Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Regulation of excitotoxicity in thiamine deficiency : role of glutamate transporters.

L’excitotoxicité est un mécanisme physiopathologique majeur impliqué dans la pathogenèse de la déficience en thiamine (DT). Dans les régions cérébrales vulnérables à la DT, on observe une mort cellulaire induite par excitotoxicité dont l’origine semble être la conséquence d’une perturbation du métabolisme énergétique mitochondrial, d’une dépolarisation membranaire soutenue et d’une diminution de l’absorption du glutamate par les astrocytes suite à la diminution de l’expression des transporteurs EAAT1 et EAAT2. Il est clairement établi que le glutamate joue un rôle central dans l’excitotoxicité lors de la DT. Ainsi, la mise en évidence des mécanismes impliqués dans la diminution de l’expression des transporteurs du glutamate est essentielle à la compréhension de la physiopathologie de la DT. L’objectif de cette thèse consiste en l’étude de la régulation des transporteurs astrocytaires du glutamate et la mise au point de stratégies thérapeutiques ciblant la pathogenèse de l’excitotoxicité lors de l’encéphalopathie consécutive à la DT. Les principaux résultats de cette thèse démontrent des perturbations des transporteurs du glutamate à la fois dans des modèles animaux de DT et dans des astrocytes en culture soumis à une DT. La DT se caractérise par la perte du variant d’épissage GLT-1b codant pour un transporteur du glutamate dans le thalamus et le colliculus inférieur, les régions cérébrales affectées lors d’une DT, en l’absence de modification des niveaux d’ARNm. Ces résultats suggèrent une régulation post-transcriptionnelle de l’expression des transporteurs du glutamate en condition de DT. Les études basées sur l’utilisation d’inhibiteurs spécifiques des facteurs de transcription NFkB et de l’enzyme nucléaire poly(ADP)ribose polymérase-1 (PARP-1) démontrent que la régulation de l’expression du transporteur GLT-1 est sous le contrôle de voies de signalisation NFkB dépendantes de PARP-1. Cette étude démontre une augmentation de l’activation de PARP-1 et de NFkB dans les régions vulnérables chez le rat soumis à une DT et en culture d’astrocytes DT. L’inhibition pharmacologique du facteur de transcription NFkB par le PDTC induit une augmentation des niveaux d’expression de GLT-1, tandis que l’inhibition de PARP-1 par le DPQ conduit à l’inhibition de l’hyperactivation de NFkB observée lors de DT. L’ensemble de ces résultats met en évidence un nouveau mécanisme de régulation des transporteurs du glutamate par l’activation de PARP-1. L’accumulation de lactate est une caractéristique de la DT. Un traitement avec le milieu de culture d’astrocytes en condition de DT sur des cultures d’astrocytes naïfs induit une diminution de l’expression de GLT-1 ainsi qu’une inhibition de la capacité d’absorption du glutamate par les astrocytes naïfs. En revanche, l’administration de lactate exogène ne modifie pas le niveau d’expression protéique de GLT-1. Ainsi, des facteurs solubles autres que le lactate sont sécrétés par des astrocytes en condition de perturbation métabolique et peuvent potentiellement réguler l’activité des transporteurs du glutamate et contribuer à la pathogenèse du syncytium astroglial. En outre, la ceftriaxone, un antibiotique de la famille des β-lactamines, augmente de façon différentielle l’expression du variant-d’épissage GLT-1 dans le colliculus inférieur chez le rat DT et en culture d’astrocytes DT. Ces résultats suggèrent que la ceftriaxone peut constituer une avenue thérapeutique dans la régulation de l’activité des transporteurs du glutamate lors de DT. Pour conclure, la mort cellulaire d’origine excitotoxique lors de DT survient en conséquence d’une dysfonction mitochondriale associée à une perturbation du métabolisme énergétique cérébral. La modification de l’expression des transporteurs du gluatamate est sous le contrôle des voies de signalisation NFkB dépendantes du facteur PARP-1. De plus, l’inhibition métabolique et l’augmentation des sécrétions de lactate observées lors de DT peuvent également constituer un autre mécanisme physiopathologique expliquant la diminution d’expression des transporteurs de glutamate. Enfin, la ceftriaxone pourrait représenter une stratégie thérapeutique potentielle dans le traitement de la régulation de l’expression des transporteurs du glutamate et de la perte neuronale associés à l’excitotoxicité observée lors de DT.

