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.

Cognitive abilities, sociocultural background and academic achievement

The infl uence of students’ sociocultural background on academic achievement is a well established fact. Research also points out that sociocultural background is related to students’ cognitive abilities and these have an effect on their academic achievement. However, the mediator role of cognitive abilities on the relationship between sociocultural background and academic achievement is less well known. A structural equation model that represents these relationships was tested in a sample (N= 728) of Portuguese junior high school students. Multigroup analysis of the model showed the importance of the cognitive ability mediation effect between sociocultural background and academic achievement in the 7th and 9th grades, but not in the 8th grade. This difference may be the result of the academic transition experienced in the 7th and 9th grades in the Portuguese educational system, which requires parents’ higher involvement in school.

Comparison of logistic and neural network models to fit to the egg production curve of White Leghorn hens

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Trajetória do hospital dia Dr. Elger nunes: um recorte histórico da psiquiatria e saúde mental no Rio Grande do Norte

In Brazil, the mental health network proposed by the Psychiatric Reform inserts the intermediate and replacement services in the pursuit of alignment or resocialization of patients with mental and behavioral disorder in the community. Was adopted, among other services, the Center for Psychosocial Care, Home Therapy, Sheltered Home, Day Hospital and psychiatric beds in general hospital. In this context, the State of Rio Grande do Norte implanted the Day Hospital Dr. Elger Nunes (HDEN) in Natal / RN in 1996, linked to State Department of Public Health. At HDEN happened a multi and interdisciplinary therapeutic work, besides being the scene of disciplinary practices, and extension projects for graduate courses in Higher Education Institutions in the city. However, with the process of decentralization of local services, the hospital was terminated by an administrative state act in 2006, leaving damage to the activities provided to users, disciplinary practices and extension activities. From this breakdown, the objective was to narrate the trajectory of HDEN through a multidisciplinary team of professionals and teachers who used it as a field of disciplinary practices. It is characterized as a documental and qualitative, backed in the technique of thematic oral history, following the phases: authorization of the interviewee, interview recording, transcription, textualization and transcreation of the material obtained. We used documents, ordinances, general reports of activities, among others, plus interviews to fifteen employees who used this service, being thirteen part of the multidisciplinary team of professionals and two graduation professors of health care area, nursing and medicine. The stories collected were organized according to the technique chosen, respecting its steps. In preparing the body subjected to ALCESTE computer program, priority was given to the vital tone for the formation of categories and classes elected by the program, structured in three thematic areas. In the first axis, called Trajectory of HDEN, were recalled the beginning of its activities, the steps of that time, their activities, and its actors - users, families, professionals, and teaching practices. The second axis has dealt with the process of extinction of HDEN, rescuing the feelings of employees, the main reasons given at the time and immediate postextinction scenario. And the third axis revealed in an articulated form the situation of mental health in Natal / RN, listing to the challenges and prospects for the psychosocial care, starting from the trajectory of HDEN with emphasis on activities. Moreover, the trajectory of HDEN provides recognition of the historical basis outlined in the constitution of the network of substitute services present in the current scenario of psychosocial care in the city of Natal and in RN.

Breeding value accuracy estimates for growth traits using random regression and multi-trait models in Nelore cattle

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

Modelos organizadores do pensamento: uma perspectiva de pesquisa sobre o raciocínio moral com adolescentes autores de infração

Este artigo tem como propósito ampliar as perspectivas de investigação no campo da moralidade. Mais especificamente, apresentamos uma proposta para o estudo da moralidade de adolescentes autores de infração, utilizando o referencial teórico=metodológico da Teoria dos Modelos Organizadores do Pensamento. Buscamos, através da idéia de complexidade, compreender o funcionamento cognitivo na elaboração de raciocínios morais diante de situações de conflito. Com essa perspectiva, fizemos uma investigação que teve por objetivo identificar os modelos organizadores aplicados na resolução de conflitos morais hipotéticos por 20 adolescentes masculinos autores de infração que cumprem medida socioeducativa. Através de entrevistas, narramos uma situação de conflito moral envolvendo uma relação de amizade, agressão física e roubo. Foram identificados 10 modelos organizadores, os quais foram agrupados em 3 categorias. Tais modelos refletiram a diversidade e as regularidades presentes nos raciocínios elaborados para resolver os conflitos apresentados. Concluiu-se que a variedade dos modelos organizadores identificados evidencia a importância dos conteúdos na construção dos raciocínios morais.

