The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

The Consequences of Fiscal Stimulus on Public Debt : A Historical Perspective

Peer reviewed

The Consequences of Fiscal Stimulus on Public Debt : A Historical Perspective

Peer reviewed

Restrictions on Aliens in the United Kingdom, 1914-1919 : a Study of the Origins and Political Background of the Aliens Restrictions Acts of 1914 and 1919.

At first glance the Aliens Restriction Act of 1914, which was introduced and passed on the first day of World War One, seems a hasty and ill-prepared piece of legislation. Actually, when examined in the light of Arthur Marwick's thesis that war is a forcing house for pre-existent social and governmental ideas, it becomes clear that the act was not after all the product of hastily formed notions. In point of fact it followed the precedent of detailed draft clauses produced in 1911 by a sub-committee of the Committee of Imperial Defence established to consider the treatment of aliens in the event of war. Indeed the draft clauses and the restrictions embodied in the 1914 act were strikingly similar to restrictions on aliens legislated in 1793. Hostility to aliens had been growing from 1905 to 1914 and this hostility blossomed into xeno-phobia on the outbreak of war, a crucial precondition for the specifically anti-enemy fears of the time. In 1919 the Aliens Restriction (Amendment) Bill was introduced into parliament to extend temporarily the provisions of the 1914 act thus permitting the Home Secretary to plan permanent, detailed legislation. Two minority groups of MPs with extreme views on the treatment of aliens were prominent in the debates on this bill. The extreme Liberal group which advocated leniency in the treatment of aliens had little effect on the final form of the bill, but the extreme Conservative group, which demanded severe restrictions on aliens, succeeded in persuading the government to include detailed restrictions. Despite its allegedly temporary nature, the Aliens Restriction (Amendment) Act of 1919 was renewed annually until 1971.

Race, Debt and the Welfare State

In this article I explore how the figure of debt illuminates the racial politics of welfare in neoliberal Britain. I begin by giving a reading of the simultaneous unfolding of post-war race politics and the Beveridgean welfare state, and then turn to consider the interpellative appeal of neoliberal debt to minoritiSed subjects who have, in certain respects, been de facto excluded from prevailing models of welfare citizenship. In particular, this article considers the ways in which household debt might, even as it increases social inequality, simultaneously produce ideas about equality and futurity, as well as gesture towards the possibility of post-national forms of identity and belonging. If we are to challenge the lowest-common-denominator logics of ‘capitalist realism’ it is necessary to develop orientations to the economic that are as convincing as the popular stories that circulate about the operations of the neoliberal marketplace, and which are as meaningful as the social relations they play a part in constituting. Rather than reproduce the racialized model of welfare citizenship that is implicit to the ‘defence’ of the postwar welfare state, I suggest that there are elements of prevailing neoliberal market relations that might themselves serve as a more substantial basis for expressions of racial equality. There is, in other words, something that we can learn from neoliberal debt regimes in order to develop a more egalitarian future-oriented politics of social welfare and economic redistribution.

Micro-Foundations of Financialization. Status Anxiety and the Market for Consumer Credit in Chile

