Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

SORMA - business cases for an open grid market: concept and implementation

Economic mechanisms enhance technological solutions by setting the right incentives to reveal information about demand and supply accurately. Market or pricing mechanisms are ones that foster information exchange and can therefore attain efficient allocation. By assigning a value (also called utility) to their service requests, users can reveal their relative urgency or costs to the service. The implementation of theoretical sound models induce further complex challenges. The EU-funded project SORMA analyzes these challenges and provides a prototype as a proof-of-concept. In this paper the approach within the SORMA-project is described on both conceptual and technical level.

Integrating Individuals with Developmental Disabilities into the Open Labor Market

This qualitative study addresses attitudes concerning employing individuals with developmental disabilities (DD) and identifies factors limiting their integration into the workplace. Four themes emerged: lack of infrastructure, awareness, family support, and the need for ongoing training and development. A proposed model of integrating individuals with DD in the workplace is discussed.

Roadmapping for technology push and partnership: A contribution for open innovation environments

There are several tools in the literature that support innovation in organizations. Some of the most cited are the so-called technology roadmapping methods, also known as TRM. However, these methods are designed primarily for organizations that adopt the market pull strategy of technology-product integration. Organizations that adopt the technology push integration strategy are neglected in the literature. Furthermore, with the advent of open innovation, it is possible to note the need to consider the adoption of partnerships in the innovation process. Thus, this study proposes a method of technology roadmapping, identified as method for technology push (MTP), applicable to organizations that adopt the technology push integration strategy, such as SMEs and independent research centers in an open-innovation environment. The method was developed through action-research and was assessed from two analytical standpoints: externally, via a specific literature review on its theoretical contributions, and internally, through the analysis of potential users` perceptions on the feasibility of applying MTP. The results indicate both the unique character of the method and its perceived implementation feasibility. Future research is suggested in order to validate the method in different types of organizations (C) 2011 Elsevier Ltd. All rights reserved.

Relative Bioavailability of Two Oral Formulations of Risperidone 2 mg: A Single-Dose, Randomized-Sequence, Open-Label, Two-Period Crossover Comparison in Healthy Brazilian Volunteers

Background: Risperidone (RSP) is a benzisoxazole antipsychotic agent used to treat schizophrenia and other psychiatric illnesses in adults and children (including those with autism). After oral administration, RSP is completely absorbed from the gastrointestinal tract and undergoes hydroxylation to yield 9-hydroxyrisperidone (9-OH-RSP), an active metabolite that has a pharmacologic profile and potency similar to RSP. Objectives: The aims of this study were to compare the relative bioavailability of a pharmaceutical-equivalent (test) formulation with a reference formulation of oral RSP 2 mg, both available commercially on the Brazilian pharmaceutical market, and to generate data regarding the oral bioavailability of the tested drug in healthy Brazilian volunteers. Methods: This single-dose, randomized-sequence, open-label, 2-period crossover study was conducted in healthy Brazilian volunteers from August to December 2008. Subjects were randomly assigned to receive the test formulation followed by the reference formulation or vice versa, with a 30-day washout period between doses. Study drugs were administered after a 12-hour overnight fast. For pharmacokinetic analysis, blood samples were drawn at 0 (baseline), 0.25, 0.5, 1, 1.5, 3, 5, 8, 12, 24, 48, 72, 96, and 120 hours after administration. Plasma concentrations of RSP and 9-OH-RSP were determined using LC-MS/MS. The test and reference formulations were to be considered bioequivalent if the 90% CIs for the geometric mean test/reference ratios were within a predetermined range of 80% to 125%, in accordance with the policies of the Brazilian Sanitary Surveillance Agency and the US Food and Drug Administration. Tolerability was determined using clinical assessments, monitoring of vital signs, analysis of laboratory test results, and subject interviews regarding adverse events. Results: A total of 22 subjects were enrolled (11 men, 11 women; mean [SD] age, 32 [12] years [range, 18-58 years]; weight, 70.4 [11.9] kg [range, 50-103 kg]; height, 1.67 [0.08] m [range, 1.56-1.80 m]; and body mass index, 25 [4] kg/m(2) [range, 18-29 kg/m(2)]). For RSP, mean (SD) C(max) values were 12.6 (2.7) and 16.0 (2.3) ng/mL for the test and reference formulations, respectively. For 9-OH-RSP, mean C(max) values were 17.8 (1.3) and 21.0 (1.7) ng/mL for the test and reference formulations. The 90% CIs for the mean test/reference ratios for RSP C(max), AUC(0-120), and AUC(0-infinity) were 74% to 82%, 75% to 85%, and 76% to 85%, respectively, and 83% to 87%, 75% to 79%, and 75% to 78% for 9-OH-RSP. The related adverse events (headache, low back pain, drowsiness, standing hypotension, local postvenipuncture ecchymoses, insomnia, nausea, and vomiting) were transient and mild. Conclusions: This single-dose study found that the test and reference formulations of oral RSP 2 mg did not meet the Brazilian and US regulatory criteria for bioequivalence in these fasting, healthy volunteers. The study formulations appeared to be well tolerated. (Clin Ther 2010;32:2106-2115) (C) 2010 Elsevier HS Journals, Inc.

