The underlying return generating factors for REIT returns: an application of independent component analysis

Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.

Participatory scenarios as a tool to link science and policy on food security under climate change in East Africa

How effective are multi-stakeholder scenarios building processes to bring diverse actors together and create a policy-making tool to support sustainable development and promote food security in the developing world under climate change? The effectiveness of a participatory scenario development process highlights the importance of ‘boundary work’ that links actors and organizations involved in generating knowledge on the one hand, and practitioners and policymakers who take actions based on that knowledge on the other. This study reports on the application of criteria for effective boundary work to a multi-stakeholder scenarios process in East Africa that brought together a range of regional agriculture and food systems actors. This analysis has enabled us to evaluate the extent to which these scenarios were seen by the different actors as credible, legitimate and salient, and thus more likely to be useful. The analysis has shown gaps and opportunities for improvement on these criteria, such as the quantification of scenarios, attention to translating and communicating the results through various channels and new approaches to enable a more inclusive and diverse group of participants. We conclude that applying boundary work criteria to multi-stakeholder scenarios processes can do much to increase the likelihood of developing sustainable development and food security policies that are more appropriate.

The financial and environmental performance of firms exposed to the EU Emissions Trading Scheme

This thesis is an empirical-based study of the European Union’s Emissions Trading Scheme (EU ETS) and its implications in terms of corporate environmental and financial performance. The novelty of this study includes the extended scope of the data coverage, as most previous studies have examined only the power sector. The use of verified emissions data of ETS-regulated firms as the environmental compliance measure and as the potential differentiating criteria that concern the valuation of EU ETS-exposed firms in the stock market is also an original aspect of this study. The study begins in Chapter 2 by introducing the background information on the emission trading system (ETS), which focuses on (i) the adoption of ETS as an environmental management instrument and (ii) the adoption of ETS by the European Union as one of its central climate policies. Chapter 3 surveys four databases that provide carbon emissions data in order to determine the most suitable source of the data to be used in the later empirical chapters. The first empirical chapter, which is also Chapter 4 of this thesis, investigates the determinants of the emissions compliance performance of the EU ETS-exposed firms through constructing the best possible performance ratio from verified emissions data and self-configuring models for a panel regression analysis. Chapter 5 examines the impacts on the EU ETS-exposed firms in terms of their equity valuation with customised portfolios and multi-factor market models. The research design takes into account the emissions allowance (EUA) price as an additional factor, as it has the most direct association with the EU ETS to control for the exposure. The final empirical Chapter 6 takes the investigation one step further, by specifically testing the degree of ETS exposure facing different sectors with sector-based portfolios and an extended multi-factor market model. The findings from the emissions performance ratio analysis show that the business model of firms significantly influences emissions compliance, as the capital intensity has a positive association with the increasing emissions-to-emissions cap ratio. Furthermore, different sectors show different degrees of sensitivity towards the determining factors. The production factor influences the performance ratio of the Utilities sector, but not the Energy or Materials sectors. The results show that the capital intensity has a more profound influence on the utilities sector than on the materials sector. With regard to the financial performance impact, ETS-exposed firms as aggregate portfolios experienced a substantial underperformance during the 2001–2004 period, but not in the operating period of 2005–2011. The results of the sector-based portfolios show again the differentiating effect of the EU ETS on sectors, as one sector is priced indifferently against its benchmark, three sectors see a constant underperformance, and three sectors have altered outcomes.

Nitretação a plasma em furos não passantes

Este trabalho tem por objetivo avaliar a influência dos parâmetros pressão, freqüência e fator de trabalho, bem como a interação destes fatores, na capacidade de gerar plasma estável e com propriedades nitretantes no interior de furos não passantes de pequeno diâmetro. Para atingir estes objetivos foram realizados experimentos utilizando um reator equipado com fonte de potência pulsada de 2 KW, mistura gasosa composta de 76% de Nitrogênio e 24% de Hidrogênio, amostras de aço ABNT 1045 normalizadas. As nitretações foram realizadas pelo período de uma hora a temperatura de 500 0C. Foram empregadas freqüências de 100, 1000 e 5000 Hz, fatores de trabalho de 0,5 (50%), 0,75 (75%), 1 (100%), as pressões utilizadas foram de 2, 3 e 4 Torr e furos não passantes de φ3 x 40 mm, φ4 x 60 mm, φ5 x 75 mm. Para determinar a significância de cada parâmetro e de suas interações foi utilizado o modelo estatístico Multi-Factor Anova, com projeto fatorial cruzado a 3 fatores e 3 níveis para cada fator. Com o uso do programa Statgraphics foram geradas as equações que mais se ajustaram ao modelo. Estas equações determinam a máxima profundidade de geração de plasma nitretante no interior dos furos de pequeno diâmetro para as condições de tratamento expostas acima.

