Future Earnings Growth Volatility and the Value Premium

The value premium is well established in empirical asset pricing, but to date there is little understanding as to its fundamental drivers. We use a stochastic earnings valuation model to establish a direct link between the volatility of future earnings growth and firm value. We illustrate that risky earnings growth affects growth and value firms differently. We provide empirical evidence that the volatility of future earnings growth is a significant determinant of the value premium. Using data on individual firms and characteristic-sorted test portfolios, we also find that earnings growth volatility is significant in explaining the cross-sectional variation of stock returns. Our findings imply that the value premium is the rational consequence of accounting for risky earnings growth in the firm valuation process.

Validation Française de l’Échelle de la Personnalité Temporelle (French Validation of the Time Personality Indicator)

RÉSUMÉ Certains auteurs ont développé un intérêt pour la compréhension des aptitudes associées à la gestion du temps. Ainsi, plusieurs définitions théoriques ont été proposées afin de mieux cerner ce concept et une multitude de questionnaires a été développée afin de le mesurer. La présente étude visait à valider la traduction française d’un de ces outils, soit le Time Personality Indicator (TPI). Des analyses exploratoires et confirmatoires ont été effectuées sur l’ensemble des données recueillies auprès de 1 267 étudiants et employés de l’Université Laval ayant complété la version française du TPI ainsi que d’autres mesures de la personnalité. Les résultats ont révélé qu’une solution à huit facteurs permet de mieux décrire les données de l’échantillon. La discussion présente les raisons pour lesquelles la version française du TPI est valide, identifie certaines limites de la présente étude et souligne l’utilité de cet outil pour la recherche sur la gestion du temps. (ABSTRACT: Numerous authors have developed an interest towards the understanding of the abilities related to time management. As a consequence, multiple theoretical definitions have been proposed to explain time management. Likewise, several questionnaires have been developed in order to measure this concept. The aim of this study was to validate a French version of one of these tools, namely the Time Personality Indicator (TPI). The French version of the TPI and other personality questionnaires were completed by 1267 students and employees of Université Laval. The statistical approach used included exploratory and confirmatory analyses. Results revealed that an eight factor model provided a better adjustment to the data. The discussion provides arguments supporting the validity of the French version of the TPI and underlines the importance of such a tool for the research on time management)

Strategisk kompetensutveckling : En organisations strategiska förhållningssätt till kompetensutveckling

I denna fallstudie undersöks hur en kompetensbaserad personalstrategi ter sig inom en organisation. Då det är ett brett område har en avgränsning gjorts och det är enbart kompetensutveckling som berörs. Syftet är att skapa förståelse för det strategiska förhållningssättet till kompetensutveckling inom en organisation. Inom ramen för våra forskningsfrågor undersöks också de verktyg och metoder som en organisation använder sig av för att utveckla rätt kompetens samt de hinder och utmaningar som finns. Det har av tidigare forskning framkommit att ett strategiskt förhållningssätt är avgörande för en organisations överlevnad och framgång. Det finns en samstämmighet kring att organisationer vid valet av kompetensutvecklingsinsatser behöver utgå från verksamhetens behov, kundkrav och framtida mål för att bli gynnsamma. Syftet för insatserna blir därmed avgörande och en central del i det strategiska förhållningssättet till kompetensutveckling. Studien utgår från en fenomenologisk ansats och insamling av data har skett med hjälp av sju semi-strukturerade intervjuer med öppna frågor som utgått från tydliga teman. Studiens intervjuer har genomförts i en politiskt styrd organisation med cirka 5000 anställda och analysen av dessa intervjuer har skett enligt en femstegsmodell där vi avsett att synliggöra de mest väsentliga beståndsdelarna av fenomenet. Studien har tydliggjort hur organisationens strategiska förhållningssätt ser ut och också tydligt påvisat faktorer som gör det svårt att upprätthålla. De verktyg och metoder organisationen använder sig av är exempelvis webbaserad utbildning, ständiga förbättringar, nätverk, händelsehanteringssystem, en utbildningsplattform samt ett formulär för utbildningsförfrågningar. De hinder och utmaningar som synliggjorts är exempelvis utomstående faktorer, ekonomi, ansvarsfördelning och samverkan. Vår studie har också bidragit till en insikt i hur viktigt det är att noga överväga vilken metod som bör användas vid olika typer av kompetensutvecklingsinsatser. Det är viktigt att inte låta fokus hamna på att genomföra det minst kostsamma, utan låta valet av metod syfta till att ge det mest effektiva lärandet. Det är viktigt att i varje skede göra strategiska avvägningar som inte enbart har sin grund i ekonomiska perspektiv vad gäller besparingar och minskade kostnader. Ett intressant område till vidare forskning ser vi i chefsperspektivet. Vi finner detta intressant då det både genom tidigare forskning och genom vår egen studie tydligt har framgått att chefer har en nyckelroll och det finns därför ett intresse att närmre undersöka den roll som chefer delegeras i kompetensutvecklingsinsatser och vilka möjligheter de har i arbetet med dessa frågor.

