Exploration in responsible business behavior: an exercise in behavioral economics.

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Handgrip strength cut-off for cardiometabolic risk index among Colombian children and adolescents : the FUPRECOL study

Abstract Objective: Evidence shows an association between muscular strength (MS) and health among youth, however low muscular strength cut-points for the detection of high metabolic risk in Latin-American populations are scarce. The aim of this study was two-fold: to explore potential age- and sex-specific thresholds of MS, for optimal cardiometabolic risk categorization among Colombian children and adolescents; and to investigate if cardiometabolic risk differed by MS group by applying the receiver operating characteristic curve (ROC) cut point. Methods: This is a secondary analysis of a cross-sectional study (the FUPRECOL study), published elsewhere. The FUPRECOL study assessments were conducted during the 2014– 2015 school year. MS was estimated by a handle dynamometer on 1,950 children and adolescents from Colombia, using the MS relative to weight (handgrip strength/body mass). A metabolic risk score was computed from the following components: waist circumference, triglycerides, HDL-c, glucose, systolic and diastolic blood pressure. ROC analysis showed a significant discriminatory accuracy of MS in identifying the low/high metabolic risk in children and adolescents and both gender. Results: In children, handgrip strength/body mass level for a low metabolic risk were 0.359 and 0.376 in girls and boys, respectively. In adolescents, these points were 0.440 and 0.447 in girls and boys, respectively. Conclusion: In conclusion, the results suggest a hypothetical MS level relative to weight for having a low metabolic risk, which could be used to identify youths at risk.

A framework for risk analysis in automotive cybersecurity

We address the problem of automotive cybersecurity from the point of view of Threat Analysis and Risk Assessment (TARA). The central question that motivates the thesis is the one about the acceptability of risk, which is vital in taking a decision about the implementation of cybersecurity solutions. For this purpose, we develop a quantitative framework in which we take in input the results of risk assessment and define measures of various facets of a possible risk response; we then exploit the natural presence of trade-offs (cost versus effectiveness) to formulate the problem as a multi-objective optimization. Finally, we develop a stochastic model of the future evolution of the risk factors, by means of Markov chains; we adapt the formulations of the optimization problems to this non-deterministic context. The thesis is the result of a collaboration with the Vehicle Electrification division of Marelli, in particular with the Cybersecurity team based in Bologna; this allowed us to consider a particular instance of the problem, deriving from a real TARA, in order to test both the deterministic and the stochastic framework in a real world application. The collaboration also explains why in the work we often assume the point of view of a tier-1 supplier; however, the analyses performed can be adapted to any other level of the supply chain.

The impact of firing costs on turnover and unemployment: Evidence from the Colombian labour market reform

Reductions in firing costs are often advocated as a way of increasingthe dynamism of labour markets in both developed and less developed countries. Evidence from Europe and the U.S. on the impact of firing costs has, however, been mixed. Moreover, legislative changes both in Europe and the U.S. have been limited. This paper, instead, examines the impact of the Colombian Labour Market Reform of 1990, which substantially reduced dismissal costs. I estimate the incidence of a reduction in firing costs on worker turnover by exploiting the temporal change in the Colombian labour legislation as well as the variability in coverage between formal and informal sector workers. Using a grouping estimator to control for common aggregate shocks and selection, I find that the exit hazard rates into and out of unemployment increased after the reform by over 1% for formal workers (covered by the legislation) relative to informal workers (uncovered). The increase of the hazards implies a net decrease in unemployment of a third of a percentage point, which accounts for about one quarter of the fall in unemployment during the period of study.

Performance Comparison of Behavioral Finance -based Investment Strategies in the Finnish Stock Market 1996-2010

In this thesis traditional investment strategies (value and growth) are compared to modern investment strategies (momentum, contrarian and GARP) in terms of risk, performance and cumulative returns. Strategies are compared during time period reaching from 1996 to 2010 in the Finnish stock market. Used data includes all listed main list stocks, dividends and is adjusted in case of splits, and mergers and acquisitions. Strategies are tested using different holding periods (6, 12 and 36 months) and data is divided into tercile portfolios based on different ranking criteria. Contrarian and growth strategies are the only strategies with improved cumulative returns when longer holding periods are used. Momentum (52-week high price1) and GARP strategies based on short holding period have the best performance and contrarian and growth strategies the worst. Momentum strategies (52-week high price) along with short holding period contrarian strategies (52-week low price2) have the lowest risk. Strategies with the highest risk are both growth strategies and two momentum strategies (52-week low price). The empirical results support the efficiency of momentum, GARP and value strategies. The least efficient strategies are contrarian and growth strategies in terms of risk, performance and cumulative returns. Most strategies outperform the market portfolio in all three measures. 1 Stock ranking criterion (current price/52-week highest price) 2 Stock ranking criterion (current price/52-week lowest price)

Echoes of the crises in Spain and US in the Colombian labor market : a differences-in-differences approach

This paper presents evidence of the effect of the recent phases of the business cycle in Spain and United States, proxied by their respective unemployment rates, on the labor market of Colombian cities with high migration tradition. These countries are the main destination for labor Colombian migrants. Using information from the household survey between 2006 and 2011 for urban areas in Colombia and a differences-in-differences approach we find that unemployment rates of those countries negatively affect the probability and the amount of remittances received by Colombian households living in areas with high and moderate migration tradition. At a second stage we provide evidence that unemployment rates of those countries positively affect the labor force participation decisions in Colombian regions with the highest migration tradition.