Precificação de derivativos de taxa de juros utilizando o modelo HJM multifatorial com estrutura de volatilidade não paramétrica

Com o objetivo de precificar derivativos de taxas de juros no mercado brasileiro, este trabalho foca na implementação do modelo de Heath, Jarrow e Morton (1992) em sua forma discreta e multifatorial através de uma abordagem numérica, e, que possibilita uma grande flexibilidade na estimativa da taxa forward sob uma estrutura de volatilidade baseada em fatores ortogonais, facilitando assim a simulação de sua evolução por Monte Carlo, como conseqüência da independência destes fatores. A estrutura de volatilidade foi construída de maneira a ser totalmente não paramétrica baseada em vértices sintéticos que foram obtidos por interpolação dos dados históricos de cotações do DI Futuro negociado na BM&FBOVESPA, sendo o período analisado entre 02/01/2003 a 28/12/2012. Para possibilitar esta abordagem foi introduzida uma modificação no modelo HJM desenvolvida por Brace e Musiela (1994).

Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

Um estudo sobre a capacidade de gestores de fundos multigestor adicionarem valor aos cotistas

Com o aumento do número de gestores especializados em um número cada vez maior de possibilidades de investimentos na indústria de fundos brasileira, os fundos Multigestor se tornaram uma alternativa para os investidores que procuram diversificar seus investimentos e delegam às instituições financeiras o trabalho de alocar os recursos dentro das diferentes estratégias e fundos existentes no mercado. O intuito deste estudo é avaliar a capacidade de gerar retornos anormais (alfa) dos fundos de fundos da indústria brasileira, classificados como Fundos Multimercados Multigestor. Para isso foi estudada uma amostra com 1.421 fundos Multigestor com tributação de Longo Prazo no período de janeiro de 2005 a dezembro de 2011. A análise dos resultados encontrados através de regressões de modelos de vários fatores, derivados do modelo de Jensen (1968), sugere que apenas 3,03% dos fundos estudados conseguem adicionar valor a seus cotistas. Foram estudadas ainda as três principais fontes potenciais de geração de alfa dos fundos de fundos, a escolha das estratégias que compõe a carteira do fundo (alocação estratégica), a antecipação de movimentos de mercado (market timing) e a capacidade selecionar os melhores fundos dentro de cada estratégia (seleção de fundos). A partir da inclusão de termos quadráticos, conforme proposto pelos modelos de Treynor e Mazuy (1966) pode-se verificar que os fundos Multigestor, em média, não conseguem adicionar valor tentando antecipar movimentos de mercado (market timing). Através da construção de uma variável explicativa com a composição estratégica de cada fundo da amostra em cada período de tempo, pode-se verificar que os gestores de fundos de fundos, em média, também fracassam ao tentar selecionar os melhores fundos/gestores da indústria. Já a escolha das estratégias que compõe a carteira do fundo (alocação estratégica) mostrou contribuir positivamente para o retorno dos fundos. Ainda foi avaliada a capacidade de gerar alfa antes dos custos, o que elevou o percentual de fundos com alfa positivo para 6,39% dos fundos estudados, mas foi incapaz de alterar o sinal do alfa médio, que permaneceu negativo.

Combating shoulder-surfing: a hidden button gesture based scheme

This project describes an authentication technique that is shoulder-surfing resistant. Shoulder surfing is an attack in which an attacker can get access to private information by observing the user’s interaction with a terminal, or by using recording tools to record the user interaction and study the obtained data, with the objective of obtaining unauthorized access to a target user’s personal information. The technique described here relies on gestural analysis coupled with a secondary channel of authentication that uses button pressing. The thesis presents and evaluates multiple alternative algorithms for gesture analysis, and furthermore assesses the effectiveness of the technique.

Potential output in Latin America: a standard approach for the 1950-2002 period

Includes bibliography

Probing interactions of NMD factors in a distance‐dependent manner by BioID

The understanding of molecular mechanisms requires the elucidation of protein-­‐protein interaction in vivo. For large multi-­‐factor complexes like those assembling on mRNA, co-­‐immunoprecipitation assays often identify many peripheral interactors that complicate the interpretation of such results and that might conceal other insightful mechanistic connections. Here we address the protein-­‐protein interaction network for key factors in the nonsense-­‐mediated mRNA decay (NMD) pathway in a distant-­‐dependent manner using BioID1,2. In this novel approach, the mutant E. coli biotin-­‐protein ligase BirAR118G is fused to the bait protein and biotinylates proximal proteins promiscuously. Hence, interactors positioned close to the bait in vivo are enriched by streptavidin purification and identified by mass spectrometry or western blotting. We present a validation of the BioID assay and preliminary results for close interactors of UPF1 and other key players in NMD.

Probing interactions of NMD factors in a distance-dependent manner by BioID

The understanding of molecular mechanisms requires the elucidation of protein-protein interaction in vivo. For large multi-factor complexes like those assembling on mRNA, co-immunoprecipitation assays often identify many peripheral interactors that complicate the interpretation of such results and that might conceal other insightful mechanistic connections. Here we address the protein-protein interaction network for key factors in the nonsense-mediated mRNA decay (NMD) pathway in a distant-dependent manner using BioID1,2. In this novel approach, the mutant E. coli biotin-protein ligase BirAR118G is fused to the bait protein and biotinylates proximal proteins promiscuously. Hence, interactors positioned close to the bait in vivo are enriched by streptavidin purification and identified by mass spectrometry or western blotting. We present a validation of the BioID assay and preliminary results for close interactors of UPF1 and other key players in NMD.

