Essays on illiquidity premium

This dissertation is composed of three related essays on the relationship between illiquidity and returns. Chapter 1 describes the time-series properties of the relationship between market illiquidity and market return using both yearly and monthly datasets. We find that stationarized versions of the illiquidity measure have a positive, significant, and puzzling high premium. In Chapter 2, we estimate the response of illiquidity to a shock to returns, assuming that causality runs from returns to illiquidity and find that an increase in firms' returns lowers illiquidity. In Chapter 3 we take both effects into account and account for the endogeneity of returns and illiquidity to estimate the liquidity premium. We find evidence that the illiquidity premium is a smaller than the previous evidence suggests. Finally, Chapter 4 shows topics for future research where we describe a return decomposition with illiquidity costs.

Neighborhood feedbacks, endogenous stratification, and income inequality

This paper explores the evolution of the cross-section income distribution in economies where endogenous neighborhood formation interacts with positive within-neighborhood feedback effects. We study an economy in which the economic success of adults is determined by the characteristics of the families in the neighborhood in which a person grows up. These feedbacks take two forms. First, the tax base of a neighborhood affects the leveI of education investment in offspring. Second, the effectiveness of education investment is affected by a neighborhood's in come distribution, reflecting factors such as role model or labor market connection effects. Conditions are developed under which endogenous stratification, defined as the tendency for families wi th similar incomes to choose to form common communities, will occur. When families are allowed to choose their neighborhoods, wealthy families will have an incentive to segregate themselves from the rest of the population. This resulting stratification is supported by house price differences between ricli and poor communities. Endogenous stratification can lead to pronounced intertemporal inequality as different families provide very different interaction environments for offspring. When the transformation of human capital into in come exhibits constant retums to scale, cross-section in come differences may also grow across time. As a result, endogenous stratification and neighborhood feedbacks can interact to produce long run inequality.

The distribution of male wages in Brazil

This paper examines the evolution of wage inequality in Brazil in the 1980s and 1990s . It tries to investigate the role played by changing economic returns to education and to experience over this period together with the evolution of within-group inequality. It applies a quantile regression approach on grouped data to the Brazilian case. Results using repeated cross-sections of a Brazilian annual household survey indicate that : i) Male wage dispersion remained basically constant overall in the 1980's and 1990' s but has increased substantially within education and age groups. ii) Returns to experience increased significantly over this period, with the rise concentrated on the iliterate/primary school group iii) Returns to college education have risen over time, whereas return to intermediate and high-school education have fallen iv) The apparent rise in within-group inequality seems to be the result of a fall in real wages, since the difference in wage leveIs has dec1ined substantially over the period, especially within the high-educated sample. v) Returns to experience rise with education. vi) Returns to education rise over the life-cycle. vii) Wage inequality increases over the life-cycle. The next step i~ this research will try to conciliate all these stylised facts.

Market timing as a motive for IPOs: evidence from IPOs of Japanese keiretsu firms

This paper examines the relevance of market timing as a motive for initial public offerings (IPOs) by comparing IPOs of firms that are members of Japanese keiretsu industrial groups with IPOs of independent Japanese firms. We argue that Japanese keiretsu-linked IPOs form a favorable sample to find evidence of the market timing motive. Instead, the data provide strong evidence for a restructuring motive and little evidence for market timing. We find that long run returns to keiretsu and independent IPOs are not negative, contrary to U.S. evidence, and are indistinguishable from each other; initial returns to keiretsu-linked IPOs are significantly higher than to independent firms; and a significant number of keiretsu IPO firms adjust their linkages with the group following the IPO, with both increases and decreases.

Mobility, information, and bequest : the other side of the equal division puzzle

There is substantial empirical evidence that parental bequests to their children are typically equal in the US – a regularity inconsistent with the predictions of standard optimizing bequest models. The prior explanation for this puzzle is parents’ desire to signal equal affection given children’s incomplete information of parental preferences. However, parents also have incomplete information regarding children and the implications of this side of the information set have not previously been considered. Using a strategic bequest framework we show that when parents have sufficient uncertainty regarding children’s returns to relocation a separating equilibrium in which parents reward attentive heirs with larger bequests is precluded. We argue that such uncertainty is consistent with conditions in the contemporary US.