Musik - påverkan vid demenssjukdom : En litteraturöversikt

Bakgrund: Demens är en progressiv sjukdom och antalet personer som får en demensdiagnos kommer inom några årtionden öka drastiskt. Sjukvården behöver komma fram med nya icke-farmakologiska metoder för att kunna hantera den stora ökningen av personer med demenssjukdom. Syfte: Syftet var att beskriva om och på vilket sätt musiken påverkar personer med demens. Metod: Litteraturöversikt med induktiv ansats där artiklar med kvalitativ och kvantitativ metodik sammanställdes. Artikelsökning gjordes i databaserna Cinahl samt PsychInfo. De kvalitativa artiklarna analyserades med hjälp av Fribergs femstegsmodell och statistiken från de kvantitativa artiklarna sammanställdes i en tabell. Resultat: Det kvantitativa resultatet visade att musik hade en effekt med statistiskt signifikant skillnad på flera av de undersökta variablerna. Agitation och oro/ ångest minskade medan positivt engagemang/ deltagande ökade. Det kvalitativa resultatet genererade tre teman: kommunikation, sinnesstämning samt indirekt påverkan. Kommunikationen förbättrades, personer med demens upplevde glädje och personalen påverkades positivt av musiken vilket ledde till indirekt påverkan på personer med demens. Slutsats: Musik är en enkel och kostnadseffektiv intervention att använda sig av när det gäller personer med demens. Olika musikinterventioner kan användas vid olika situationer för att få den effekt som önskas. Det är även ett enkelt sätt att komma personer med demens närmare och få en större förståelse.

Stigmatisering - Personers upplevelser av att leva med HIV/AIDS

Bakgrund: HIV är en infektionssjukdom som kan överföras vid bland annat oskyddade samlag, via blod och transplanterad vävnad. Då det idag finns antivirala läkemedel ses HIV inte längre som en dödlig utan en kronisk sjukdom. Personer med HIV/AIDS upplever att sjukdomen påverkar den fysiska och psykiska hälsan negativt. Sjuksköterskor har bristande kunskaper om sjukdomen samt är ovilliga att ge omvårdnad till dessa personer. Syfte: Syftet med litteraturöversikten var att beskriva personers upplevelser av att leva med HIV/AIDS. Metod: Litteraturöversikten baserades på 13 artiklar med kvalitativ design som analyserades enligt Fribergs femstegsmodell. En induktiv ansats användes. Resultat: Huvudtemat stigmatisering identifierades tillsammans med temat transition med tillhörande fem underteman samt temat rädsla med tillhörande tre underteman. Slutsats: Personerna med HIV/AIDS upplevde sig stigmatiserade av närstående, i samhället och i kontakt med hälso- och sjukvården. För att stigmatiseringen ska upphöra behöver sjuksköterskor mer kunskap om HIV/AIDS. För att nå ett personcentrerat förhållningssätt behöver sjuksköterskor se personerna bakom sjukdomen samt medvetandegöra sina attityder och förutfattade meningar mot personerna som lever med HIV/AIDS.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed timevarying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible realtime term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Essays on the term structure of interest rates

