Consumption-wealth ratio and expected stock returns: evidence from panel data

This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Multilayer optimization in radio resource allocation for the packet transmission in wireless networks

In the last decade mobile wireless communications have witnessed an explosive growth in the user’s penetration rate and their widespread deployment around the globe. It is expected that this tendency will continue to increase with the convergence of fixed Internet wired networks with mobile ones and with the evolution to the full IP architecture paradigm. Therefore mobile wireless communications will be of paramount importance on the development of the information society of the near future. In particular a research topic of particular relevance in telecommunications nowadays is related to the design and implementation of mobile communication systems of 4th generation. 4G networks will be characterized by the support of multiple radio access technologies in a core network fully compliant with the Internet Protocol (all IP paradigm). Such networks will sustain the stringent quality of service (QoS) requirements and the expected high data rates from the type of multimedia applications to be available in the near future. The approach followed in the design and implementation of the mobile wireless networks of current generation (2G and 3G) has been the stratification of the architecture into a communication protocol model composed by a set of layers, in which each one encompasses some set of functionalities. In such protocol layered model, communications is only allowed between adjacent layers and through specific interface service points. This modular concept eases the implementation of new functionalities as the behaviour of each layer in the protocol stack is not affected by the others. However, the fact that lower layers in the protocol stack model do not utilize information available from upper layers, and vice versa, downgrades the performance achieved. This is particularly relevant if multiple antenna systems, in a MIMO (Multiple Input Multiple Output) configuration, are implemented. MIMO schemes introduce another degree of freedom for radio resource allocation: the space domain. Contrary to the time and frequency domains, radio resources mapped into the spatial domain cannot be assumed as completely orthogonal, due to the amount of interference resulting from users transmitting in the same frequency sub-channel and/or time slots but in different spatial beams. Therefore, the availability of information regarding the state of radio resources, from lower to upper layers, is of fundamental importance in the prosecution of the levels of QoS expected from those multimedia applications. In order to match applications requirements and the constraints of the mobile radio channel, in the last few years researches have proposed a new paradigm for the layered architecture for communications: the cross-layer design framework. In a general way, the cross-layer design paradigm refers to a protocol design in which the dependence between protocol layers is actively exploited, by breaking out the stringent rules which restrict the communication only between adjacent layers in the original reference model, and allowing direct interaction among different layers of the stack. An efficient management of the set of available radio resources demand for the implementation of efficient and low complexity packet schedulers which prioritize user’s transmissions according to inputs provided from lower as well as upper layers in the protocol stack, fully compliant with the cross-layer design paradigm. Specifically, efficiently designed packet schedulers for 4G networks should result in the maximization of the capacity available, through the consideration of the limitations imposed by the mobile radio channel and comply with the set of QoS requirements from the application layer. IEEE 802.16e standard, also named as Mobile WiMAX, seems to comply with the specifications of 4G mobile networks. The scalable architecture, low cost implementation and high data throughput, enable efficient data multiplexing and low data latency, which are attributes essential to enable broadband data services. Also, the connection oriented approach of Its medium access layer is fully compliant with the quality of service demands from such applications. Therefore, Mobile WiMAX seems to be a promising 4G mobile wireless networks candidate. In this thesis it is proposed the investigation, design and implementation of packet scheduling algorithms for the efficient management of the set of available radio resources, in time, frequency and spatial domains of the Mobile WiMAX networks. The proposed algorithms combine input metrics from physical layer and QoS requirements from upper layers, according to the crosslayer design paradigm. Proposed schedulers are evaluated by means of system level simulations, conducted in a system level simulation platform implementing the physical and medium access control layers of the IEEE802.16e standard.

Development and characterization of microsatellite loci in the marsh deer (Blastocerus dichotomus Cervidae)

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Association between MUC1 gene polymorphism and expected progeny differences in Nelore cattle (Bos primigenius indicus)

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

MoSAC: um módulo para seleção de configurações arquiteturais baseado em critérios de QoS no contexto de sistema distribuídos autoadaptativos

The process for choosing the best components to build systems has become increasingly complex. It becomes more critical if it was need to consider many combinations of components in the context of an architectural configuration. These circumstances occur, mainly, when we have to deal with systems involving critical requirements, such as the timing constraints in distributed multimedia systems, the network bandwidth in mobile applications or even the reliability in real-time systems. This work proposes a process of dynamic selection of architectural configurations based on non-functional requirements criteria of the system, which can be used during a dynamic adaptation. This proposal uses the MAUT theory (Multi-Attribute Utility Theory) for decision making from a finite set of possibilities, which involve multiple criteria to be analyzed. Additionally, it was proposed a metamodel which can be used to describe the application s requirements in terms of the non-functional requirements criteria and their expected values, to express them in order to make the selection of the desired configuration. As a proof of concept, it was implemented a module that performs the dynamic choice of configurations, the MoSAC. This module was implemented using a component-based development approach (CBD), performing a selection of architectural configurations based on the proposed selection process involving multiple criteria. This work also presents a case study where an application was developed in the context of Digital TV to evaluate the time spent on the module to return a valid configuration to be used in a middleware with autoadaptative features, the middleware AdaptTV

