on the pleopods, represented approximately 57% of total somatic lipid which indicates a substantial reproductive investment by this species. The egg lipids comprised high proportions of triacylglycerols (64.4 to 78.0% of total lipid) whilst the fatty acid composition was dominated by the monounsaturated fatty acids 16:1(n-7), 18:1(n-7) and 18:1(n-9), which accounted for 65.7 to 33.5% of total fatty acids. By contrast, PUFA were relatively minor components of egg lipids, particularly 20:5(n-3) and 22:6(n-3), which accounted for only 1.1 and 2.9% of total egg fatty acids respectively. This indicates that the reproductive investment by this species is supported mainly by material derived from bacterial chemosynthesis. The potential for M. fortunata hedge betting by producing larvae which either metamorphose at the vent site or adopt a bathypelagic lifestyle and delay metamorphosis to facilitate more widespread dispersal is discussed.

Avaliação do mercado futuro do milho brasileiro como mecanismo de apoio à comercialização para os produtores de Goiás

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Agronomia e Medicina Veterinária, Programa de Pós-Graduação em Agronegócios, 2016.

Testing the random walk hypothesis with variance ratio statistics

Mestrado em Finanças

Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

Riesgo biomecánico y dolor lumbar en operarios y personal administrativo en una fábrica de jabón en Bogotá 2016

Introducción: El dolor lumbar y los desórdenes músculo esqueléticos comprometen la salud y la calidad de vida de los trabajadores, pueden poner en riesgo el futuro laboral de las personas. bjetivo: Estimar la prevalencia de dolor lumbar y los posibles factores biomecánicos asociados en el personal operativo y administrativo en una empresa manufacturera de jabón en Bogotá, en el año 2016 Metodología: Estudio de corte transversal donde se evaluó el riesgo biomecánico y la prevalencia del dolor lumbar en personal administrativo (138) y operativo (165); se utilizó como instrumento el ERGOPAR validado en España. Se revisó la asociación utilizando la prueba Chi Cuadrado de Pearson, con un nivel de significación α 0.05 Resultados: 303 trabajadores de una empresa manufacturera de jabón en Bogotá, donde predominó el género masculino (51,82%) y la población adulta media entre 30-39 años (57,42%). La prevalencia del dolor lumbar en la población fue de 61,39% (186). La edad no se asoció estadísticamente al dolor lumbar. Se encontró asociación estadística entre el síntoma dolor lumbar y extensión de cuello (p=0,05 OR1.95 IC 1.33-2.88), así como con agarrar o sujetar objetos (p= 0,036. OR 2.3 IC 1.59-3.51) y con las exigencias físicas laborales (p= 0.001 OR 1.99 IC 1.31-3.02). Conclusiones: La población estudiada presentó una alta prevalencia de dolor lumbar, con predominio en personal que realiza labores operativas, y del género femenino. La adopción de posturas de extensión del cuello y la sujeción o agarre de objetos son factores asociados directamente con la aparición de lumbalgia.