Improving mutual fund market timing measures: a markov switching approach

Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

Correcting the fixed-effect estimator for endogenous switching

In this paper, we propose a two-step estimator for panel data models in which a binary covariate is endogenous. In the first stage, a random-effects probit model is estimated, having the endogenous variable as the left-hand side variable. Correction terms are then constructed and included in the main regression.

Posicionamento estratégico com switching costs e lock-in na economia da informação

Apresenta uma perspectiva de análise de posicionamento estratégico utilizando-se os princípios econômicos de switching costs e lock-in. Aborda as diferentes fontes de switching costs e analisa as estratégias de lock-in. Apresenta um caso prático com aplicação destes conceitos no segmento de ERP no Brasil.

Um modelo "time-varying markov-Switching" para crescimento econômico e algoritmo de estimação

Este trabalho elabora um modelo para investigação do padrão de variação do crescimento econômico, entre diferentes países e através do tempo, usando um framework Markov- Switching com matriz de transição variável. O modelo desenvolvido segue a abordagem de Pritchett (2003), explicando a dinâmica do crescimento a partir de uma coleção de diferentes estados – cada qual com seu sub-modelo e padrão de crescimento – através dos quais os países oscilam ao longo do tempo. A matriz de transição entre os diferentes estados é variante no tempo, dependendo de variáveis condicionantes de cada país e a dinâmica de cada estado é linear. Desenvolvemos um método de estimação generalizando o Algoritmo EM de Diebold et al. (1993) e estimamos um modelo-exemplo em painel com a matriz de transição condicionada na qualidade das instituições e no nível de investimento. Encontramos três estados de crescimento: crescimento estável, ‘milagroso’ e estagnação - virtualmente coincidentes com os três primeiros de Jerzmanowski (2006). Os resultados mostram que a qualidade das instituições é um importante determinante do crescimento de longo prazo enquanto o nível de investimento tem papel diferenciado: contribui positivamente em países com boa qualidade de instituições e tem papel pouco relevante para os países com instituições medianas ou piores.

A dynamic model of price competition with switching and search costs

Em modelos de competição de preços, somente um custo de procura positivo por parte do consumidor não gera equilíbrio com dispersão de preços. Já modelos dinâmicos de switching cost consistentemente geram este fenômeno bastante documentado para preços no varejo. Embora ambas as literaturas sejam vastas, poucos modelos tentaram combinar as duas fricções em um só modelo. Este trabalho apresenta um modelo dinâmico de competição de preços em que consumidores idênticos enfrentam custos de procura e de switching. O equilíbrio gera dispersão nos preços. Ainda, como os consumidores são obrigados a se comprometer com uma amostra fixa de firmas antes dos preços serem definidos, somente dois preços serão considerados antes de cada compra. Este resultado independe do tamanho do custo de procura individual do consumidor.

A time-varying markov-switching model for economic growth

This paper investigates economic growth’s pattern of variation across and within countries using a Time-Varying Transition Matrix Markov-Switching Approach. The model developed follows the approach of Pritchett (2003) and explains the dynamics of growth based on a collection of different states, each of which has a sub-model and a growth pattern, by which countries oscillate over time. The transition matrix among the different states varies over time, depending on the conditioning variables of each country, with a linear dynamic for each state. We develop a generalization of the Diebold’s EM Algorithm and estimate an example model in a panel with a transition matrix conditioned on the quality of the institutions and the level of investment. We found three states of growth: stable growth, miraculous growth, and stagnation. The results show that the quality of the institutions is an important determinant of long-term growth, whereas the level of investment has varying roles in that it contributes positively in countries with high-quality institutions but is of little relevance in countries with medium- or poor-quality institutions.