Avaliação das Opções Reais de Conversão e Abandono para Uma Mineradora de Minério de Ferro Sob Cenário de Stress

O mercado de minério de ferro tem passado por um período de stress nos últimos meses. O arrefecimento dos investimentos chineses em infraestrutura resultou em perspectivas negativas para a demanda dessa commodity. Paralelamente, a entrada em operação de novos projetos com volume de produção relevante aumentou a oferta desse produto no mercado. Essa conjuntura de fatores resultou na queda do preço do minério de ferro no mercado mundial e em um cenário de retornos reduzidos para as mineradoras. Nesse contexto, o objetivo do presente estudo é avaliar a flexibilidade gerencial, disponível aos administradores de mineradoras operacionais, de suspender ou fechar o empreendimento dependendo do preço do minério de ferro. Essas decisões serão estudadas através da Teoria das Opções Reais, onde a opção de conversão será aplicada na situação de suspensão e reabertura da mina e a opção de abandono será aplicada na situação do seu fechamento. O processo estocástico a ser seguido pelo preço do minério de ferro será o Movimento Geométrico Browniano, implementado através de um Modelo Binomial conforme proposto por Cox, Ross e Rubinstein (1979). O resultado do trabalho comprova o valor das opções reais estudadas e indica que essas opções reais têm maior valor em cenários de stress, quando o preço do minério de ferro está desvalorizado.

Política cultural audiovisual sob o prisma do mecanismo de investimento reembolsável da RioFilme

O presente trabalho busca analisar o resultado da restituição das receitas investidas nos projetos audiovisuais pela empresa RioFilme, no período de 2009 a 2013, por meio do mecanismo de investimento reembolsável, visando identificar a possibilidade de retroalimentação para novos investimentos. A RioFilme, que é uma empresa pública de investimentos em audiovisual da Prefeitura do Rio de Janeiro, realiza investimentos reembolsáveis, nos quais adquire participação nas receitas dos projetos; e não reembolsáveis, em que não há possibilidade restituição financeira para a empresa. Para a operacionalização da pesquisa foi realizada a análise documental de 79 processos administrativos e extraídos dados dos investimentos financeiros realizados RioFilme no setor audiovisual carioca no período de 2009 a 2013. O setor audiovisual brasileiro possui grande intervenção governamental, seja ela de forma direta, como também indireta, através das leis de incentivo à cultura, que utilizam a renúncia fiscal. Este modelo não traz restituição direta para o ente estatal, e consequentemente não possibilita a retroalimentação financeira do Estado para novos investimentos. Desta forma, a análise dos modelos alternativos de financiamento do setor audiovisual, como o mecanismo reembolsável utilizado pela RioFilme é de suma importância para a política cultural audiovisual brasileira, tendo em vista que neste modelo de investimento utilizado pela mesma há possibilidade de restituição financeira direta, possibilitando sua retroalimentação para investimentos em novas obras audiovisuais.

Fundos de investimento imobiliário no Brasil: as características que explicam o desempenho

O objetivo deste trabalho é ajudar o investidor que optou por investir seus recursos no mercado imobiliário a tomar sua decisão de investimento com base nas características endógenas facilmente identificáveis no prospecto dos Fundos de Investimento Imobiliários (FIIs). Foram selecionadas aquelas consideradas importantes pela literatura e foram construídos alguns modelos para testar sua influência na rentabilidade. Inicialmente, foi construído um modelo completo, com todas as variáveis, que apresentou resultados pouco relevantes, já que a maioria das variáveis não apresentou significância. Em seguida, um modelo reduzido foi montado com as variáveis que mais contribuíam para a rentabilidade, obtendo-se resultados relevantes. Através desse modelo, observou-se que FIIs que investem em desenvolvimento imobiliário, com foco no mercado residencial e com baixas taxas de administração, geraram maiores rentabilidades ao investidor.

Synthesis and physical properties of lipid-based poly(ester-urethane)s, I: Effect of varying polyester segment length

Four aliphatic thermoplastic poly(ester-urethane)s (PEUs) with similar molecular weights but varying polyesters molecular weight (534-1488 g/mol) were prepared from polyester diols, obtained by melt condensation of Azelaic acid and 1,9-Nonanediol, and 1,7-heptamethylene di-isocyanate (HPMDI) all sourced from vegetable oil feedstock. The thermal, and mechanical properties, and crystal structure of PEUs were investigated using DSC, TGA, DMA, tensile analysis and WAXD. For sufficiently long polyester chain, WAXD data indicated no hydrogen bonds polyethylene (PE)-like crystalline packing and for short polyester chains, small crystal domains with significant H-bonded polyamide (PA)-like packing. Crystallinity decreased with decreasing polyester molecular weights. The polymorphism of PEUs and consequently their melting characteristics were found to be largely controlled by polyester segment length. TGA of the PEUs indicated improved thermal stability with decreasing polyester chain length, suggesting a stabilization effect by urethane groups. Mechanical properties investigated by DMA and tensile analysis were found to scale predictably with the overall crystallinity of PEUs. (C) 2012 Elsevier Ltd. All rights reserved.