Comparative analysis of microsatellite variability in five macaw species (Psittaciformes, Psittacidae): application for conservation

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

Genetic trends in the expected progeny difference of the asymptotic weight of Nelore females

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

Performance evaluation of a novel hybrid multipulse rectifier for utility interface of power electronic converters

This paper presents an improved analysis of a novel Programmable Power-factor-corrected-Based Hybrid Multipulse Power Rectifier (PFC-HMPR) for utility interface of power electronic converters. The proposed hybrid multipulse rectifier is composed of an ordinary three-phase six-pulse diode-bridge rectifier (Graetz bridge) with a parallel connection of single-phase switched converters in each three-phase rectifier leg. In this paper, the authors present a complete discussion about the controlled rectifiers' power contribution and also a complete analysis concerning the total harmonic distortion of current that can be achieved when the proposed converter operates as a conventional 12-pulse rectifier. The mathematical analysis presented in this paper corroborate, with detailed equations, the experimental results of two 6-kW prototypes implemented in a laboratory.

The Strengths and Difficulties Questionnaire overseas: Evaluations and applications of the SDQ beyond Europe

Background During the few years that have passed since it became available, the Strengths and Difficulties Questionnaire (SDQ) has been extensively evaluated and widely applied to assess behaviour disorders of children and adolescents in European countries. In contrast, relatively few reports have published SDQ results obtained in other parts of the world, although its briefness and availability in over 40 languages make this instrument particularly attractive for international collaborations and cross-cultural comparisons concerning clinical and epidemiological issues. Objectives This initial overview summarises some of these non-European experiences with the SDQ by presenting a selection of projects that have either psychometrically evaluated this novel questionnaire, applied it to screen for behaviour disorders, or employed its parent-, teacher- or self-rated versions as research tools. Since a large part of the mentioned studies are ongoing or have only recently been completed, much of the work reported here is still unpublished. Conclusions Across a huge variety of cultures and languages, experience gained with the SDQ in other continents has supported European evidence of good psychometric properties and clinical utility of this questionnaire. Since worldwide usage of the SDQ can be expected to increase in the future, more international coordination is encouraged, in order to fully exploit the promising potentials of this versatile assessment tool and systematically investigate cross-cultural differences and similarities in child and adolescent behaviour.

Optimal Contract Pricing of Distributed Generation in Distribution Networks

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Defects location in power systems components through a dedicated genetic algorithm

In this work the problem of defects location in power systems is formulated through a binary linear programming (BLP) model based on alarms historical database of control and protection devices from the system control center, sets theory of minimal coverage (AI) and protection philosophy adopted by the electric utility. In this model, circuit breaker operations are compared to their expected states in a strictly mathematical manner. For solving this BLP problem, which presents a great number of decision variables, a dedicated Genetic Algorithm (GA), is proposed. Control parameters of the GA, such as crossing over and mutation rates, population size, iterations number and population diversification, are calibrated in order to obtain efficiency and robustness. Results for a test system found in literature, are presented and discussed. © 2004 IEEE.

Programmable PFC based hybrid multipulse power rectifier for utility interface of power electronic converters

In this paper it is proposed a novel hybrid three-phase rectifier capable to achieve high input power factor (PF), and low total harmonic distortion in the input currents (THDI). The proposed hybrid high power rectifier is composed by a standard three-phase 6-pulses diode rectifier (Graetz bridge) with a parallel connection of single-phase Boost rectifiers in each three-phase rectifier leg. Such topology results in a structure capable of programming the input current waveform and providing conditions for obtaining high input power factor and low harmonic current distortion. In order to validate the proposed hybrid rectifier, this paper describes its principles of operation, with detailed experimental results and discussions on power rating of the required Boost converters as related to the desired total harmonic current distortion. It is demonstrated that only a fraction of the output power is processed through the Boost converters, making the proposed solution economically viable for very high power installations, with fast pay back of the investment. Moreover, retrofitting to existing installations is also feasible since the parallel path can be easily controlled by integration with the existing de-link. A prototype rated at 6 kW has been implemented in laboratory and fully demonstrated its operation, performance and feasibility to high power applications. © 2005 IEEE.

Investigation of the relationship between load and loss factors for a Brazilian electric utility

With the considerable increase of the losses in electric utilities of developing countries, such as Brazil, there is an investigation for loss calculation methodologies, considering both technical (inherent of the system) and non-technical (usually associated to the electricity theft) losses. In general, all distribution networks know the load factor, obtained by measuring parameters directly from the network. However, the loss factor, important for the energy loss cost calculation, can only be obtained in a laborious way. Consequently, several formulas have been developed for obtaining the loss factor. Generally, it is used the expression that relates both factors, through the use of a coefficient k. Last reviews introduce a range of factor k within 0.04 - 0.30. In this work, an analysis with real life load curves is presented, determining new values for the coefficient k in a Brazilian electric utility. © 2006 IEEE.