Las bases teóricas de las narraciones autobiográficas de los docentes.

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El libro de mi vida.

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Unidades didácticas : educación Infantil.

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Fusões e aquisições no setor das telecomunicações no Brasil: um estudo qualitativo

O presente trabalho teve como objetivo contextualizar as F&A ocorridas no Brasil no setor das telecomunicações e fundamentou-se numa análise qualitativa de 5 eventos recorrendo à metodologia de estudo de eventos e o seu impacto sobre o valor das ações. De acordo com os 5 eventos analisados, 3 apresentaram retornos anormais acumulados negativos e 2 eventos com retornos anormais positivos para ambas as empresas (adquirente e adquirida), pelo que podemos inferir que esses 3 eventos de F&A não geraram valor às firmas envolvidas.

The impact of negative social environmental events on the market value of supply chain partners

The present work analyzes the impact of negative social / environmental events on the market value of supply chain partners. The study offers a contextualized discussion around important concepts which are largely employed on the Operations Management and Management literature in general. Among them, the developments of the literature around supply chains, supply chain management, corporate social responsibility, sustainable development and sustainable supply chain management are particularly addressed, beyond the links they share with competitive advantage. As for the theoretical bases, the study rests on the Stakeholder Theory, on the discussion of the efficient-market hypothesis and on the discussion of the adjustment of stock prices to new information. In face of such literature review negative social / environmental events are then hypothesized as causing negative impact in the market value of supply chain partners. Through the documental analysis of publicly available information around 15 different cases (i.e. 15 events), 82 supply chain partners were identified. Event studies for seven different event windows were conducted on the variation of the stock price of each supply chain partner, valuing the market reaction to the stock price of a firm due to triggering events occurred in another. The results show that, in general, the market value of supply chain partners was not penalized in response to such announcements. In that sense, the hypothesis derived from the literature review is not confirmed. Beyond that, the study also provides a critical description of the 15 cases, identifying the companies that have originated such events and their supply chain partners involved.

Cross-border reverse takeover: o caso das multinacionais brasileiras

O Cross-border reverse takeover, conduzido pelas multinacionais brasileiras, gerou desempenho superior? Cross-border reverse takeover tem sido a expressão usada para designar a aquisição de empresas em países desenvolvidos por empresas de países em desenvolvimento. Essas aquisições, reversas porque invertem o fluxo tradicional dos investimentos internacionais, respondem atualmente por parcela significativa desses investimentos e colocam em cheque a forma tradicional de pensar os negócios internacionais. Meu argumento é que as empresas que fizeram aquisições em países desenvolvidos passam a ter acesso aos recursos não disponíveis no país de origem, tais como novas tecnologias, técnicas de gestão mais avançadas, mercado de capitais mais desenvolvidos, recursos financeiros de baixo custo, entre outros. Por outro lado, elas já desenvolveram competências para gerir esses recursos e passam a ter vantagem competitiva sobre os competidores locais, levando ao desempenho superior. No entanto, partindo dos dados da base de dados Thomson ONE, que registra todas as fusões e aquisições anunciadas, oncluídas ou não, e empregando as metodologias de estudos de evento e de regressões multivariadas, com base em dados contábeis sobre uma amostra de empresas brasileiras listadas em bolsa de valores, esta tese demonstra que estatisticamente não é possível afirmar que essas empresas obtiveram desempenho superior.

An empirical analysis on the efficiency of the microfinance investment market

This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index follows a random walk. We use the entire sample period from December 2003 to June 2010 as well as two sub-samples which divide the entire period before and after January 2007. The empirical evidence demonstrates that the index does not follow a random walk, suggesting that the market of the microfinance investment funds is not efficient. This result is not affected by changes in either empirical techniques or sample periods.

Market efficiency of commodity futures in India

This paper aims to examine the market efficiency of the commodity futures market in India, which has been growing phenomenally for the last few years. We estimate the long-run equilibrium relationship between the multi-commodity futures and spot prices and then test for market efficiency in a weak form sense by applying both the DOLS and the FMOLS methods. The entire sample period is from 2 January 2006 to 31 March 2011. The results indicate that a cointegrating relationship is found between these indices and that the commodity futures market seems to be efficient only during the more recent sub-sample period since July 2009.