A dynamic model of simultaneous price competition with switching and search costs

Esse artigo apresenta um modelo dinâmico de competição em precos que incorpora tanto custos de procura quanto custos de switching e onde que as decisões do consumidor e das firmas são simultâneas. Dadas as hipóteses feitas n ós veremos que este modelo possui equilí brio. As principais propriedades do equil íbrio deste modelo são: Se os custos de procura forem baixos o suficiente, em equilí brio o consumidor vai procurar todas as firmas no mercado enquanto que o aumento dos custos de procura vai reduzir a propor cão de firmas que o consumidor busca. Um resultado contraintuitivo e que os pre cos esperados pagos pelo consumidor normalmente decresce em nossas computa cões numéricas do equil íbrio quando os custos de procura aumentam. Enquanto que aumentar os custos de switching tamb ém vai produzir o resultado contraituitivo que as firmas unmatched vão diminuir suas ofertas de modo a atrair o consumidor.

Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

Mudanças de regimes na função de reação do Banco Central do Brasil : uma abordagem utilizando Markov Regime Switching

O presente trabalho busca identificar a ocorrência, duração e probabilidades de transição de diferentes regimes na condução da política monetária no Brasil a partir da implantação do sistema de metas de inflação em 1999. A estimação da função de reação do Banco Central do Brasil é realizada a partir de uma Regra de Taylor forward looking para uma economia aberta, onde utilizamos a metodologia Markov Regime Switching para caracterizar de forma endógena os diferentes regimes de política monetária. Os resultados obtidos indicam a ocorrência de três regimes distintos de política monetária a partir da implantação do sistema de metas de inflação no Brasil. O primeiro regime ocorre durante 21% do período estudado e se caracteriza pela não aderência ao princípio de Taylor e discricionariedade da autoridade monetária, que reage demonstrando maior sensibilidade ao hiato do produto. O segundo regime é o de maior duração, ocorre durante 67% do período estudado, e se caracteriza pela aderência ao princípio de Taylor e equilíbrio nos pesos atribuídos pelo Banco Central tanto ao hiato do produto como ao desvio das expectativas de inflação com relação à meta. Já o terceiro regime ocorre durante 12% do período estudado e se caracteriza não somente pela aderência ao princípio de Taylor, como também por uma maior aversão ao desvio das expectativas de inflação com relação à meta.

Novel zero-current-switching PWM converters

This paper presents a new family of pulsewidth-modulated (PWM) converters, featuring soft commutation of the semiconductors at zero current (ZC) in the transistors and zero voltage (ZV) in the rectifiers, Besides operating at constant frequency and with reduced commutation losses, these new converters have output characteristics similar to the hard-switching-PWM counterpart, which means that there is no circulating reactive energy that would cause large conduction losses, the new family of zero-current-switching (ZCS)-PWM converters is suitable for high-power applications using insulated gate bipolar transistors (IGBT's). The advantages of the new ZCS-PWM boast converter employing IGBT's, rated at 1.6 kW and operating at 20 kHz, are presented, This new ZCS operation can reduce the average total power dissipation in the semiconductors practically by half, when compared with the hard-switching method, This new ZCS-PWM boost converter is suitable for high-power applications using Ie;BT's in power-factor correction, the principle of operation, theoretical analysis, and experimental results of the new ZCS-PWM boost converter are provided in this paper to verify the performance of this new family of converters.

Power Factor Correction Boost Converter Based on the Three-State Switching Cell

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Stress Analysis in Platform-Switching Implants: A 3-Dimensional Finite Element Study