This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of interest rates and the applications of state-of-the-art Bayesian econometrics. Except for Chapter 1 and Chapter 5, which set out the general introduction and conclusion, each of the chapters can be considered as a standalone piece of work. In Chapter 2, we model and predict the term structure of US interest rates in a data rich environment. We allow the model dimension and parameters to change over time, accounting for model uncertainty and sudden structural changes. The proposed time-varying parameter Nelson-Siegel Dynamic Model Averaging (DMA) predicts yields better than standard benchmarks. DMA performs better since it incorporates more macro-finance information during recessions. The proposed method allows us to estimate plausible real-time term premia, whose countercyclicality weakened during the financial crisis. Chapter 3 investigates global term structure dynamics using a Bayesian hierarchical factor model augmented with macroeconomic fundamentals. More than half of the variation in the bond yields of seven advanced economies is due to global co-movement. Our results suggest that global inflation is the most important factor among global macro fundamentals. Non-fundamental factors are essential in driving global co-movements, and are closely related to sentiment and economic uncertainty. Lastly, we analyze asymmetric spillovers in global bond markets connected to diverging monetary policies. Chapter 4 proposes a no-arbitrage framework of term structure modeling with learning and model uncertainty. The representative agent considers parameter instability, as well as the uncertainty in learning speed and model restrictions. The empirical evidence shows that apart from observational variance, parameter instability is the dominant source of predictive variance when compared with uncertainty in learning speed or model restrictions. When accounting for ambiguity aversion, the out-of-sample predictability of excess returns implied by the learning model can be translated into significant and consistent economic gains over the Expectations Hypothesis benchmark.

Diversity and path coefficient analysis of Southern African maize hybrids

Detailed knowledge on genetic diversity among germplasm is important for hybrid maize ( Zea mays L.) breeding. The objective of the study was to determine genetic diversity in widely grown hybrids in Southern Africa, and compare effectiveness of phenotypic analysis models for determining genetic distances between hybrids. Fifty hybrids were evaluated at one site with two replicates. The experiment was a randomized complete block design. Phenotypic and genotypic data were analyzed using SAS and Power Marker respectively. There was significant (p < 0.01) variation and diversity among hybrid brands but small within brand clusters. Polymorphic Information Content (PIC) ranged from 0.07 to 0.38 with an average of 0.34 and genetic distance ranged from 0.08 to 0.50 with an average of 0.43. SAH23 and SAH21 (0.48) and SAH33 and SAH3 (0.47) were the most distantly related hybrids. Both single nucleotide polymorphism (SNP) markers and phenotypic data models were effective for discriminating genotypes according to genetic distance. SNP markers revealed nine clusters of hybrids. The 12-trait phenotypic analysis model, revealed eight clusters at 85%, while the five-trait model revealed six clusters. Path analysis revealed significant direct and indirect effects of secondary traits on yield. Plant height and ear height were negatively correlated with grain yield meaning shorter hybrids gave high yield. Ear weight, days to anthesis, and number of ears had highest positive direct effects on yield. These traits can provide good selection index for high yielding maize hybrids. Results confirmed that diversity of hybrids is small within brands and also confirm that phenotypic trait models are effective for discriminating hybrids.

Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

Assessment of student engagement among junior high school students and associations with self-esteem, burnout, and academic achievement

The aim of the study was to investigate the structure of affective and cognitive engagement using the Student Engagement Instrument (SEI; Appleton, Christenson, Kim, & Reschly, 2006) and to examine the associations to behavioral engagement, as well as student-reported self-esteem, burnout, and academic achievement among Finnish junior high school students. The analyses were carried out in the main sample of 2,485 students, as well as in an independent sample of 821 students. The results showed that the original five-factor structure of the SEI construed along three affective and two cognitive engagement factors fit the current data relatively well. Affective and cognitive student engagement correlated positively with an independent measure of behavioral engagement. Furthermore, affective and cognitive engagement were positively associated with student-reported self-esteem and academic achievement, and negatively with school burnout. The findings provided corroborating evidence for the psychometric properties and utilization of the SEI instrument for assessing the engagement of junior high school students. (DIPF/Orig.)

