Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Análise de risco em carteiras

The work consists of analyzing the risk management of investments by applying statistical concepts, economic and mathematical models considering the assets on the market on renowned financial institution. The assessment of these risks becomes increasingly interesting in view of minimizing your losses thus maximizing your chances of gains in both markets boom as extreme uncertainty, even with the sudden changes of scenery. Introducing concepts of investment funds, as well as the classification of the types of funds as funds management and equity, its guidelines, the concept of market investment funds. The types of assets comprising the investment funds, their taxation rules beyond the incidents that market widely used by investors and skilled people, both physical and legal, who keep their resources in this modality. With the historical data collected yields of investment funds of the Bank of Brazil, is an accomplished inflation adjustment and calculated the mean and variance for the verification of the model of Markowitz efficient frontier, a method used as investment analysis. This scan is used Matlab to obtain the set (or border) efficient portfolios. Once verified such data, there will be a critique of the Markowitz model as a quadratic programming and more coherent risk measures currently studied as VaR and CVaR minimizing the expected error, approaching our studies of current research. It is found that such studies have much to be explored, since there are many discussions about how effectively measure risk investments such as its characteristic and behavior, using a time series and volatility

Using the Journalistic Metaphor to Design User Interfaces That Explain Sensor Data

Facilitating general access to data from sensor networks (including traffic, hydrology and other domains) increases their utility. In this paper we argue that the journalistic metaphor can be effectively used to automatically generate multimedia presentations that help non-expert users analyze and understand sensor data. The journalistic layout and style are familiar to most users. Furthermore, the journalistic approach of ordering information from most general to most specific helps users obtain a high-level understanding while providing them the freedom to choose the depth of analysis to which they want to go. We describe the general characteristics and architectural requirements for an interactive intelligent user interface for exploring sensor data that uses the journalistic metaphor. We also describe our experience in developing this interface in real-world domains (e.g., hydrology).

Towards speaking style transplantation in speech synthesis

One of the biggest challenges in speech synthesis is the production of naturally sounding synthetic voices. This means that the resulting voice must be not only of high enough quality but also that it must be able to capture the natural expressiveness imbued in human speech. This paper focus on solving the expressiveness problem by proposing a set of different techniques that could be used for extrapolating the expressiveness of proven high quality speaking style models into neutral speakers in HMM-based synthesis. As an additional advantage, the proposed techniques are based on adaptation approaches, which means that they can be used with little training data (around 15 minutes of training data are used in each style for this paper). For the final implementation, a set of 4 speaking styles were considered: news broadcasts, live sports commentary, interviews and parliamentary speech. Finally, the implementation of the 5 techniques were tested through a perceptual evaluation that proves that the deviations between neutral and speaking style average models can be learned and used to imbue expressiveness into target neutral speakers as intended.

The Argentine Dilemma: “Vulture Funds” and the Risks Posed to Developing Economies

Post-crisis Argentina is a case study of crisis management through debt restructuring. This article examines how Argentina negotiated the external debt in the wake of the sovereign default in December 2001 and now confronts challenges posed by holdout creditors—the so called “vulture funds”. It argues that debt restructuring has put a straitjacket on the national economy, making it virtually impossible for healthy growth short of a break with the international economic order. While Argentina has successfully restructured a $95 billion debt with an unprecedented “hair cut” (around 70% reduction in “net value of debt”), a sustainable growth appears out of reach as long as reliance on the government debt market prevails. In this cycle, the transmission belt of financial crisis to developing countries is characterized by the entry of highly speculative players such as hedge funds, conflicts of interests embedded in “sovereign debt restructuring” (SDR) and vulnerabilities associated with “emerging market debt”.

Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Recent advances in explaining hedge fund returns:implicit factors and exposures

We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Enterprise systems curricula for Asia-Pacific region : a vision for 2020

Enterprise Systems (ES) have emerged as possibly the most important and challenging development in the corporate use of information technology in the last decade. Organizations have invested heavily in these large, integrated application software suites expecting improvments in; business processes, management of expenditure, customer service, and more generally, competitiveness, improved access to better information/knowledge (i.e., business intelligence and analytics). Forrester survey data consistently shows that investment in ES and enterprise applications in general remains the top IT spending priority, with the ES market estimated at $38 billion and predicted to grow at a steady rate of 6.9%, reaching $50 billion by 2012 (Wang & Hamerman, 2008). Yet, organizations have failed to realize all the anticipated benefits. One of the key reasons is the inability of employees to properly utilize the capabilities of the enterprise systems to complete the work and extract information critical to decision making. In response, universities (tertiary institutes) have developed academic programs aimed at addressing the skill gaps. In parallel with the proliferation of ES, there has been growing recognition of the importance of Teaching Enterprise Systems at tertiary education institutes. Many academic papers have discused the important role of Enterprise System curricula at tertiary education institutes (Ask, 2008; Hawking, 2004; Stewart, 2001), where the teaching philosophises, teaching approaches and challenges in Enterprise Systems education were discussed. Following the global trends, tertiary institutes in the Pacific-Asian region commenced introducing Enterprise System curricula in late 1990s with a range of subjects (a subject represents a single unit, rather than a collection of units; which we refer to as a course) in faculties / schools / departments of Information Technology, Business and in some cases in Engineering. Many tertiary educations commenced their initial subject offers around four salient concepts of Enterprise Systems: (1) Enterprise Systems implementations, (2) Introductions to core modules of Enterprise Systems, (3) Application customization using a programming language (e.g. ABAP) and (4) Systems Administration. While universities have come a long way in developing curricula in the enterprise system area, many obstacles remain: high cost of technology, qualified faculty to teach, lack of teaching materials, etc.

Fatigue crack-growth rate in ferrite martensite dual-phase steel

style="border: 0px; font-size: 13px; margin: 0px 0px 9px; padding: 0px; vertical-align: baseline; word-spacing: -0.15ex; text-align: justify; color: #2e2e2e; font-family: 'Arial Unicode MS', 'Arial Unicode', Arial, 'URW Gothic L', Helvetica, Tahoma, sans-serif; line-height: 20px">An empirical study is made on the fatigue crack growth rate in ferrite-martensite dual-phase (FMDP) steel. Particular attention is given to the effect of ferrite content in the range of 24.2% to 41.5% where good fatigue resistance was found at 33.8%. Variations in ferrite content did not affect the crack growth rate style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si1.gif" border="0" alt="View the MathML source" title="View the MathML source" width="53" height="18" />when plotted against the effective stress intensity factor range style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si2.gif" border="0" alt="View the MathML source" title="View the MathML source" width="39" height="14" /> which was assumed to follow a linear relation with the crack tip stress intensity factor range style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">ΔK. A high style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si4.gif" border="0" alt="View the MathML source" title="View the MathML source" width="39" height="14" /> corresponds to uniformly distributed small size ferrite and martensite. No other appreciable correlation could be ralated to the microstructure morphology of the FMDP steel. The closure stress intensity factor style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si5.gif" border="0" alt="View the MathML source" title="View the MathML source" width="21" height="13" />, however, is affected by the ferrite content with style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si6.gif" border="0" alt="View the MathML source" title="View the MathML source" width="64" height="17" /> reaching a maximum value of 0.7. In general, crack growth followed the interphase between the martensite and ferrite.

