Opening returns, noise and overreaction

In this article a partial-adjustment model, which shows how equity prices fail to adjust instantaneously to new information, is estimated using a Kalman filter. For the components of the Dow Jones Industrial 30 index I aim to identify whether overreaction or noise is the cause of serial correlation and high volatility associated with opening returns. I find that the tendency for overreaction in opening prices is much stronger than for closing prices; therefore, overreaction rather than noise may account for differences in the return behavior of opening and closing returns.

The effect of universal futures on opening and closing stock market price discovery

Purpose – On 29 January 2001, Euronext LIFFE introduced single security futures contracts on a range of global companies. The purpose of this paper is to examine the impact that the introduction of these futures contracts had on the behaviour of opening and closing UK equity returns. Design/methodology/approach – The paper models the price discovery process using the Amihud and Mendelson partial adjustment model which can be estimated using a Kalman filter. Findings – Empirical results show that during the pre-futures period both opening and closing returns under-react to new information. After the introduction of futures contracts opening returns over-react. A rise in the partial adjustment coefficient also takes place for closing returns but this is not large enough to cause over-reaction. Originality/value – This is the first study to examine the impact of a single security futures contract on the speed of spot market price discovery.

Modeling communication services for rapid realization

The availability and pervasiveness of new communication services, such as mobile networks and multimedia communication over digital networks, has resulted in strong demands for approaches to modeling and realizing customized communication systems. The stovepipe approach used to develop today's communication applications is no longer effective because it results in a lengthy and expensive development cycle. To address this need, the Communication Virtual Machine (CVM) technology has been developed by researchers at Florida International University. The CVM technology includes the Communication Modeling Language (CML) and the platform, CVM, to model and rapidly realize communication models. ^ In this dissertation, we investigate the basic communication primitives needed to capture and specify an end-user's requirements for communication-intensive applications, and how these specifications can be automatically realized. To identify the basic communication primitives, we perform a feature analysis on a set of communication-intensive scenarios from the healthcare domain. Based on the feature analysis, we define a new version of CML that includes the meta-model definition (abstract syntax and static semantics) and a partial behavior model (operational semantics). To validate our CML definition, we present a case study that shows how one of the scenarios from the healthcare domain is modeled and automatically realized. ^

The effect of dual -language instruction on academic achievement as measured by the SAT: An evaluation of the "International Studies Program" of Miami -Dade County Public Schools

This study investigated the influence that receiving instruction in two languages, English and Spanish, had on the performance of students enrolled in the International Studies Program (delayed partial immersion model) of Miami Dade County Public Schools on a standardized test in English, the Stanford Achievement Test, eighth edition, for three of its sections, Reading Comprehension, Mathematics Computations, and Mathematics Applications.^ The performance of the selected IS program/Spanish section cohort of students (N = 55) on the SAT Reading Comprehension, Mathematics Computation, and Mathematics Application along four consecutive years was contrasted with that of a control group of comparable students selected within the same feeder pattern where the IS program is implemented (N = 21). The performance of the group was also compared to the cross-sectional achievement patterns of the school's corresponding feeder pattern, region, and district.^ The research model for the study was a variation of the "causal-comparative" or "ex post facto design" sometimes referred to as "prospective". After data were collected from MDCPS, t-tests were performed to compare IS-Spanish students SAT performance for grades 3 to 6 for years 1994 to 1997 to control group, feeder pattern, region and district norms for each year for Reading Comprehension, Mathematics Computation, and Mathematics Applications. Repeated measures ANOVA and Tukey's tests were calculated to compare the mean percentiles of the groups under study and the possible interactions of the different variables. All tests were performed at the 5% significance level.^ From the analyses of the tests it was deduced that the IS group performed significantly better than the control group for all the three measures along the four years. The IS group mean percentiles on the three measures were also significantly higher than those of the feeder pattern, region, and district. The null hypotheses were rejected and it was concluded that receiving instruction in two languages did not negatively affect the performance of IS program students on tests taken in English. It was also concluded that the particular design the IS program enhances the general performance of participant students on Standardized tests.^ The quantitative analyses were coupled with interviews from teachers and administrators of the IS program to gain additional insight about different aspects of the implementation of the program at each particular school. ^