Children's Separation Anxiety Scale (CSAS): Psychometric Properties

This study describes the psychometric properties of the Children's Separation Anxiety Scale (CSAS), which assesses separation anxiety symptoms in childhood. Participants in Study 1 were 1,908 schoolchildren aged between 8 and 11. Exploratory factor analysis identified four factors: worry about separation, distress from separation, opposition to separation, and calm at separation, which explained 46.91% of the variance. In Study 2, 6,016 children aged 8–11 participated. The factor model in Study 1 was validated by confirmatory factor analysis. The internal consistency (α = 0.82) and temporal stability (r = 0.83) of the instrument were good. The convergent and discriminant validity were evaluated by means of correlations with other measures of separation anxiety, childhood anxiety, depression and anger. Sensitivity of the scale was 85% and its specificity, 95%. The results support the reliability and validity of the CSAS.

Méthodes de Bootstrap pour les modèles à facteurs

Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

Deviant behavior variety scale: Development and validation with a sample of portuguese adolescents

This study presents the development and analysis of the psychometric properties of the Deviant Behavior Variety Scale (DBVS). Participants were 861 Portuguese adolescents (54 % female), aged between 12 and 19 years old. Two alternative models were tested using Confirmatory Factor Analysis. Although both models showed good fit indexes, the two-factor model didn’t presented discriminant validity. Further results provided evidence for the factorial and the convergent validity of the single-factor structure of the DVBS, which has also shown good internal consistency. Criterion validity was evaluated through the association with related variables, such as age and school failure, as well as the scale’s ability to capture group differences, namely between genders and school retentions, and finally by comparing a sub-group of convicted adolescents with a group of non-convicted ones regarding their engagement in delinquent activities. Overall, the scale presented good psychometric properties, with results supporting that the DBVS is a valid and reliable self-reported measure to evaluate adolescents’ involvement in deviance.

The old and the oldest-old: Do they have different perspectives on adjustment to aging?

Background: Older adults experience varying challenges in old age. This study aims to explore the indicators of adjustment to aging (AtA) and to examine the potential explanatory mechanisms of a correlational model for AtA for the old and oldest-old adults. Methods: This qualitative study comprised demographics and semistructured interviews. Complete information on 152 older adults aged between 75 years and 102 years (mean ¼ 83.76 years; standard deviation ¼ 6.458). Data was subjected to content analysis. The correlational model of indicators of AtA was analyzed using a multiple correspondence analysis. Results: “Occupation and achievement” was the most mentioned indicator of AtA by the old participants (17.7%), whereas “existential meaning and spirituality” was the most verbalized indicator of AtA for the oldest-old participants (16.9%). AtA was explained by a three-factor model for each age group. For the old participants, the largest factor “occupational and social focus” accounted for 33.6% of total variance, whereas for the oldest-old participants, “spirituality and health focus” represented 33.5% of total variance. Conclusion: The outcomes presented in this paper stressed the varied perspectives concerning AtA, contoured in two different models, and the need of considering these when designing and implementing programs in health care for the old and the oldest-old.

Do “The Best Companies to Work” have higher Stock returns?

Do “The Best Companies to Work” have Higher Stock Returns? The main purpose of this work is to prove the link between job satisfaction and the firm’s value. The «Best Companies to Work» list give us our measure for job satisfaction. The sample of this work is composed by firms listed in STOXX Europe 600 Index. We compared the monthly returns of a portfolio composed by firms present in the «Best Companies to Work» list with two other benchmark portfolios, using the four-factor model proposed by Carhart (1997), from January 2010 to December 2014. Our results show that the BCWE600 portfolio outperforms both benchmark portfolios. In other words, companies classified as Best Companies to Work generated 0.40%/month and 4.94%/year higher stock returns than their peers over the 2010-2014 period. Also, the market risk in portfolio BCWE600 is inferior compared to other portfolios. This work shows that firms with the most satisfied workers get better results, resulting in higher returns for it’s shareholders.