Signal transducer and activator of transcription 3-regulated sarcoendoplasmic reticulurn Ca2+-ATPase 2 expression by prolactin and glucocorticoids is involved in the adaptation of insulin secretory response during the peripartum period

During pregnancy, the maternal endocrine pancreas undergoes, as a consequence of placental lactogens and prolactin (PR,L) action, functional changes that are characterized by increased glucose-induced insulin secretion. After delivery, the maternal endocrine pancreas rapidly returns to nonpregnant state, which is mainly attributed to the increased serum levels of glucocorticoids (GCs). Although GCs are known to decrease insulin secretion and counteract PRL action, the mechanisms for these effects are poorly understood. We have previously demonstrated that signal transducer and activator of transcription 3 (STAT3) is increased in islets treated with PRL. In the present study, we show that STAT3 expression and serine phosphorylation are increased in pancreatic islets at the end of pregnancy (P19). STAT3 serine phosphorylation rapidly returned to basal levels 3 days after delivery (U). The expression of the sarcoendoplasmic reticulum Ca2+-ATPase 2 (SERCA2), a crucial protein involved in the regulation of calcium handling in P-cells, was also increased in P19, returning to basal levels at L3. PRL increased SERCA2 and STAT3 expressions and STAT3 serine phosphorylation in RINm5F cells. The upregulation of SERCA2 by PRL was abolished after STAT3 knockdown. Moreover, PRL-induced STAT3 serine phosphorylation and SERCA2 expression were inhibited by dexamethasone (DEX). Insulin secretion from islets of PI 9 rats pre-incubated with thapsigargin and L3 rats showed a dramatic suppression of first phase of insulin release. The present results indicate that PRL regulates SERCA2 expression by a STAT3-dependent mechanism. PRL effect is counteracted by DEX and might contribute to the adaptation of maternal endocrine pancreas during the peripartum period.

A sustainable alternative for cooling the machining processes using a refrigerant fluid in recirculation inside the toolholder

This article presents a cooling system for cutting tool in turning based in a toolholder with cooling fluid flowing inside its body being that this fluid must necessarily be able to phase change due to heat generated from machining processes. In this way, the fluid evaporates just under the cutting tool allowing a heat transfer more efficient than if were used a fluid without phase change once the latent heat of evaporation is beneficial for removal heat. Following, the cooling fluid evaporated passes through a condenser located out of the toolholder where it is condensated and returns to the toolholder again and a new cycle is started. In this study, the R-123, a hydrochlorofluorocarbon (HCFC) fluid, was selected for the turning of a Cr-Ni-Nb-Mn-N austenitic steel of hard machinability. The machining tests were carried out under three different machining conditions: dry machining, external cutting fluid (conventional method), and with the toolholder proposed. As result, the developed system allows a surface roughness up to 10% better than dry machining and a tool life close to the conventional method, but 32% superior to dry machining; moreover, there are environmental and economics advantages once the cooling fluid is maintained in a loop circuit.

Praça: lugar de lazer: relações entre características ambientais e comportamentais na Praça Kalina Maia Natal RN

Nowadays, the urban chaos brings some problems to the citizens such as mental fatigue, irritability and lack of attention, emphasizing the need for open urban spaces, capable to contribute to the restoration of physical and mental balance of people. By the variety of alternative uses available, many of them related to the stimulus of entertainment activities, the squares have been identified as restorative environments, especially by its potential as a place of leisure. In this context, the objective of this dissertation is to understand the use of the square as leisure environment, by a square in Natal RN, establishing the relationship between environmental and behavioral characteristics. More specifically, I attempt to identify the major activities that happen there, the people that develop them and the spatial and temporal configurations of this occupation. Among the 290 squares available in the city, the Kalina Maia Square was selected, which is located in the district of Lagoa Nova. The case study chosen was based on criteria relating to scale, shape, location on the urban environment, variability of uses and conservation status. In the study were used behavioral mapping place-centered and people-centered, behavior trace analysis and 14 interviews. The results show that the square is used by people from different ages and social classes, subdivided into groups with specific days and times. These users are usually engaged in activities related to various types of leisure, with sports predominance. The relationship between spatial configuration and behavior shows that there is a sectorization of uses, being possible to identify the environmental characteristics that most favor observed activities, especially in relation to shading and presence of furniture and equipment. Moreover, throughout the day it appears that the affordances inherent to the various fixed objects on the square are decoded differently by various categories of users, by giving them insights that help the development of leisure activities that characterize each group