This project investigates why people in Chile acquired so much consumer debt in contexts of material prosperity, and asks what the role of inequality and commodification is in this process. The case raises an important challenge to the literature. Insofar as existing accounts assume that the financialization of consumption occurs in contexts marked by wage stagnation and a general deterioration of the middle classes, they engender two contradictory explanations: while political economists argue that people use credit in order to smooth their consumption in the face of market volatility, economists maintain that concentration of wealth at the top pushes middle income consumers to emulate the expenditures of the rich and consume beyond their means. These explanations do not necessarily fit the reality of developing countries. Triangulating in-depth interviews with middle class families, multivariate statistical analysis and secondary literature, the project shows that consumers in Chile use credit to finance “ordinary” forms of consumption that do not aim either at coping with market instability or emulating and signaling status to others. Rather, Chileans use department store credit cards in order to acquire a standard package of “inconspicuous” goods that they feel entitled to have. From this point of view, the systematic indebtedness of consumers originates in a major concern with “rank”, “achievement” and "security" that – following De Botton -- I call “status anxiety”. Status anxiety does not stem from the desire to emulate rich consumers, but from the impossibility of complying with normative expectations about what a middle class family should be (and have) that outweigh wage improvements. The project thus investigates the way in which “status anxiety” is systematically reproduced by means of two broad mechanisms that prompt people to acquire consumer debt. The first mechanism generating debt stems from an increase of real wages and high levels of inequality. It is explained by a general sociological principle known as relative deprivation, which points to the fact that general satisfaction with one´s income, possessions or status, is assessed not in absolute terms such as total income, but in relation with reference groups. In this sense, I explore the mechanisms that operate as catalyzers of relative deprivation, by making explicit social inequalities and distorting the perception of others´ wealth. Despite upward mobility and economic improvement, Chileans share the perception of “falling behind,” which materializes in an “imaginary middle class” against which people compare their status, possessions and economic independence. Finally, I show that the commodification of education, health and pension funds does not directly prompt people to acquire consumer debt, but operate as “income draining” mechanisms that demand higher shares of middle class families’ “discretionary income.” In combination with “relative deprivation,” these “income draining” mechanisms leave families with few options to perform their desired class identities, other than learning how to bring resources from the future into the present with the help of department store credit cards.

Análise do contágio nos principais índices bolsistas europeu e norte-americano

Mestrado em Controlo de Gestão e dos Negócios

La famille nucléaire au 21e siècle : quelle place pour le père?

Depuis les débuts de la deuxième vague féministe, la participation quasi-universelle des femmes au marché du travail a causé la perte, pour les pères de famille, du rôle de pourvoyeur exclusif que ces derniers avaient tenu depuis si longtemps. Les femmes hétérosexuelles de la société contemporaine sont dorénavant plus scolarisées et atteignent des carrières plus avancées que leurs contreparties masculines. Alors que les femmes soutiennent davantage la famille par leurs emplois, les hommes doivent proportionnellement assumer des rôles plus actifs et participatifs à la maison. En cette période de transition, de transformation et de redéfinition rapides des rôles genrés à l’intérieur de l’économie familiale hétérosexuelle, les pères participent de manière plus équitable à l’éducation des enfants et à l’entretien du domicile, ces rôles ayant longtemps été attribués presque exclusivement aux femmes. Ces nouvelles responsabilités détonnent avec les représentations stéréotypées des hommes dans la culture populaire, ainsi qu’avec les modèles d’identification de la masculinité normative que les hommes ont requis et requièrent toujours sous l’égide de l’hétérosexualité imposée. De ce fait, les hommes occidentaux de moins de cinquante ans se trouvent souvent à cheval entre deux mondes d’exigences concurrentes. La place que peuvent et doivent prendre les pères au sein de leurs familles requiert un questionnement critique. L’ironie de la place du père peut être comprise comme la tension entre les normes du genre rétrogrades ou conservatrices et les exigences – à la fois politiques et pragmatiques – de la masculinité de la classe moyenne contemporaine. Cette tension fondamentale et structurante de la masculinité contemporaine est vécue par l’anxiété d’association au genre, ainsi qu’à travers des difficultés filiales, paternelles et intergénérationnelles. Ce mémoire de maîtrise adopte une approche déconstructiviste envers l’analyse de constructions contemporaines de la masculinité reproductive. À travers les gender studies, la théorie queer ainsi que la psychanalyse, le mémoire offre des lectures analytiques du discours de croissance personnelle de John Stoltenberg, de la fiction autobiographique de Karl Ove Knausgaard, ainsi que de la série télévisée américaine Dexter.

La famille nucléaire au 21e siècle : quelle place pour le père?