The aim of this study was to evaluate the influence of the platform-switching technique on stress distribution in implant, abutment, and pen-implant tissues, through a 3-dimensional finite element study. Three 3-dimensional mandibular models were fabricated using the Solid Works 2006 and InVesalius software. Each model was composed of a bone block with one implant 10 mm long and of different diameters (3.75 and 5.00 mm). The UCLA abutments also ranged in diameter from 5.00 mm to 4.1 mm. After obtaining the geometries, the models were transferred to the software FEMAP 10.0 for pre- and postprocessing of finite elements to generate the mesh, loading, and boundary conditions. A total load of 200 N was applied in axial (0 degrees), oblique (45 degrees), and lateral (90) directions. The models were solved by the software NeiNastran 9.0 and transferred to the software FEMAP 10.0 to obtain the results that were visualized through von Mises and maximum principal stress maps. Model A (implants with 3.75 mm/abutment with 4.1 mm) exhibited the highest area of stress concentration with all loadings (axial, oblique, and lateral) for the implant and the abutment. All models presented the stress areas at the abutment level and at the implant/abutment interface. Models B (implant with 5.0 mm/abutment with 5.0 mm) and C (implant with 5.0 mm/abutment with 4.1 mm) presented minor areas of stress concentration and similar distribution pattern. For the cortical bone, low stress concentration was observed in the pen-implant region for models B and C in comparison to model A. The trabecular bone exhibited low stress that was well distributed in models B and C. Model A presented the highest stress concentration. Model B exhibited better stress distribution. There was no significant difference between the large-diameter implants (models B and C).

Photoelastic Analysis of the Influence of Platform Switching on Stress Distribution in Implants

The aim of this study was to evaluate the stress distribution of platform switching implants using a photoelastic method. Three models were constructed of the photoelastic resin PL-2, with a single implant and a screw-retained implant-supported prosthesis. These models were Model A, platform 5.0 mm/abutment 4.1 mm; Model B, platform 4.1 mm/abutment 4.1 mm; and Model C, platform 5.00 mm/abutment 5.00 mm. Axial and oblique (45 degrees) loads of 100 N were applied using a Universal Testing Machine (EMIC DL 3000). Images were photographed with a digital camera and visualized with software (AdobePhotoshop) to facilitate the qualitative analysis. The highest stress concentrations were observed at the apical third of the 3 models. With the oblique load, the highest stress concentrations were located at the implant apex, opposite the load application. Stress concentrations decreased in the cervical region of Model A (platform switching), and Models A (platform switching) and C (conventional/wide-diameter) displayed similar stress magnitudes. Finally, Model B (conventional/regular diameter) displayed the highest stress concentrations of the models tested.

Platform Switching: Biomechanical Evaluation Using Three-Dimensional Finite Element Analysis

Purpose: The objective of this study was to evaluate, using three-dimensional finite element analysis (3D FEA), the stress distribution in peri-implant bone tissue, implants, and prosthetic components of implant-supported single crowns with the use of the platform-switching concept. Materials and Methods: Three 3D finite element models were created to replicate an external-hexagonal implant system with peri-implant bone tissue in which three different implant-abutment configurations were represented. In the regular platform (RP) group, a regular 4.1-mm-diameter abutment (UCLA) was connected to regular 4.1-mm-diameter implant. The platform-switching (PS) group was simulated by the connection of a wide implant (5.0 mm diameter) to a regular 4.1-mm-diameter UCLA abutment. In the wide-platform (WP) group, a 5.0-mm-diameter UCLA abutment was connected to a 5.0-mm-diameter implant. An occlusal load of 100 N was applied either axially or obliquely on the models using ANSYS software. Results: Both the increase in implant diameter and the use of platform switching played roles in stress reduction. The PS group presented lower stress values than the RP and WP groups for bone and implant. In the peri-implant area, cortical bone exhibited a higher stress concentration than the trabecular bone in all models and both loading situations. Under oblique loading, higher intensity and greater distribution of stress were observed than under axial loading. Platform switching reduced von Mises (17.5% and 9.3% for axial and oblique loads, respectively), minimum (compressive) (19.4% for axial load and 21.9% for oblique load), and maximum (tensile) principal stress values (46.6% for axial load and 26.7% for oblique load) in the peri-implant bone tissue. Conclusion: Platform switching led to improved biomechanical stress distribution in peri-implant bone tissue. Oblique loads resulted in higher stress concentrations than axial loads for all models. Wide-diameter implants had a large influence in reducing stress values in the implant system. INT J ORAL MAXILLOFAC IMPLANTS 2011;26:482-491