La calidad y su impacto sobre la rentabilidad y la volatilidad

El objetivo del presente estudio consiste en analizar el impacto que la publicación de la noticia de obtención de un certificado de calidad (ISO 9000) tiene sobre el valor de mercado de la empresa y sobre la volatilidad del precio de cotización de las acciones. La muestra utilizada incluye todas las empresas que, habiendo obtenido un certificado de calidad, han cotizado en el mercado secundario de valores español entre los años 1993 y 1999. Para medir el impacto de la obtención un certificado de calidad sobre los resultados se ha analizado los excesos de rentabilidad, mientras para medir la variación en la volatilidad se han realizado cuatro test, dos paramétricos, uno no paramétrico y una propuesta de test semiparamétrico. Los resultados indican que el mercado de capitales reacciona positivamente a la obtención de este certificado, provocando además un incremento en la volatilidad de los precios de cotización.

Influencia de la calidad sobre la rentabilidad y la volatilidad

El objetivo del presente estudio consiste en analizar el impacto que la publicación de la noticia de obtención de un certificado de calidad (ISO 9000) tiene sobre el valor de mercado de la empresa y sobre la volatilidad del precio de cotización de las acciones. Adicionalmente se examinan diversos factores determinantes del impacto de la obtención del certificado sobre la rentabilidad. La muestra utilizada incluye todas las empresas que, habiendo cotizado en el mercado continuo entre los años 1993 y 1999, han obtenido un certificado de calidad. Para medir el impacto de la obtención de un certificado de calidad sobre los resultados se ha analizado los excesos de rentabilidad, mientras que para medir la variación en la volatilidad se han realizado cuatro test, dos paramétricos, uno no paramétrico y una propuesta de test semiparamétrico. Los resultados indican que el mercado reacciona positivamente a la obtención de este certificado, provocando además un incremento en la volatilidad de los precios de cotización.

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Long wave generation by the shoaling and breaking of transient wave groups on a beach

This paper presents new laboratory data on the generation of long waves by the shoaling and breaking of transient-focused short-wave groups. Direct offshore radiation of long waves from the breakpoint is shown experimentally for the first time. High spatial resolution enables identification of the relationship between the spatial gradients of the short-wave envelope and the long-wave surface. This relationship is consistent with radiation stress theory even well inside the surf zone and appears as a result of the strong nonlinear forcing associated with the transient group. In shallow water, the change in depth across the group leads to asymmetry in the forcing which generates significant dynamic setup in front of the group during shoaling. Strong amplification of the incident dynamic setup occurs after short-wave breaking. The data show the radiation of a transient long wave dominated by a pulse of positive elevation, preceded and followed by weaker trailing waves with negative elevation. The instantaneous cross-shore structure of the long wave shows the mechanics of the reflection process and the formation of a transient node in the inner surf zone. The wave run-up and relative amplitude of the radiated and incident long waves suggests significant modification of the incident bound wave in the inner surf zone and, the dominance of long waves generated by the breaking process. It is proposed that these conditions occur when the primary short waves and bound wave are not shallow water waves at the breakpoint. A simple criterion is given to determine these conditions, which generally occur for the important case of storm waves.

A total electron content space weather study of the Nighttime Weddell Sea Anomaly of 1996/97 southern summer with TOPEX/Poseidon radar altimetry

This paper reports on a total electron content space weather study of the nighttime Weddell Sea Anomaly, overlooked by previously published TOPEX/Poseidon climate studies, and of the nighttime ionosphere during the 1996/1997 southern summer. To ascertain the morphology of spatial TEC distribution over the oceans in terms of hourly, geomagnetic, longitudinal and summer-winter variations, the TOPEX TEC, magnetic, and published neutral wind velocity data are utilized. To understand the underlying physical processes, the TEC results are combined with inclination and declination data plus global magnetic field-line maps. To investigate spatial and temporal TEC variations, geographic/magnetic latitudes and local times are computed. As results show, the nighttime Weddell Sea Anomaly is a large (∼1,600(°)2; ∼22 million km2 estimated for a steady ionosphere) space weather feature. Extending between 200°E and 300°E (geographic), it is an ionization enhancement peaking at 50°S–60°S/250°E–270°E and continuing beyond 66°S. It develops where the spacing between the magnetic field lines is wide/medium, easterly declination is large-medium (20°–50°), and inclination is optimum (∼55°S). Its development and hourly variations are closely correlated with wind speed variations. There is a noticeable (∼43%) reduction in its average area during the high magnetic activity period investigated. Southern summer nighttime TECs follow closely the variations of declination and field-line configuration and therefore introduce a longitudinal division of four (Indian, western/eastern Pacific, Atlantic). Northern winter nighttime TECs measured over a limited area are rather uniform longitudinally because of the small declination variation. TOPEX maps depict the expected strong asymmetry in TEC distribution about the magnetic dip equator.

