The Capm and Fama-French models in Brazil: a comparative study

This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

Betting on winner: the effect of local elections on corporate political activity outcomes

How can managers successfully access political rents by way of corporate political strategies (CPA)? Existing research has suggested several endogenous factors that correlate with CPA outcomes. I offer a more robust solution to this problem. Drawing on insights from the perspective of CPA as exchanges between firms and political decision-makers, and from the special interest politics of political economy, I develop and test a causal mechanism that links local elections, legislative bargaining and access to political rents at the national level. I conducted a natural experiment using regression discontinuity design and propensity score matching in municipal elections in Brazil to show that firms enjoy superior access to subsidized financing from the state-owned national development bank (BNDES) when they decide to invest in municipalities whose winning mayoral candidate is coalition-aligned with the national ruler. This effect fades away fades away as the level of competition in the local election decreases. The evidence implies that when managers bet on national coalition-aligned winners in close local elections, they positively affect CPA outcomes. I extend the exchange-based typology of corporate political strategies by offering a novel possibility of targeting voters with financial inducements, which I call a private local development strategy. Finally, these results show that firms exchange their project-execution capabilities for superior access to subsidized financing.

The economics of wage-led recovery: analysis and policy recommendations

The financial crisis and Great Recession have been followed by a jobs shortage crisis that most forecasts predict will persist for years given current policies. This paper argues for a wage-led recovery and growth program which is the only way to remedy the deep causes of the crisis and escape the jobs crisis. Such a program is the polar opposite of the current policy orthodoxy, showing how much is at stake. Winning the argument for wage-led recovery will require winning the war of ideas about economics that has its roots going back to Keynes’ challenge of classical macroeconomics in the 1920s and 1930s. That will involve showing how the financial crisis and Great Recession were the ultimate result of three decades of neoliberal policy, which produced wage stagnation by severing the wage productivity growth link and made asset price inflation and debt the engine of demand growth in place of wages; showing how wage-led policy resolves the current problem of global demand shortage without pricing out labor; and developing a detailed set of policy proposals that flow from these understandings. The essence of a wage-led policy approach is to rebuild the link between wages and productivity growth, combined with expansionary macroeconomic policy that fills the current demand shortfall so as to push the economy on to a recovery path. Both sets of measures are necessary. Expansionary macro policy (i.e. fiscal stimulus and easy monetary policy) without rebuilding the wage mechanism will not produce sustainable recovery and may end in fiscal crisis. Rebuilding the wage mechanism without expansionary macro policy is likely to leave the economy stuck in the orbit of stagnation.

Global gene expression of the inner cell mass and trophectoderm of the bovine blastocyst

Background: The first distinct differentiation event in mammals occurs at the blastocyst stage when totipotent blastomeres differentiate into either pluripotent inner cell mass (ICM) or multipotent trophectoderm (TE). Here we determined, for the first time, global gene expression patterns in the ICM and TE isolated from bovine blastocysts. The ICM and TE were isolated from blastocysts harvested at day 8 after insemination by magnetic activated cell sorting, and cDNA sequenced using the SOLiD 4.0 system.Results: A total of 870 genes were differentially expressed between ICM and TE. Several genes characteristic of ICM (for example, NANOG, SOX2, and STAT3) and TE (ELF5, GATA3, and KRT18) in mouse and human showed similar patterns in bovine. Other genes, however, showed differences in expression between ICM and TE that deviates from the expected based on mouse and human.Conclusion: Analysis of gene expression indicated that differentiation of blastomeres of the morula-stage embryo into the ICM and TE of the blastocyst is accompanied by differences between the two cell lineages in expression of genes controlling metabolic processes, endocytosis, hatching from the zona pellucida, paracrine and endocrine signaling with the mother, and genes supporting the changes in cellular architecture, stemness, and hematopoiesis necessary for development of the trophoblast.