Evidence of Discrimination Against Afrocolombians in the Colombian Labor Market in Major Cities in 2007

This paper evaluate the hypothesis that race is a determining factor in access to quality employment in Colombia during 2007 -- Using data from the Large Integrated Household Survey (2007-I), we estimate a generalized ordered logit model -- The results provide evidence that individuals self-identified as Afrocolombian have a higher probability of being in a low quality job than other Colombians -- This probability is higher by 1.9% in Cali, 3.4% in Bogotá, 12.6% in Barranquilla, 1.8% in Cartagena, 1.1% in Medellin and 3.8% overall in these five cities, results that could indicate that there is racial discrimination against Afrocolombians in the Colombian labor market

An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective

We analyze the behavior of spot prices in the Colombian wholesale power market, using a series of models derived from industrial organization theory -- We first create a Cournot-based model that simulates the strategic behavior of the market-leader power generators, which we use to estimate two industrial organization variables, the Index of Residual Demand and the Herfindahl-Hirschman Index (HHI) -- We use these variables to create VAR models that estimate spot prices and power market impulse-response relationships -- The results from these models show that hydroelectric generators can use their water storage capability strategically to affect off-peak prices primarily, while the thermal generators can manage their capacity strategically to affect on-peak prices -- In addition, shocks to the Index of Residual Capacity and to the HHI cause spot price fluctuations, which can be interpreted as the generators´ strategic response to these shocks

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.

Liquidity Risk in the Finnish Stock Market

This study explores the pricing of liquidity risk and its effect on stock returns in the Finnish stock market. In addition to that, it investigates whether there is a trend in liquidity risk. Finally, it analyzes whether the two chosen liquidity measures provide different results. The data consists of all the common shares listed in the Finnish stock market during the period of 1/1997–7/2015. To examine whether liquidity risk affects stock returns in the Finnish stock market, this study utilizes a conditional version of liquidity-adjusted capital asset pricing model (LCAPM) by Acharya and Pedersen (2005). Two recently proposed illiquidity measures – PQS and AdjILLIQ – are used in the empirical estimation to see whether there are differences in the results between the measures. The time-varying conditional liquidity risks are estimated by using a multivariate DCC-GARCH model, while the pricing of the liquidity risk is conducted by applying fixed effect panel regression. The results imply that investors in the Finnish stock market are willing to pay a premium to hedge from wealth shocks and having liquid assets during the declined market liquidity. However, investors are not willing to pay a premium for stocks with higher returns during illiquid markets. The total annualized illiquidity premiums found in the Finnish stock market are 1.77% and 1.04%, based on the PQS and AdjILLIQ measures, respectively. The study also shows that liquidity risk does not exhibit decreasing trend, and investors should consider liquidity risk in their portfolio diversification in the Finnish stock market.

A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. We illustrate the methodology by studying the Brazilian case. We find that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, we show that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt.

Semiparametric modeling of the spatial distribution of occupational accident risk in the casual labor market, Piracicaba, southeast Brazil

The objective of this study was to estimate the spatial distribution of work accident risk in the informal work market in the urban zone of an industrialized city in southeast Brazil and to examine concomitant effects of age, gender, and type of occupation after controlling for spatial risk variation. The basic methodology adopted was that of a population-based case-control study with particular interest focused on the spatial location of work. Cases were all casual workers in the city suffering work accidents during a one-year period; controls were selected from the source population of casual laborers by systematic random sampling of urban homes. The spatial distribution of work accidents was estimated via a semiparametric generalized additive model with a nonparametric bidimensional spline of the geographical coordinates of cases and controls as the nonlinear spatial component, and including age, gender, and occupation as linear predictive variables in the parametric component. We analyzed 1,918 cases and 2,245 controls between 1/11/2003 and 31/10/2004 in Piracicaba, Brazil. Areas of significantly high and low accident risk were identified in relation to mean risk in the study region (p < 0.01). Work accident risk for informal workers varied significantly in the study area. Significant age, gender, and occupational group effects on accident risk were identified after correcting for this spatial variation. A good understanding of high-risk groups and high-risk regions underpins the formulation of hypotheses concerning accident causality and the development of effective public accident prevention policies.