Características das ondas a jusante de dissipador por ressalto hidráulico

A ação das ondas nas margens de rios provoca o desprendimento de material, tornandoas vulneráveis a erosão. O trabalho apresenta uma descrição de vários experimentos realizados em um modelo reduzido parcial de um vertedouro em degraus com um canal a jusante, instalado no Laboratório de Obras Hidráulicas (IPH/UFRGS). Diferentes condições de vazão e submergência foram consideradas, com o objetivo de estudar as características principais de ondas, tais como, altura e período, que atuam sobre as margens em áreas de influencia de aproveitamento hidrelétrico. Uma analise temporal e espectral foram realizadas com base nos dados medidos e apresentada neste trabalho. Os resultados das análises indicam, em uma primeira abordagem, que as características principais das ondas estão mais relacionadas com a vazão do que com a submergência.

Capital structure of Finnish firms – Estimating the effects of firm characteristics on capital structure

One of the most disputable matters in the theory of finance has been the theory of capital structure. The seminal contributions of Modigliani and Miller (1958, 1963) gave rise to a multitude of studies and debates. Since the initial spark, the financial literature has offered two competing theories of financing decision: the trade-off theory and the pecking order theory. The trade-off theory suggests that firms have an optimal capital structure balancing the benefits and costs of debt. The pecking order theory approaches the firm capital structure from information asymmetry perspective and assumes a hierarchy of financing, with firms using first internal funds, followed by debt and as a last resort equity. This thesis analyses the trade-off and pecking order theories and their predictions on a panel data consisting 78 Finnish firms listed on the OMX Helsinki stock exchange. Estimations are performed for the period 2003–2012. The data is collected from Datastream system and consists of financial statement data. A number of capital structure characteristics are identified: firm size, profitability, firm growth opportunities, risk, asset tangibility and taxes, speed of adjustment and financial deficit. A regression analysis is used to examine the effects of the firm characteristics on capitals structure. The regression models were formed based on the relevant theories. The general capital structure model is estimated with fixed effects estimator. Additionally, dynamic models play an important role in several areas of corporate finance, but with the combination of fixed effects and lagged dependent variables the model estimation is more complicated. A dynamic partial adjustment model is estimated using Arellano and Bond (1991) first-differencing generalized method of moments, the ordinary least squares and fixed effects estimators. The results for Finnish listed firms show support for the predictions of profitability, firm size and non-debt tax shields. However, no conclusive support for the pecking-order theory is found. However, the effect of pecking order cannot be fully ignored and it is concluded that instead of being substitutes the trade-off and pecking order theory appear to complement each other. For the partial adjustment model the results show that Finnish listed firms adjust towards their target capital structure with a speed of 29% a year using book debt ratio.

Incentive based policies on climate change: taxes and tradable emssions permits

The reduction of Greenhouse Gases (GHG) plays a central role in the environmental policies considered by countries for implementation not only at its own level but also at supranational levels. This thesis is dedicated to investigate some aspects of two of the most relevant climate change policies. The first part is dedicated to emission permit markets and the second part to optimal carbon taxes. On emission permit markets we explore the strategic behavior of oligopolistic firms operating in polluting industrial sectors that are regulated by cap and trade systems. Our aim is to identify how market power influences the main results obtained under perfect competition assumptions and to understand how actions taken in one market affects the outcome of the other related market. A partial equilibrium model is developed for this purpose with specific abatement cost functions. In Chapter 2 we use the model to explain some of the most relevant literature results. In Chapter 3 the model is used to analyze different oligopolistic structures in the product market under the assumption of competitive permits market. There are two significant findings. Firstly, under the assumption of a Stackelberg oligopoly, firms have no incentives for lobbying in order to manipulate permit prices up, as they have under Cournot competition...