Investigating the effect of different positioning of lysine residues along the peptide chain of mastoparans for their secondary structures and biological activities

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

How C-terminal carboxyamidation alters the biological activity of peptides from the venom of the eumenine solitary wasp

Inflammatory peptides display different types of post-transcriptional modifications, such as C-terminal amidation, that alter their biological activity. Here we describe the structural and molecular dynamics features of the mast cell degranulating peptide, eumenine mastoparan-AF (EMP-AF-NH2), found in the venom of the solitary wasp, and of its carboxyl-free C-terminal form (EMP-AF-COO-) characterized by a reduced activity. Circular dichroism indicates that both peptides switch from a random coil conformation in water to a helical structure in TFE and SDS micelles. NMR data, in 30% TFE, reveal that the two peptides fold into an alpha-helix spanning most of their length, while they differ in terms of molecular rigidity. To understand the origins of the conformational flexibility observed in the case of EMP-AF-COO-, a 5 ns MD simulation was carried out for each peptide, in an explicit water/TFE environment. The results show that the two peptides differ in an H-bond between Leu14 NH2 and the backbone carbonyl of Ile11. The loss of that H-bond in EMP-AF-COO- leads to a significant modification of its structural dynamics. In fact, as evidenced by essential dynamics analysis, while EMP-AF-NH2 exists mainly as a rigid structure, EMP-AF-COO- presents two helical stretches that fluctuate in some sort of independent fashion. We conclude that the diverse biological activity of the two peptides is not simply due to the reduction of the net positive charge, as generally suggested, but also to a structural perturbation of the amphipathic alpha-helix that affects their ability to perturb the cell membrane.

Intermolecular interactions and characterization of the novel factor Xa exosite involved in macromolecular recognition and inhibition: Crystal structure of human Gla-domainless factor Xa complexed with the anticoagulant protein NAPc2 from the hematophagous nematode Ancylostoma caninum

NAPc2, an anticoagulant protein from the hematophagous nematode Ancylostoma caninum evaluated in phase-II/IIa clinical trials, inhibits the extrinsic blood coagulation pathway by a two step mechanism, initially interacting with the hitherto uncharacterized factor Xa exosite involved in macromolecular recognition and subsequently inhibiting factor VIIa (K-i = 8.4 pM) of the factor VIIa/tissue factor complex. NAPc2 is highly flexible, becoming partially ordered and undergoing significant structural changes in the C terminus upon binding to the factor Xa exosite. In the crystal structure of the ternary factor Xa/NAPc2/selectide complex, the binding interface consists of an intermolecular antiparallel beta-sheet formed by the segment of the polypeptide chain consisting of residues 74-80 of NAPc2 with the residues 86-93 of factor Xa that is additional maintained by contacts between the short helical segment (residues 67-73) and a turn (residues 26-29) of NAPc2 with the short C-terminal helix of factor Xa (residues 233-243). This exosite is physiologically highly relevant for the recognition and inhibition of factor X/Xa by macromolecular substrates and provides a structural motif for the development of a new class of inhibitors for the treatment of deep vein thrombosis and angioplasty. (c) 2006 Elsevier Ltd. All rights reserved.

Three exopolysaccharides of the beta-(1 -> 6)-D-glucan type and a beta-(1 -> 3;1 -> 6)-D-glucan produced by strains of Botryosphaeria rhodina isolated from rotting tropical fruit

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

The upgraded DO detector

The DO experiment enjoyed a very successful data-collection run at the Fermilab Tevatron collider between 1992 and 1996. Since then, the detector has been upgraded to take advantage of improvements to the Tevatron and to enhance its physics capabilities. We describe the new elements of the detector, including the silicon microstrip tracker, central fiber tracker, solenoidal magnet, preshower detectors, forward muon detector, and forward proton detector. The uranium/liquid -argon calorimeters and central muon detector, remaining from Run 1, are discussed briefly. We also present the associated electronics, triggering, and data acquisition systems, along with the design and implementation of software specific to DO. (c) 2006 Elsevier B.V. All rights reserved.

Search for the standard model Higgs boson decaying to bottom quarks in pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Search for physics beyond the standard model using multilepton signatures in pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Search for resonances in the dijet mass spectrum from 7 TeV pp collisions at CMS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Measurement of the charge asymmetry in top-quark pair production in proton-proton collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Search for heavy lepton partners of neutrinos in proton-proton collisions in the context of the type III seesaw mechanism

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)