Desenvolvimento de misturas ternárias para remoção de reboco de fluido de perfuração sintético

The construction of wells is one of the most important activities of the oil industry. The drilling process is the set of activities and operations to design, program and perform the opening thereof. During this process, the cuttings are removed by the drilling fluid, or mud, and carted to the surface. This fluid is injected into the drill string and returns to the surface through the annular space between the well walls and the drill string. After the descent of the column casing, the annular space between the casing string and the walls of the borehole is filled with cement so as to secure the spine and prevent any migration of fluids between the various permeable zones traversed by the well behind of the coating. To ensure the good quality of the cementation scrubbers are used mattresses which are pumped ahead of the cement slurry so as to avoid contamination of the drilling fluid paste, or vice versa, and assist in the removal of plaster, formed by drilling fluid of the borehole walls, thus enabling a better cement bond to the well. Within this context, this work aims to evaluate the efficiency of mattresses scrubbers, the basis of ionic and nonionic surfactants, on the removal of nonaqueous drilling fluid, based on n-paraffin in oil wells, and the compatibility between the Mattress relations washer / drilling fluid bed scrubber / cement paste mattress washer / cement slurry / drilling fluid and the drilling fluid / cement slurry using laboratory tests rheology, thickening time and compressive strength. Also technique was performed X-ray diffraction (XRD) for a more detailed analysis of these mixtures with hydrated cement paste. In compatibility tests the conditions of temperature and pressure used in the same laboratory procedure simulating the conditions of oil wells, the well is considered the depth of 800 m. The results showed that the compositions of the mattress washer nonionic, KMS obtained a 100% efficient in removing the non-aqueous drilling fluid, and the best formulation showed good results with respect to compliance testing

Influência das condições de saúde bucal no desempenho das atividades diárias de adolescentes escolares

Instruments are used in odontology to measure the Quality of Life Related to Oral Health (OHRQoL) to scale how the oral condition interferes with functional areas, of the people s psychological and social life. This cross-sectional study, held in Natal/RN, with 215 students from the Federal Institute of Education, Science and Technology of Rio Grande do Norte (IFRN) has investigated the association between the performance of daily activities and oral health status of school adolescents from 15 to 19 years of age, through the normative index DMFT (permanent teeth decayed, missing and filled), CPI (Community Periodontal Index) and DAI (dental Aesthetic Index) and subjective questionnaire assessment of quality of life related oral health OIDP index (oral impacts on daily performance). It was also carried out the socioeconomic characteristics of students through IFRN own data. Concerning the analysis of data was performed a descriptive analysis of the variables by their absolute and relative frequencies and measures of central tendency. The chi-square test was used to assess the association between the dependent variable and the independent categorical variables and the Student t test for quantitative. It was also conducted a further multiple analysis out using Poisson regression with robust variance between the outcome "presence of impact" and the independent variables that showed p <0.20. It was used for all the statistical tests a significance level of 5%. Among the adolescents surveyed, 51.16% reported that at least one activity assessed by OIDP had hampered its implementation due to some dental problem. The difficulties were more pronounced in the activities of eating (31.6%), oral hygiene (25.6%) and smile (25.1%).The tooth position, followed by toothache, were the causes of the impacts reported by most teenagers. There was a significant association between the presence and impact of the presence of one or more decayed teeth (p = 0.012), the presence of gum bleeding (p = 0.012) and for orthodontic treatment (p = 0.003), independently of other variables. There was no significant association between oral health status and socioeconomic and demographic characteristics of the adolescents. The survey results showed that there is an association between oral health status of the population studied and reports of difficulties in carrying out daily activities evaluated. The worse the oral health status, the greater the impact of this condition on the adolescents quality of life

O eterno espanto: uma leitura estética em Mario Quintana

This work aims to read the phenomenon of the Sublime as the main aesthetical concern in the work of the Brazilian poet Mario Quintana. The research was based on the dialogical approach used by Mario Quintana to see life & poetry. This search noticed that such aesthetical concern is an answer to the modern age that surrounds the post-war man. Immerse in his aesthetical concerns, Mario Quintana designs, through his poetry, a way to give humanity back to men. In this attempt of rupture, Mario Quintana returns to tradition through astonishment besides laughter