Gigantes do telejornalismo mundial Mutações editoriais e tecnológicas das agências internacionais de notícias

Esta tese resgata a história das agências de notícias que atuam em escala internacional (Reuters Television e Associated Press Television News), delimitando suas características operacionais dentro do fluxo informacional do telejornalismo mundial. Por meio dos estudos de caso da Reuters TV e da APTN, a tese mostra o funcionamento do ecossistema noticioso global, voltado para as emissoras de televisão, explorando o entendimento de como ele se comporta a partir da irrupção das novas mídias advindas com a internet. Aponta como o desenvolvimento das tecnologias digitais em rede provocou mudanças editoriais e logísticas na rotina produtiva das agências, vistas neste trabalho como importantes atores sociais da globalização. Ao mapear a dinâmica comercial e estrutural das agências, é sustentada a hipótese de que as reportagens transmitidas por essas empresas são, em sua maioria, determinadas pelos interesses políticos e econômicos de seus maiores clientes. Isso nos leva a ratificar que, ainda hoje, após 30 anos da publicação do Relatório McBride, da UNESCO, há uma assimetria no noticiário internacional, no qual alguns países, regiões e assuntos são negligenciados e excluídos. A tese revela, entre outros pontos, que as agências agora difundem um número expressivo de vídeos relacionados à Ásia e que a maior parte de suas reportagens tem imbricações com os Estados Unidos e/ou a Europa. Durante a cobertura midiática de eventos de grande impacto, as agências renovam seu capital simbólico vendendo a ideia de isenção, credibilidade e multiplicidade de vozes. Reforçam também papéis específicos: a organização do noticiário, a viabilização das imagens e a alimentação contínua, segura e veloz do fluxo informativo.

Investigation of the neural correlates of recognition memory using magnetoencephalography

Neuroimaging literature has identified several regions involved in encoding and recognition processes. A review of the literature illustrated considerable variations in the precise location and mechanisms of these processes, and it was these variations that were investigated in the studies in this thesis. Magnetoencephalography (MEG) was used as the neuroimaging tool and a preliminary study identified Synthetic Aperture Magnetometry (SAM) and not a traditional dipole fitting technique, as an appropriate tool for identifying the multiple cortical regions involved in recognition memory. It has been suggested that there is hemispheric asymmetry in encoding and recognition processes. There are two main hypotheses: the first suggesting that there is task-specificity, the second that this specificity is determined by stimulus modality. A series of experiments was completed with two main aims: first to produce consistent and complementary recognition memory data with MEG, and second to determine whether there exists any hemispheric asymmetry in recognition memory. The results obtained from five experiments demonstrated activation of prefrontal and middle temporal structures, which were consistent with those reported in previous neuroimaging studies. It was suggested that this diverse activation may be explained by the involvement of a semantic network during recognition memory processes. In support of this, a subsequent study involving a semantic encoding task demonstrated that category-specific differences in cortical activation also existed in the recognition memory phase. Controlling for the involvement of such semantic processes produced predominantly bilateral activation. It was suggested that the apparent hemispheric asymmetry findings reported in the literature may be due to the 'coarse' temporal analysis available with earlier imaging techniques, which over-simplified the networks reported by being unable to recognise the early complex processes associated with semantic processing which these MEG studies were able to identify. The importance of frequency-specific activations, specifically theta synchronisation and alpha desynchronisation, in memory processes was also investigated.

Physiological and pathological human ocular perfusion characteristics

There were three principle aims to this thesis. Firstly, the acquisition protocols of clinical blood flow apparatus were investigated in order to optimise them for both cross-sectional and longitudinal application. Secondly, the effects of physiological factors including age and systematic circulation on ocular blood flow were investigated. Finally, the ocular perfusion characteristics of patients diagnosed with ocular diseases considered to be of a vascular origin were investigated. The principle findings of this work are:- 1) Optimisation of clinical investigationsPhotodiode sensitivity of the scanning laser Doppler flowmeter should be kept within a range of 70-150 DC when acquiring images of the retina and optic nerve head in order to optimise the reproducibility of capillary blood flow measures. Account of the physiological spatial variation in retinal blood flow measures can be made using standard analysis protocols of the scanning laser Doppler flowmeter combined with a local search strategy. Measurements of pulsatile ocular blood flow using the ocular blood flow analyser are reproducible, however this reproducibility can be improved when consecutive intraocular pressure pulses are used to calculate pulsatile ocular blood flow. Spectral analysis of the intraocular pressure pulse-wave is viable and identifies the first four harmonic components of the waveform. 2) Physiological variation in ocular perfusionAge results in a significant reduction in perfusion of the retinal microcirculation, which is not evident in larger vessel beds such as the choroid. Despite known asymmetry in the systemic vasculature, no evidence of interocular asymmetry in ocular perfusion is apparent. 3) Pathological variation in ocular perfusionIn primary open angle glaucoma, perfusion is reduced in the retinal microcirculation of patients classified as having early to moderate visual field defects. However, ocular pulsatility defects are masked when patients and subjects are matched for systemic variables (pulse rate and mean arterial pressure); differentiation is facilitated by the application of waveform analysis to the continuos intraocular pressure curve even in the early stages of disease. Diabetic patients with adequate glycaemic control, exhibit maintenance of macular blood flow, macular topography and visual function following phacoemulsification.