style="border: 0px; font-size: 13px; margin: 0px 0px 9px; padding: 0px; vertical-align: baseline; word-spacing: -0.15ex; text-align: justify; color: #2e2e2e; font-family: 'Arial Unicode MS', 'Arial Unicode', Arial, 'URW Gothic L', Helvetica, Tahoma, sans-serif; line-height: 20px">Dividing the fatigue crack growth process into Stage I and II where the former would be highly sensitive to changes in style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">ΔK and the latter would increase with style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">ΔK depending on the style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si9.gif" border="0" alt="View the MathML source" title="View the MathML source" width="115" height="18" /> ratio. The same data when correlated with the strain energy density factor range style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">ΔS showed negligible dependence on mean stress or style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">R ratio for Stage I crack growth. A parameter α involving the ratio of ultimate stress to yield stress, percent reduction of area and style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">R is introduced for Stage II crack growth so that the style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="color: #0156aa; border: 0px; margin: 0px; padding: 0px; vertical-align: baseline" title="View the MathML source" class="mathImg">style="border: 0px; margin: 0px; padding: 0px; vertical-align: bottom; display: inline; max-width: 600px" class="imgLazyJSB" src="http://ars.els-cdn.com/content/image/1-s2.0-016784429190028I-si13.gif" border="0" alt="View the MathML source" title="View the MathML source" width="53" height="18" /> data for different style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">R would collapse onto a single curve with a narrow scatter band when plotted against style="border: 0px; margin: 0px; padding: 0px; vertical-align: baseline; position: relative" class="mathmlsrc">style="border: 0px; font-size: 14px; margin: 0px; padding: 0px; vertical-align: baseline; font-family: STIXGeneral, STIXGeneral-Bold, STIXGeneral-BoldItalic, STIXGeneral-Italic, STIXIntegralsDisplay, STIXIntegralsDisplay-Bold, STIXIntegralsSmall, STIXIntegralsSmall-Bold, STIXIntegralsUp, STIXIntegralsUp-Bold, STIXIntegralsUpDisplay, STIXIntegralsUpDisplay-Bold, STIXIntegralsUpSmall, STIXIntegralsUpSmall-Bold, STIXNonUnicode, STIXNonUnicode-Bold, STIXNonUnicode-BoldItalic, STIXNonUnicode-Italic, STIXSize1Symbols, STIXSize1Symbols-Bold, STIXSize2Symbols, STIXSize2Symbols-Bold, STIXSize3Symbols, STIXSize3Symbols-Bold, STIXSize4Symbols, STIXSize4Symbols-Bold, STIXSize5Symbols, STIXVariants, STIXVariants-Bold; cursor: pointer; letter-spacing: 0.15em" class="formulatext stixSupport mathImg">αΔS.

L'encadrement des fonds de couverture au Canada: une réflexion sur les principaux enjeux

Dans un contexte d'instabilité économique, force est de constater que les remises en question du libéralisme économique s'intensifient, mettant ainsi l'accent sur l'importance de la réglementation pour la protection des investisseurs ainsi que l'efficience des marchés financiers. Souvent associés aux conséquences d'un manque d'encadrement, les fonds de couverture représentent des cibles de choix pour ceux qui cherchent à expliquer l'effondrement majeur des marchés, tout en prônant un interventionnisme accru des autorités gouvernementales. Pour mieux comprendre les tenants et aboutissants de cette industrie, la présente étude propose une vue d'ensemble des caractéristiques fondamentales des fonds de couverture, tant sous l'angle de leur structure organisationnelle que de leur encadrement réglementaire. À cet égard, il importe de jauger les principaux enjeux découlant des règles applicables à l'administration d'un fonds, particulièrement sur le plan de la transparence informationnelle et au niveau de la gouvernance interne. Ces deux éléments constituant les pierres angulaires de la présente analyse, notre étude offrira finalement une réflexion sur l'approche réglementaire à privilégier, et ce, en tenant compte des particularités des fonds de couverture. Dans un même ordre d'idées, le rôle des divers intermédiaires professionnels sera abordé afin d'élargir notre compréhension de la question sous étude. L'objet de cette étude n'est pas d'apporter une solution complète et définitive à ces enjeux, mais bien d'offrir des pistes de réflexions pouvant servir de balises à une étude subséquente de la question, laquelle devra par ailleurs tenir compte du rôle assumé par les fonds de couverture ainsi que du statut particulier qu'ils occupent sur les marchés financiers.