Probing interactions of NMD factors in a distance-dependent manner by BioID

The understanding of molecular mechanisms requires the elucidation of protein-protein interaction in vivo. For large multi-factor complexes like those assembling on mRNA, co-immunoprecipitation assays often identify many peripheral interactors that complicate the interpretation of such results and that might conceal other insightful mechanistic connections. Here we address the protein-protein interaction network for key factors in the nonsense-mediated mRNA decay (NMD) pathway in a distant-dependent manner using BioID1,2. In this novel approach, the mutant E. coli biotin-protein ligase BirAR118G is fused to the bait protein and biotinylates proximal proteins promiscuously. Hence, interactors positioned close to the bait in vivo are enriched by streptavidin purification and identified by mass spectrometry or western blotting. We present a validation of the BioID assay and preliminary results for close interactors of UPF1 and other key players in NMD.

Gas distribution in shallow large diameter packed beds

It is important to maintain a uniform distribution of gas and liquid in large diameter packed columns to maintain mass transfer efficiency on scaling up. This work presents measurements and methods of evaluating maldistributed gas flow in packed columns. Little or no previous work has been done in this field. A gas maldistribution number, F, was defined, based on point to point velocity variations in the gas emerging from the top of packed beds. f has a minimum value for a uniformly distributed flow and much larger values for maldistributed flows. A method of testing the quality of vapour distributors is proposed, based on "the variation of f with packed height. A good gas distributor requires a short packed depth to give a good gas distribution. Measurements of gas maldistribution have shown that the principle of dynamic similarity is satisfied if two geometrically similar beds are operated at the same Reynold's number. The validity of f as a good measure of gas maldistribution, and the principle of dynamic similarity are tested statistically by Multi-Factor Analysis of the variance, and visually by the response "surfaces technique. Pressure distribution has been measured in a model of a large diameter packed bed, and shown to be associated with the velocity of the gas in a tangential feed pipe. Two simplified theoretical models are proposed to describe the flow of gases through packed beds and to support the principle of dynamic similarity. These models explain why the packed bed itself causes the flow of gas to become more uniformly distributed. A 1.2m. diameter scaled-down model was constructed geometrically similar to a 7.3m. diameter vacuum crude distillation column. The previously known internal cylinder gas distributor was tested. Three new distributors suitable for use in a large diameter column were developed and tested, these are: Internal Cylinder with Slots and Cross Baffles, Internal Cylinder with Guides in the Annulus, Internal Cylinder with Internal Cross Baffles - It has been shown that this is an excellent distributor.

Relationships Between Hydrology and Soils Describe Vegetation Patterns in Seasonally Flooded Tree Islands of the Southern Everglades, Florida

Tree island ecosystems are important and distinct features of Florida Everglades wetlands. We described the inter-relationships among abiotic factors describing seasonally flooded tree islands and characterized plant–soil relationships in tree islands occurring in a relatively unimpacted area of the Everglades. We used Principal Components Analysis (PCA) to reduce our multi-factor dataset, quantified forest structure and vegetation nutrient dynamics, and related these vegetation parameters to PCA summary variables using linear regression analyses. We found that, of the 21 abiotic parameters used to characterize the ecosystem structure of seasonally flooded tree islands, 13 parameters were significantly correlated with four principal components, and they described 78% of the variance among the study islands. Most variation was described by factors related to soil oxidation and hydrology, exemplifying the sensitivity of tree island structure to hydrologic conditions. PCA summary variables describing tree island structure were related to variability in Chrysobalanus icaco (L.) canopy cover, Ilex cassine (L.) and Salix caroliniana (Michx.) canopy cover, Myrica cerifera (L.) plot frequency, litter turnover, % phosphorus resorption of co-dominant species, and nitrogen nutrient-use efficiency. This study supported findings that vegetation characteristics can be sensitive indicators of variability in tree island ecosystem structure. This study produced valuable, information which was used to recommend ecological targets (i.e. restoration performance measures) for seasonally flooded tree islands in more impacted regions of the Everglades landscape.

Energy efficiency in the Chinese provinces: a fixed effects stochastic frontier spatial Durbin error panel analysis

Energy efficiency improvement has been a key objective of China’s long-term energy policy. In this paper, we derive single-factor technical energy efficiency (abbreviated as energy efficiency) in China from multi-factor efficiency estimated by means of a translog production function and a stochastic frontier model on the basis of panel data on 29 Chinese provinces over the period 2003–2011. We find that average energy efficiency has been increasing over the research period and that the provinces with the highest energy efficiency are at the east coast and the ones with the lowest in the west, with an intermediate corridor in between. In the analysis of the determinants of energy efficiency by means of a spatial Durbin error model both factors in the own province and in first-order neighboring provinces are considered. Per capita income in the own province has a positive effect. Furthermore, foreign direct investment and population density in the own province and in neighboring provinces have positive effects, whereas the share of state-owned enterprises in Gross Provincial Product in the own province and in neighboring provinces has negative effects. From the analysis it follows that inflow of foreign direct investment and reform of state-owned enterprises are important policy handles.