Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Can business & monetary conditions predict variations in expected stock returns?

Rapport de recherche

The Impact of Recycling on the Long-Run Stock of Trees

Interest in recycling of forest products has grown in recent years, one of the goals being to conserve the stock of trees or possibly increase it to compensate for positive externalities generated by the forest and neglected by the market. This paper explores the issue as to whether recycling is an appropriate measure to attain such a goal. We do this by considering the problem of the private owner of an area of land, who, acting as a price taker, decides how to allocate his land over time between forestry and some other use, and at what age to harvest the forest area chosen. Once the forest is cut, he makes a new land allocation decision and replants. He does so indefinitely, in a Faustmann-like framework. The wood from the harvest is transformed into a final product which is partly recycled into a substitute for the virgin wood, so that past output affects the current price. We show that in such a context, increasing the rate of recycling will result in less area being devoted to forestry. It will also have the effect of increasing the harvest age of the forest, as long as the planting cost is positive. The net effect on the flow of virgin wood being harvested to supply the market will as a result be ambiguous. The main point however is that recycling will result in a smaller, not a larger, stock of trees in the long run. It would therefore be best to resort to other means if the goal is to increase the stock of trees.

"Préservation du stock osseux acétabulaire lors de l'arthroplastie de la hanche : étude clinique randomisée et étude de modélisation par ordinateur "

Mémoire numérisé par la Division de la gestion de documents et des archives de l'Université de Montréal.

Fundamental Approach to Valuation of Securities -A Study with reference to Information Technology(IT) Sector Shares in Indian Stock Market

Department of Applied Economics,Cochin University of Science and Technology

Arbitrage Pricing Theory and Return Generating Process: A Macroeconomic Approach to Indian Stock Market

A study focusing on the identification of return generating factors and to the extent of their influence on share prices the outcome will be a tool for investment analysis in the hands of investors portfolio managers and mutual funds who are mostly concerned with changing share prices. Since the study takes into account the influence of macroeconomic variables on variations in share returns by using the outcome the government can frame out suitable policies on long term basis and that will help in nurturing a healthy economy and resultant stock market. As every company management tries to maximize the wealth of the share holders a clear idea about the return generating variables and their influence will help the management to frame various policies to maximize the wealth of the shareholders.

Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

The Complexity of Safety Stock Placement in General-Network Supply Chains

We consider the optimization problem of safety stock placement in a supply chain, as formulated in [1]. We prove that this problem is NP-Hard for supply chains modeled as general acyclic networks. Thus, we do not expect to find a polynomial-time algorithm for safety stock placement for a general-network supply chain.

A compositional statistical analysis of capital stock

Most of economic literature has presented its analysis under the assumption of homogeneous capital stock. However, capital composition differs across countries. What has been the pattern of capital composition associated with World economies? We make an exploratory statistical analysis based on compositional data transformed by Aitchinson logratio transformations and we use tools for visualizing and measuring statistical estimators of association among the components. The goal is to detect distinctive patterns in the composition. As initial findings could be cited that: 1. Sectorial components behaved in a correlated way, building industries on one side and , in a less clear view, equipment industries on the other. 2. Full sample estimation shows a negative correlation between durable goods component and other buildings component and between transportation and building industries components. 3. Countries with zeros in some components are mainly low income countries at the bottom of the income category and behaved in a extreme way distorting main results observed in the full sample. 4. After removing these extreme cases, conclusions seem not very sensitive to the presence of another isolated cases

Testing for Stock Market Integration in a Developing Economy: Colombia

This paper examines the linkage between two parallel stock exchanges trading the same shares in Colombia, namely the Bogotá Stock Exchange and the Medellín Stock Exchange. We provide empirical evidence to support the hypothesis that these two markets can be best described as fully integrated over a period of almost four decades, which is consistent with the view that arbitrage opportunities are only possible in the short but not in the long run. In addition, we find evide

Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

Nuevos desafíos para los profesores y para la formación del profesorado : informe presentado a la Conferencia Permanente de Ministros Europeos de Educación del Consejo de Europa (15ª Sesión, Helsinki, 5-7 de mayo de 1987).

Existen numerosos problemas en la educación que son permanentes como la selección de los contenidos de la enseñanza y la relación de estos con el mundo exterior que han sido afrontados de diferentes formas en distintos momentos de la historia. La lista de los desafíos planteados a los profesores y a la formación del profesorado no es infinita, pero si larga. La cuestión no es identificar fenómenos aislados que sean un desafío sino determinar los problemas que afronta la educación derivados de los cambios a los que esta puede responder. Uno de los más influyentes es el de los profesores y su formación: en este sentido la profesión docente no se ha desarrollado hacia una mayor profesionalización sino hacia la desprofesionalización. Parte importante de este proceso es el hecho de que las decisiones acerca de los objetivos, métodos y contenidos de enseñanza han dejado de ser , al menos en parte, competencia de los profesores. Así, la administración de la educación y la capacidad política para gestionar la actividad educativa tiene una importancia decisiva para que los docentes puedan desempeñar su trabajo. Esta desprofesionalización ha supuesto una pérdida de status y prestigio reflejada tanto en el reclutamiento de los nuevos docentes como en la situación de la formación del profesorado no avalada por la universidad y por las múltiples reformas educativas. Por lo que se plantea una educación para todos y una nueva pedagogía que incida en la formación profesional del profesor en el sentido de darle un bagaje completo que le permita ocupar un papel adecuado en la enseñanza al tener claro que es lo que debe enseñar y para que sirve.; Otro gran problema a resolver es la sobrecarga curricular. Lo que implica que los profesores encuentran dificultades para poner en práctica un programa y seleccionar lo que es esencial. El resultado es que los contenidos de aprendizaje se presentan de forma superficial. Una posible solución a este problema es dar más competencia a los profesores; Uno de los desafíos más difíciles que tiene planteada la educación es la aplicación de las nuevas tecnologías no sólo el ordenador, sino todos los medios existentes en la sociedad actual. Las nuevas tecnologías repercuten en la forma en que aprenden los alumnos e incluso en sus expectativas de aprendizaje. Además, no son sólo un medio de enseñanza, sino también una materia que enseñar. El uso de ellas, no puede ser un fin, sólo un medio. Su aplicación no tendrá ningún futuro a menos que se lleve a cabo con el respeto debido a los objetivos de enseñanza establecidos por la escuela y con una finalidad exclusivamente educativa, y a menos que los profesores que deban utilizarlas gocen de unas condiciones de formación, óptimas así como de las mejores condiciones materiales posibles para dicha aplicación; Otro tema es el libro de texto que con las utilización de ordenadores para su confección por parte del profesor mejoraría la calidad de la enseñanza; Y como último tema el contexto moral: la profesión docente tiene que relacionarse con los fines más complejos y sutiles de la educación contemporánea, a saber, formar la personalidad y educar a ciudadanos responsables. Tarea que ofrece especiales dificultades en una sociedad pluricultural. Estas dificultades aumentan todavía más en una situación en la que muchos jóvenes que salen de las escuelas no encuentran un empleo estable, cuando pensaban que la educación sería un medio de acceder al mercado de trabajo. Este problema moral en la educación no puede considerarse algo que puede enseñarse como cualquier asignatura, Es algo que hay que abordar en los procesos educativos diarios , a través del modo en que los profesores trabajan y tratan a sus alumnos.