Depuis les débuts de la deuxième vague féministe, la participation quasi-universelle des femmes au marché du travail a causé la perte, pour les pères de famille, du rôle de pourvoyeur exclusif que ces derniers avaient tenu depuis si longtemps. Les femmes hétérosexuelles de la société contemporaine sont dorénavant plus scolarisées et atteignent des carrières plus avancées que leurs contreparties masculines. Alors que les femmes soutiennent davantage la famille par leurs emplois, les hommes doivent proportionnellement assumer des rôles plus actifs et participatifs à la maison. En cette période de transition, de transformation et de redéfinition rapides des rôles genrés à l’intérieur de l’économie familiale hétérosexuelle, les pères participent de manière plus équitable à l’éducation des enfants et à l’entretien du domicile, ces rôles ayant longtemps été attribués presque exclusivement aux femmes. Ces nouvelles responsabilités détonnent avec les représentations stéréotypées des hommes dans la culture populaire, ainsi qu’avec les modèles d’identification de la masculinité normative que les hommes ont requis et requièrent toujours sous l’égide de l’hétérosexualité imposée. De ce fait, les hommes occidentaux de moins de cinquante ans se trouvent souvent à cheval entre deux mondes d’exigences concurrentes. La place que peuvent et doivent prendre les pères au sein de leurs familles requiert un questionnement critique. L’ironie de la place du père peut être comprise comme la tension entre les normes du genre rétrogrades ou conservatrices et les exigences – à la fois politiques et pragmatiques – de la masculinité de la classe moyenne contemporaine. Cette tension fondamentale et structurante de la masculinité contemporaine est vécue par l’anxiété d’association au genre, ainsi qu’à travers des difficultés filiales, paternelles et intergénérationnelles. Ce mémoire de maîtrise adopte une approche déconstructiviste envers l’analyse de constructions contemporaines de la masculinité reproductive. À travers les gender studies, la théorie queer ainsi que la psychanalyse, le mémoire offre des lectures analytiques du discours de croissance personnelle de John Stoltenberg, de la fiction autobiographique de Karl Ove Knausgaard, ainsi que de la série télévisée américaine Dexter.

Routines in a European aquaculture company and the development of a Flavobacterium psychrophilum dose response pre-model in adult Rainbow Trout

An internship in a European company dealing with aquaculture and biotechnology - AquaBioTech Group, Malta - was undertaken to complete the Master Degree of Science in Aquaculture of the School of Tourism and Maritime Technology of the Polytechnic Institute of Leiria. Biotechnology and aquaculture are two areas that have been synergistically used to contribute for the progress and improvement of fish production. The AquaBioTech Group is an example of a company able to integrate these areas to maximizing their services. Located in Mosta (Malta) the company operates in a sustainable way using Recirculation Aquaculture Systems (RAS) to maintain aquaculture species. In collaboration with several companies and institutions, the AquaBioTech Group is involved and supports the development of important international research projects. The present report focuses on two important parts of the internship performed during 6 months. Initially, it will cover the operation and constitution of the company, describing the routines and techniques acquired. Then, it will describe a pathology trial that forms the practical and scientific component of this report. Despite the limitation to describe some confidential assays, this trial consisted in the infection of Rainbow Trout (Oncorhynchus mykiss) with the bacterium Flavobacterium psychrophilum in order to evaluate the mortality rates over time. The internship served to solidify theoretical knowledge acquired during the academic training, develop professional skills and provide an understanding of jobs available on the market.

The conditional performance of euro bond funds: evidence from Portugal during the debt crisis

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.

The EU ban on uncovered sovereign credit default swaps: assessing impacts on liquidity, volatility and price discovery

This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on liquidity and price informativeness. First, we find that in territories within the scope of the EU regulation, the bid–ask spreads on sovereign CDS contracts rose after the ban, but fell for countries outside its bounds. Open interest declined for both groups of CDS reference entities in our sample, but significantly more in the constraint group. Price delay increased more prominently for countries affected by the ban, whereas price precision decreased for these countries while increasing for CDSs written on other sovereign reference entities. Most notably, our findings indicate that hese negative effects were more pronounced amid reference entities exhibiting lower credit risk. With respect to volatility, the evidence suggests that the ban was successful in stabilizing the CDS market in that volatility decreased, particularly for contracts written on riskier CDS entities.