Linguagem, cognição e mundo: o livro do desassossego e a construção discursiva da realidade

This study analyzes the processes of meaning construction in the Livro do Desassossego, by semi-heteronym Bernardo Soares - Fernando Pessoa. We use theoretical grounds from an interface between Cognitive Linguistics and Textual Linguistics to observe how certain linguistic mechanisms build a reality that tells us of a time, a being and his conceptions of language and writing. We focus on description and explanation of procedures of categorization and referentiation accomplished, for example, through metaphor and metonymy. For the construction of the intended theoretical interface, we use analytical categories proposed and developed by the Socio-cognitive Approach of Language, Conceptual Metaphor Theory and Mental Space Theory. Armed with this theoretical background, we observed the dynamics of language in relation to its social, cultural and historical features, as well as the cognitive aspects that underlie it. We seek, therefore, encourage discussions about the functioning of language considering primarily the creative processes that allow us to organize and shape our experiences. We also try to provide an approximation of Linguistics, Literature and Philosophy, with a view to relations between language structure, cognitive activity and socio-cultural organization. From the results obtained, we found that a literary text attests, with a particular property, the mutual relations between language, cognition and culture, as indicates cognitive approach to language studies

Narrativas humorísticas: esquemas e frames na compreensão do risível

A Linguística Cognitiva tem como um de seus principais objetivos descrever e analisar os processos de construção de sentido. Para isso, suas pesquisas pressupõem a existência de estruturas cognitivas oriundas das experiências sensório-motoras e socioculturais dos usuários da língua, as quais são acessadas pelo sujeito durante a compreensão textual. Fundamentada teoricamente nesta abordagem cognitiva da linguagem, esta dissertação tem como objetivo nuclear descrever e analisar como os domínios cognitivos - representados pelos esquemas e frames - permitem ao leitor depreender o risível em textos humorísticos. Entende-se por esquemas os domínios das informações construídas e armazenadas na mente do sujeito, oriundas de sua experiência corporal, como ao movimentar-se ou manipular objetos. Os frames, por sua vez, são os constructos que emergem a partir da interação, estabelecida de forma dinâmica e consensual, entre os sujeitos em contextos socioculturais específicos. Percorremos este caminho não somente por acreditarmos que o efeito de humor decorrente de um texto está subordinado à ativação e ao acionamento dos esquemas e frames armazenados na mente no leitor, como ainda por crermos na existência de vários níveis de compreensão, o que explica a recuperação de trechos humorísticos em um texto. Para confirmar a nossa hipótese, utilizamo-nos da aplicação de um experimento (uma atividade, com textos humorísticos, para alunos dos ensinos Fundamental e Médio registrarem sua compreensão). Para a análise dos resultados dessa atividade, apropriamo-nos, metodologicamente, do processo da introspecção (entendida como a intuição do pesquisador e a responsável pela produção de ideias e raciocínios ao manipular os dados). Durante a observação minuciosa do nosso experimento, chegamos à conclusão de que o humor é apreendido intelectualmente quando os esquemas e frames são confrontados

On developing efficient applications using conservative distributed simulation paradigm

This paper aims to present, using a set of guidelines, how to apply the conservative distributed simulation paradigm (CMB protocol) to develop efficient applications. Using these guidelines, even a user with little experience on distributed simulation and computer architecture can have good performance on distributed simulations using conservative synchronization protocols for parallel processes.The set of guidelines is focus on a specific application domain, the performance evaluation of computer systems, considering models with coarse granularity and few logical processes and running over two platforms: parallel (high performance communication environment) and distributed (low performance communication environment).

Depressive symptoms among elderly inpatients of a Brazilian university hospital: prevalence and associated factors

Background: This study aims to evaluate the prevalence of depressive symptoms and associated factors among elderly hospital inpatients.Methods: A cross-sectional study evaluated 189 participants using the Geriatric Depression Scale, the Mini-mental State Examination and the Katz and Lawton Index, to assess dependence regarding activities of daily living (ADL).Results: Most of the participants were women, aged between 60 and 92 years, with low levels of educational attainment and personal income, and non-qualified occupations. The prevalence of depressive symptoms was 56%, but only 3% had a psychiatric diagnosis registered in their medical records. Univariate analysis showed significant associations between depressive symptoms and low educational level and income, marital status, number of hospitalizations in the previous year, cognitive decline, dependence regarding basic and instrumental ADL, and death. After logistic regression, the only variables that remained significantly associated with depression were low educational level, dependence regarding basic ADL, and death.Conclusions: Depressive symptoms were independently associated with low educational level and dependence regarding basic ADL. Hospitalized elderly people with depressive symptoms were more likely to die. It is essential to diagnose and treat depression properly in this population to minimize its negative impacts.