Parabolic optical pulses under the action of the third-order dispersion

Recent developments in nonlinear optics reveal an interesting class of pulses with a parabolic intensity profile in the energy-containing core and a linear frequency chirp that can propagate in a fiber with normal group-velocity dispersion. Parabolic pulses propagate in a stable selfsimilar manner, holding certain relations (scaling) between pulse power, width, and chirp parameter. In the additional presence of linear amplification, they enjoy the remarkable property of representing a common asymptotic state (or attractor) for arbitrary initial conditions. Analytically, self-similar (SS) parabolic pulses can be found as asymptotic, approximate solutions of the nonlinear Schr¨odinger equation (NLSE) with gain in the semi-classical (largeamplitude/small-dispersion) limit. By analogy with the well-known stable dynamics of solitary waves - solitons, these SS parabolic pulses have come to be known as similaritons. In practical fiber systems, inherent third-order dispersion (TOD) in the fiber always introduces a certain degree of asymmetry in the structure of the propagating pulse, eventually leading to pulse break-up. To date, there is no analytic theory of parabolic pulses under the action of TOD. Here, we develop aWKB perturbation analysis that describes the effect of weak TOD on the parabolic pulse solution of the NLSE in a fiber gain medium. The induced perturbation in phase and amplitude can be found to any order. The theoretical model predicts with sufficient accuracy the pulse structural changes induced by TOD, which are observed through direct numerical NLSE simulations.

Parabolic optical pulses under the action of the third-order dispersion

Recent developments in nonlinear optics reveal an interesting class of pulses with a parabolic intensity profile in the energy-containing core and a linear frequency chirp that can propagate in a fiber with normal group-velocity dispersion. Parabolic pulses propagate in a stable selfsimilar manner, holding certain relations (scaling) between pulse power, width, and chirp parameter. In the additional presence of linear amplification, they enjoy the remarkable property of representing a common asymptotic state (or attractor) for arbitrary initial conditions. Analytically, self-similar (SS) parabolic pulses can be found as asymptotic, approximate solutions of the nonlinear Schr¨odinger equation (NLSE) with gain in the semi-classical (largeamplitude/small-dispersion) limit. By analogy with the well-known stable dynamics of solitary waves - solitons, these SS parabolic pulses have come to be known as similaritons. In practical fiber systems, inherent third-order dispersion (TOD) in the fiber always introduces a certain degree of asymmetry in the structure of the propagating pulse, eventually leading to pulse break-up. To date, there is no analytic theory of parabolic pulses under the action of TOD. Here, we develop aWKB perturbation analysis that describes the effect of weak TOD on the parabolic pulse solution of the NLSE in a fiber gain medium. The induced perturbation in phase and amplitude can be found to any order. The theoretical model predicts with sufficient accuracy the pulse structural changes induced by TOD, which are observed through direct numerical NLSE simulations.

The Effect of Reputation Shocks to Rating Agencies on Corporate Disclosures

This paper explores the effect of credit rating agency’s (CRA) reputation on the discretionary disclosures of corporate bond issuers. Academics, practitioners, and regulators disagree on the informational role played by major CRAs and the usefulness of credit ratings in influencing investors’ perception of the credit risk of bond issuers. Using management earnings forecasts as a measure of discretionary disclosure, I find that investors demand more (less) disclosure from bond issuers when the ratings become less (more) credible. In addition, using content analytics, I find that bond issuers disclose more qualitative information during periods of low CRA reputation to aid investors better assess credit risk. That the corporate managers alter their voluntary disclosure in response to CRA reputation shocks is consistent with credit ratings providing incremental information to investors and reducing adverse selection in lending markets. Overall, my findings suggest that managers rely on voluntary disclosure as a credible mechanism to reduce information asymmetry in bond markets.