An optimal level of technology reliance on foreign partners in a global sourcing partnership: components procurement, technology management and market performance

Existing studies on global sourcing strategy have implicitly adopted a cJosed-systems perspective in which sourcing activities are managed within a multinational company across national boundaries. Produd and process innovations and components procurement that are jointly managed by a consortium of cooperating firms have not been examined. In this paper, we empiricallyexamine the issues concerning sourcing partnerships in an open-systems perspective. Findings suggest that even in a sourcing partnership arrangement with a foreign supplier, the principal firm's ability to procure and control the supply of major components has a positive bearing on its market performance.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

Avaliação estratégica de relações públicas em tecnologias de consumo: a Sony Ericsson e o Estoril Open

O relatório que se segue desenvolveu-se em torno das conclusões retiradas relativamente à eficácia da estratégia de comunicação da Sony Ericsson que terminou com uma acção específica no Estoril Open. Para a realização deste estudo definiram-se os objectivos que guiaram o Estágio, assentes no desenho e descrição da estratégia desenvolvida para o evento, de forma a avaliar os resultados que essa estratégia obteve. O Estágio foi realizado na Tinkle, a consultora de comunicação que trabalha com a Sony Ericsson. Para a realização da estratégia foi tido em conta o Ciclo de Vida da Adopção de Tecnologias de Moore (2002), assumindo que a Sony Ericsson opera principalmente num Mercado Maioritário, onde está presente a Maioria Inicial. A estratégia teve assim como principal objectivo o reconhecimento, a associação da marca ao ténis feminino, a aproximação a um público específico e a apresentação dos equipamentos recentes. A avaliação estratégica desenvolveu-se com as ferramentas de Output, Outtake e Outcome. Aqui destaca-se a dificuldade em medir o Outcome, assim como a medição do Outtake que também fora limitada devido aos critérios escolhidos. As dificuldades na avaliação da estratégia estiveram assim intimamente relacionadas com a falta de uma definição de objectivos claros em termos de Outcome e Outtake, mas também com a falta de critérios de medição de Output. Por fim, resta salientar a importância da continuidade deste estudo em futuras investigações para se concluir objectivamente sobre a activação da Sony Ericsson em Portugal, relativamente ao ténis feminino.

Buying behavior and competition in the software market

In the actual world, the impact of the software buying decisions has a rising relevance in social and economic terms. This research tries to explain it focusing on the organizations buying decisions of Operating Systems and Office Suites for personal computers and the impact on the competition between incumbent and alternative players in the market in these software categories, although the research hypotheses and conclusions may extend to other software categories and platforms. We concluded that in this market beside brand image, product features or price, other factors could have influence in the buying choices. Network effect, switching costs, local network effect, lock-in or consumer heterogeneity all have influence in the buying decision, protecting the incumbent and making it difficult for the competitive alternatives, based mainly on product features and price, to gain market share to the incumbent. This happens in a stronger way in the Operating Systems category.

Influencing factors on the buying behavior in the software market

The case of desktop Operating System and Office Suite choices considering Proprietary and Open Source Software alternatives.