Validity and reliability of the international fItness scale (IFIS) in a population-based sample of schoolchildren in Bogota, Colombia: The FUPRECOL study

The International FItness Scale (IFIS) is a self-reported measure of physical fitness that could easily. This scale has been validated in children, adolescents, and young adults; however, it is unknown whether the IFIS represents a valid and reliable estimate of physical fitness in Latino-American youth population. In the present study we aimed to examine the validity and reliability of the IFIS on a population-based sample of schoolchildren in Bogota, Colombia. Participants were 1,875 Colombian youth (56.2% girls) aged 9 to 17.9 years old. We measured adiposity markers (body fat, waist-to-height ratio, skinfold thicknesses and BMI), blood pressure, lipids profile, fasting glucose, and physical fitness level (self reported and measured). Also, a validated cardiometabolic risk index was used. An age- and sex-matched sample of 229 Schoolchildren originally not included in the study sample fulfilled IFIS twice for reliability purposes. Our data suggest that both measured and self-reported overall fitness were associated inversely with adiposity indicators and a cardiometabolic risk score. Overall, schoolchildren who self-reported “good” and “very good” fitness had better measured fitness than those who reported “very poor” and “poor” fitness (all p<0.001). Test–retest reliability of IFIS items was also good, with an average weighted Kappa of 0.811. Therefore, our findings suggest that self-reported fitness, as assessed by IFIS, is a valid, reliable, and health-related measure, and it can be a good alternative for future use in large studies with Latin-schoolchildren from Colombia.

Partial-hepatectomized (70%) Model Shows A Correlation Between Hepatocyte Growth Factor Levels And Beta-cell Mass.

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Effect of IIb-IIIa Glycoprotein Inhibitors in a Partial Limb Amputation Model Submitted to Warm Ischemia in Rats

Viability and functional results of a segment replantation depend on the prevention of deleterious effects of ischemia. Prolonged ischemia leads to alterations in the microcirculation: thrombosis, edema, production of oxygen free radicals, and platelet aggregation. The effect of IIb-IIIa glycoprotein inhibitors was tested in a partial limb amputation model submitted to warm ischemia. The male Wistar rats were divided into four groups: G1 with 0 hours of ischemia and saline (n = 20), G2 with 6 hours of ischemia and saline (n = 24), G3 with 6 hours of ischemia and abciximab (n = 23), and G4 with 6 hours of ischemia and tirofiban (n = 29). The limbs were observed for 7 days and classified as viable or nonviable. Viability, and mortality rates were obtained and analyzed by Q-square and Fisher exact tests (p < 0.05). The viability rates were 100% (G1), 30% (G2), 77.78% (G3), and 80.95% (G4). G2 was statistically different from G1, G3, and G4. G1, G3, and G4 were not statistically different. Transoperative and postoperative mortalities were not statistically different. The administration of abciximab and tirofiban improved limb salvage after ischemia and reperfusion and did not modify mortality rates significantly.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Exploiting the cointrgration between vix and CDS in a credit market timing model

We investigate the cointegration between VIX and CDS indices, and the possibility of exploiting it in an existing credit market timing investment model. We find cointegration over most of the sample period and the leadership of VIX over the CDS in the price discovery process. We present two methods for including cointegration into the model. Both strategies improve the in-sample and out-of-sample model performances, even though out-of-sample results are weaker. We find that in-sample better performances are explained by a stronger cointegration, concluding that in the presence of cointegration our strategies can be profitable in an investment model that considers transaction costs.

Partial Knowledge Restrictions on theTwo-Stage Threshold Model of Choice

In the context of the two-stage threshold model of decision making, with the agent’s choices determined by the interaction Of three “structural variables,” we study the restrictions on behavior that arise when one or more variables are xogenously known. Our results supply necessary and sufficient conditions for consistency with the model for all possible states of partial Knowledge, and for both single- and multivalued choice functions.

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.