Pseudoneglect and visual attention networks

Pseudoneglect represents the tendency for healthy individuals to show a slight but consistent bias in favour of stimuli appearing in the left visual field. The bias is often measured using variants of the line bisection task. An accurate model of the functional architecture of the visuospatial attention system must account for this widely observed phenomenon, as well as for modulation of the direction and magnitude of the bias within individuals by a variety of factors relating to the state of the participant and/or stimulus characteristics. To date, the neural correlates of pseudoneglect remain relatively unmapped. In the current thesis, I employed a combination of psychophysical measurements, electroencephalography (EEG) recording and transcranial direct current stimulation (tDCS) in an attempt to probe the neural generator(s) of pseudoneglect. In particular, I wished to utilise and investigate some of the factors known to modulate the bias (including age, time-on-task and the length of the to-be-bisected line) in order to identify neural processes and activity that are necessary and sufficient for the lateralized bias to arise. Across four experiments utilising a computerized version of a perceptual line bisection task, pseudoneglect was consistently observed at baseline in healthy young participants. However, decreased line length (experiments 1, 2 and 3), time-on-task (experiment 1) and healthy aging (experiment 3) were all found to modulate the bias. Specifically, all three modulations induced a rightward shift in subjective midpoint estimation. Additionally, the line length and time-on-task effects (experiment 1) and the line length and aging effects (experiment 3) were found to have additive relationships. In experiment 2, EEG measurements revealed the line length effect to be reflected in neural activity 100 – 200ms post-stimulus onset over source estimated posterior regions of the right hemisphere (RH: temporo-parietal junction (TPJ)). Long lines induced a hemispheric asymmetry in processing (in favour of the RH) during this period that was absent in short lines. In experiment 4, bi-parietal tDCS (Left Anodal/Right Cathodal) induced a polarity-specific rightward shift in bias, highlighting the crucial role played by parietal cortex in the genesis of pseudoneglect. The opposite polarity (Left Cathodal/Right Anodal) did not induce a change in bias. The combined results from the four experiments of the current thesis provide converging evidence as to the crucial role played by the RH in the genesis of pseudoneglect and in the processing of visual input more generally. The reduction in pseudoneglect with decreased line length, increased time-on-task and healthy aging may be explained by a reduction in RH function, and hence contribution to task processing, induced by each of these modulations. I discuss how behavioural and neuroimaging studies of pseudoneglect (and its various modulators) can provide empirical data upon which accurate formal models of visuospatial attention networks may be based and further tested.

Gaussian entanglement for quantum key distribution from a single-mode squeezing source

We report the suitability of an Einstein-Podolsky-Rosen entanglement source for Gaussian continuous-variable quantum key distribution at 1550 nm. Our source is based on a single continuous-wave squeezed vacuum mode combined with a vacuum mode at a balanced beam splitter. Extending a recent security proof, we characterize the source by quantifying the extractable length of a composable secure key from a finite number of samples under the assumption of collective attacks. We show that distances in the order of 10 km are achievable with this source for a reasonable sample size despite the fact that the entanglement was generated including a vacuum mode. Our security analysis applies to all states having an asymmetry in the field quadrature variances, including those generated by superposition of two squeezed modes with different squeezing strengths.

Information Content of Bank Credit Rating Changes: Evidence from Europe

This thesis examines the short-term impact of credit rating announcements on daily stock returns of 41 European banks indexed in STOXX Europe 600 Banks. The time period of this study is 2002–2015 and the ratings represent long-term issuer ratings provided by S&P, Moody’s and Fitch. Bank ratings are significant for a bank’s operation costs so it is interesting to investigate how investors react to changes in creditworthiness. The study objective is achieved by conducting an event study. The event study is extended with a cross-sectional linear regression to investigate other potential determinants surrounding rating changes. The research hypotheses and the motivation for additional tests are derived from prior research. The main hypotheses are formed to explore whether rating changes have an effect on stock returns, when this possible reaction occurs and whether it is asymmetric between upgrades and downgrades. The findings provide evidence that rating announcements have an impact on stock returns in the context of European banks. The results also support the existence of an asymmetry in capital market reaction to rating upgrades and downgrades. The rating downgrades are associated with statistically significant negative abnormal returns on the event day although the reaction is rather modest. No statistically significant reaction is found associated with the rating upgrades on the event day. These results hold true with both rating changes and rating watches. No anticipation is observed in the case of rating changes but there is a statistically significant cumulative negative (positive) price reaction occurring before the event day for negative (positive) watch announcements. The regression provides evidence that the stock price reaction is stronger for rating downgrades occurring within below investment grade class compared with investment grade class. This is intuitive as investors are more concerned about their investments in lower-rated companies. Besides, the price reaction of larger banks is more mitigated compared with smaller banks in the case of rating downgrades. The reason for this may be that larger banks are usually more widely followed by the public. However, the study results may also provide evidence of the existence of the so-called “too big to fail” subsidy that dampens the negative returns of larger banks.