A controlled clinical trial on the effects of motor intervention on balance and cognition in institutionalized elderly patients with dementia

Purpose: To analyse the effects of two interventions on the cognition and balance of institutionalized elderly people with mixed dementia.Methods: Fifty-four participants were allocated into three groups. Group 1 was assisted by an interdisciplinary programme comprising physiotherapy, occupational therapy and physical education. A physiotherapist alone carried out the intervention in group 2. Group 3 was considered as control. Assessors were blinded to guarantee the absence of bias. Cognitive functions were analysed with the Mini-Mental State Examination and the Brief Cognitive Screening Battery. Balance was assessed with the Berg Balance Scale and the Timed Get-Up-and-Go Test. Multiple analysis of variance (MANOVA) was used to test possible main effects of the interventions.Results: The results showed benefits on the balance of subjects in both groups 1 (F=3.9, P < 0.05) and 2 (F= 3.1, P < 0.05), compared with group 3. MANOVA did not indicate benefits on the cognitive functions between groups 1 and 3 (F= 1.1, P > 0.05) and groups 2 and 3 (F= 1.6, P > 0.05). However, univariate analysis indicated some benefits of the interdisciplinary intervention on two specific domains measured by the Brief Cognitive Screening Battery (F=26.5, P < 0.05; F= 4.4, P < 0.05).Conclusion: Six months of multidisciplinary or physiotherapeutic intervention were able to improve a person's balance. Although global cognition did not improve through treatment, when the intervention was carried out on a multidisciplinary basis we observed an attenuation in the decline of global cognition on two specific cognitive domains. Exercises applied in different contexts may have positive outcomes for people with dementia.

Gait and risk of falls associated with frontal cognitive functions at different stages of Alzheimer's disease

The decline in frontal cognitive functions contributes to alterations of gait and increases the risk of falls in patients with dementia, a category which included Alzheimer's disease (AD). The objective of the present study was to compare the gait parameters and the risk of falls among patients at different stages of AD, and to relate these variables with cognitive functions. This is a cross-sectional study with 23 patients with mild and moderate AD. The Clinical Dementia Rating was used to classify the dementia severity. The kinematic parameters of gait (cadence, stride length, and stride speed) were analyzed under two conditions: (a) single task (free gait) and (b) dual task (walking and counting down). The risk of falls was evaluated using the Timed Up-and-Go test. The frontal cognitive functions were evaluated using the Frontal Assessment Battery (FAB), the Clock Drawing Test (CDT) and the Symbol Search Subtest. The patients who were at the moderate stage suffered reduced performance in their stride length and stride speed in the single task and had made more counting errors in the dual task and still had a higher fall risk. Both the mild and the moderate patients exhibited significant decreases in stride length, stride speed and cadence in the dual task. Was detected a significant correlation between CDT, FAB, and stride speed in the dual task condition. We also found a significant correlation between subtest Similarities, FAB and cadence in the dual task condition. The dual task produced changes in the kinematic parameters of gait for the mild and moderate AD patients and the gait alterations are related to frontal cognitive functions, particularly executive functions.

Fish assemblage structure and aquatic pollution in a Brazilian stream: some limitations of diversity indices and models for environmental impact studies

The aim of this study was to describe and quantify the effect of aquatic pollution on the fish assemblage structure of the Corumbatai River (Brazil), by comparing two sites with different water quality characteristics. The results revealed that abundance of individuals was low at the polluted site (B). However, the two sites did not differ significantly in species richness (total and average). This fact contradicts theories stating that portions where the transverse area of the channel is larger should present a higher biological richness. It was also observed that the ichthyofauna of site B had higher evenness, and, consequently, a tendency to a higher diversity than that at site A. This demonstrates that diversity estimates should be used cautiously in environmental impact studies, as they do not necessarily indicate better conditions of communities living in more preserved environments.

Numerical simulation of a radial diffuser turbulent airflow

In the present work are presented results from numerical simulations performed with the ANSYS-CFX (R) code. We have studied a radial diffuser flow case, which is the main academic problem used to study the flow behavior on flat plate valves. The radial flow inside the diffuser has important behavior such as the turbulence decay downstream and recirculation regions inside the valve flow channel due to boundary layer detachment. These flow structures are present in compressor reed valve configurations, influencing to a greater extent the compressor efficiency. The main target of the present paper was finding the simulation set-up (computational domain, boundary conditions and turbulence model) that better fits with experimental data published by Tabatabai and Pollard. The local flow turbulence and velocity profiles were investigated using four different turbulence models, two different boundary conditions set-up, two different computational domains and three different flow conditions (Re-in - Reynolds number at the diffuser inlet). We used the Reynolds stress (BSL); the k-epsilon; the RNG k-epsilon; and the shear stress transport (SST) k-omega turbulence models. The performed analysis and comparison of the computational results with experimental data show that the choice of the turbulence model, as well as the choice of the other computational conditions, plays an important role in the results physical quality and accuracy. (c) 2007 Elsevier B.V. All rights reserved.