Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

Pirólise rápida catalítica do capim elefante utilizando materiais mesoporosos e óxidos metálicos para deoxigenação em bio-óleo

The fast pyrolysis of lignocellulosic biomass is a thermochemical conversion process for production energy which have been very atratactive due to energetic use of its products: gas (CO, CO2, H2, CH4, etc.), liquid (bio-oil) and charcoal. The bio-oil is the main product of fast pyrolysis, and its final composition and characteristics is intrinsically related to quality of biomass (ash disposal, moisture, content of cellulose, hemicellulose and lignin) and efficiency removal of oxygen compounds that cause undesirable features such as increased viscosity, instability, corrosiveness and low calorific value. The oxygenates are originated in the conventional process of biomass pyrolysis, where the use of solid catalysts allows minimization of these products by improving the bio-oil quality. The present study aims to evaluate the products of catalytic pyrolysis of elephant grass (Pennisetum purpureum Schum) using solid catalysts as tungsten oxides, supported or not in mesoporous materials like MCM-41, derived silica from rice husk ash, aimed to reduce oxygenates produced in pyrolysis. The biomasss treatment by washing with heated water (CEL) or washing with acid solution (CELix) and application of tungsten catalysts on vapors from the pyrolysis process was designed to improve the pyrolysis products quality. Conventional and catalytic pyrolysis of biomass was performed in a micro-pyrolyzer, Py-5200, coupled to GC/MS. The synthesized catalysts were characterized by X ray diffraction, infrared spectroscopy, X ray fluorescence, temperature programmed reduction and thermogravimetric analysis. Kinetic studies applying the Flynn and Wall model were performed in order to evaluate the apparent activation energy of holoceluloce thermal decomposition on samples elephant grass (CE, CEL and CELix). The results show the effectiveness of the treatment process, reducing the ash content, and were also observed decrease in the apparent activation energy of these samples. The catalytic pyrolysis process converted most of the oxygenate componds in aromatics such as benzene, toluene, ethylbenzene, etc

Thermal Decomposition Kinetics of Humic Substances Extracted from Mid-Rio Negro (Amazon Basin) Soil Samples

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Structural and Biochemical Characterization of Peroxiredoxin Q beta from Xylella fastidiosa CATALYTIC MECHANISM and HIGH REACTIVITY

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

The co-catalytic effect of chlorpromazine on peroxidase-mediated oxidation of melatonin: enhanced production of N-1-acetyl-N (2)-formyl-5-methoxykynuramine

Accumulating evidence points to relationships between increased production of reactive oxygen or decreased antioxidant protection in schizophrenic patients. Chlorpromazine (CPZ), which remains a benchmark treatment for people with schizophrenia, has been described as a pro-oxidant compound. Because the antioxidant compound melatonin exerts protective effects against CPZ-induced liver disease in rats, in this investigation, our main objective was to study the effect of CPZ as a co-catalyst of peroxidase-mediated oxidation of melatonin. We found that melatonin was an excellent reductor agent of preformed CPZ cation radical (CPZ(center dot+)). The addition of CPZ during the horseradish peroxidase (HRP)-catalyzed oxidation of melatonin provoked a significant increase in the rate of oxidation and production of N-1-acetyl-N-2-formyl-5-methoxykynuramine (AFMK). Similar results were obtained using myeloperoxidase. The effect of CPZ on melatonin oxidation was rather higher at alkaline pH. At pH 9.0, the efficiency of oxidation of melatonin was 15 times higher and the production of AFMK was 30 times higher as compared with the assays in the absence of CPZ. We suggest that CPZ is able to exacerbate the rate of oxidation of melatonin by an electron transfer mechanism where CPZ(center dot+), generated during the peroxidase-catalyzed oxidation, is able to efficiently oxidize melatonin.

Acceleration of the decomposition of Sicilian lemon leaves as an auxiliary measure in the control of citrus black spot

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Thermogravimetric studies of decomposition kinetics of six different IAC Hevea rubber clones using Flynn-Wall-Ozawa approach

The thermal degradation behaviour of rubber from six new Hevea brasiliensis clones (IAC 40, 56, 300, 301, 302 and 303) from São Paulo State, Brazil was studied by thermogravimetry using the Flynn-Wall-Ozawa approach to assess the kinetic parameters ( reaction order, activation energy and pre-exponential factor) of the decomposition process. This study indicated that the thermal behaviour is a complex multiple step process, which depends on the type of rubber Hevea clones studied. The rubber from these clones can be classified, following the order of decreasing thermal stability, as IAC 303 > 302 > 56 > 40 > 300 > 301.

Electrochemical characterization of the paste carbon modified electrode with KSr2Ni0.75Nb4.25O15-delta solid in catalytic oxidation of the dipyrone

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effect of cationic micelles on the decomposition of alpha-aminophenyl cephalosporins

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A new oxovanadium(IV)-cucurbit[6]uril complex: Properties and potential for confined heterogeneous catalytic oxidation reactions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Thermal stability and thermal decomposition of sucralose

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Time-domain analysis of piezoelectric impedance-based structural health monitoring using multilevel wavelet decomposition

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

New geopolymeric binder based on fluid catalytic cracking catalyst residue (FCC)

This paper provides information about the synthesis and mechanical properties of geopolymers based on fluid catalytic cracking catalyst residue (FCC). FCC was alkali activated with solutions containing different SiO2/Na2O ratios. The microstructure and mechanical properties were analysed by using several instrumental techniques. FCC geopolymers are mechanically stable, yielding compressive strength about 68 MPa when mortars are cured at 65 degrees C during 3 days. The results confirm the viability of producing geopolymers based on FCC. (C) 2012 Elsevier B.V. All rights reserved.