Depreciation and its impact on the total return of UK commercial real estate, 1994-2003

Depreciation is a key element of understanding the returns from and price of commercial real estate. Understanding its impact is important for asset allocation models and asset management decisions. It is a key input into well-constructed pricing models and its impact on indices of commercial real estate prices needs to be recognised. There have been a number of previous studies of the impact of depreciation on real estate, particularly in the UK. Law (2004) analysed all of these studies and found that the seemingly consistent results were an illusion as they all used a variety of measurement methods and data. In addition, none of these studies examined impact on total returns; they examined either rental value depreciation alone or rental and capital value depreciation. This study seeks to rectify this omission, adopting the best practice measurement framework set out by Law (2004). Using individual property data from the UK Investment Property Databank for the 10-year period between 1994 and 2003, rental and capital depreciation, capital expenditure rates, and total return series for the data sample and for a benchmark are calculated for 10 market segments. The results are complicated by the period of analysis which started in the aftermath of the major UK real estate recession of the early 1990s, but they give important insights into the impact of depreciation in different segments of the UK real estate investment market.

Serial persistence in individual real estate returns in the UK

Persistence of property returns is a topic of perennial interest to fund managers as it suggests that choosing those properties that will perform well in the future is as simple as looking at those that performed well in the past. Consequently, much effort has been expended to determine if such a rule exists in the real estate market. This paper extends earlier studies in US, Australian, and UK markets in two ways. First, this study applies the same methodology originally used in Young and Graff (1996) making the results directly comparable with those in the US and Australian property markets. Second, this study uses a much longer and larger database covering all commercial property data available from the Investment Property Databank (IPD), for the years 1981 to 2002 for as many as 216,758 individual property returns. While the performance results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar leading to the conjecture that behaviors in the practice of commercial real estate investment management are themselves deeply rooted and persistent and perhaps influenced for good or ill by agency effects

Serial persistence in individual real estate returns in the UK

Purpose – The purpose of this paper is to examine individual level property returns to see whether there is evidence of persistence in performance, i.e. a greater than expected probability of well (badly) performing properties continuing to perform well (badly) in subsequent periods. Design/methodology/approach – The same methodology originally used in Young and Graff is applied, making the results directly comparable with those for the US and Australian markets. However, it uses a much larger database covering all UK commercial property data available in the Investment Property Databank (IPD) for the years 1981 to 2002 – as many as 216,758 individual property returns. Findings – While the results of this study mimic the US and Australian results of greater persistence in the extreme first and fourth quartiles, they also evidence persistence in the moderate second and third quartiles, a notable departure from previous studies. Likewise patterns across property type, location, time, and holding period are remarkably similar. Research limitations/implications – The findings suggest that performance persistence is not a feature unique to particular markets, but instead may characterize most advanced real estate investment markets. Originality/value – As well as extending previous research geographically, the paper explores possible reasons for such persistence, consideration of which leads to the conjecture that behaviors in the practice of institutional-grade commercial real estate investment management may themselves be deeply rooted and persistent, and perhaps influenced for good or ill by agency effects. - See more at: http://www.emeraldinsight.com/journals.htm?articleid=1602884&show=abstract#sthash.hc2pCmC6.dpuf

Outward investments and productivity: evidence from European regions

Outward investments and productivity: evidence from European regions, Regional Studies. Using a novel data set on international investment projects, this paper builds measures of outward foreign direct investments (FDIs) for 262 regions of the European Union. This allows as estimation to be made of regressions of productivity growth over the 2007–11 period as a function of the number of FDIs. The number of outward FDIs in manufacturing activities is negatively associated with productivity growth in the home region, but investments in sales, distribution and marketing are associated with a boost in local productivity. This is driven especially by investments towards non-European Union locations. This evidence qualifies the fear of hollowing-out as a consequence of outward investments

Detectando não-linearidades nos retornos dos fundos multimercados

Estudos recentes apontam que diversas estratégias implementadas em hedge funds geram retornos com características não lineares. Seguindo as sugestões encontradas no paper de Agarwal e Naik (2004), este trabalho mostra que uma série de hedge funds dentro da indústria de fundos de investimentos no Brasil apresenta retornos que se assemelham ao de uma estratégia em opções de compra e venda no índice de mercado Bovespa. Partindo de um modelo de fatores, introduzimos um índice referenciado no retorno sobre opções de modo que tal fator possa explicar melhor que os tradicionais fatores de risco a característica não linear dos retornos dos fundos de investimento.