839 resultados para Cross-sectional returns


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Cette thèse développe des méthodes bootstrap pour les modèles à facteurs qui sont couram- ment utilisés pour générer des prévisions depuis l'article pionnier de Stock et Watson (2002) sur les indices de diffusion. Ces modèles tolèrent l'inclusion d'un grand nombre de variables macroéconomiques et financières comme prédicteurs, une caractéristique utile pour inclure di- verses informations disponibles aux agents économiques. Ma thèse propose donc des outils éco- nométriques qui améliorent l'inférence dans les modèles à facteurs utilisant des facteurs latents extraits d'un large panel de prédicteurs observés. Il est subdivisé en trois chapitres complémen- taires dont les deux premiers en collaboration avec Sílvia Gonçalves et Benoit Perron. Dans le premier article, nous étudions comment les méthodes bootstrap peuvent être utilisées pour faire de l'inférence dans les modèles de prévision pour un horizon de h périodes dans le futur. Pour ce faire, il examine l'inférence bootstrap dans un contexte de régression augmentée de facteurs où les erreurs pourraient être autocorrélées. Il généralise les résultats de Gonçalves et Perron (2014) et propose puis justifie deux approches basées sur les résidus : le block wild bootstrap et le dependent wild bootstrap. Nos simulations montrent une amélioration des taux de couverture des intervalles de confiance des coefficients estimés en utilisant ces approches comparativement à la théorie asymptotique et au wild bootstrap en présence de corrélation sérielle dans les erreurs de régression. Le deuxième chapitre propose des méthodes bootstrap pour la construction des intervalles de prévision permettant de relâcher l'hypothèse de normalité des innovations. Nous y propo- sons des intervalles de prédiction bootstrap pour une observation h périodes dans le futur et sa moyenne conditionnelle. Nous supposons que ces prévisions sont faites en utilisant un ensemble de facteurs extraits d'un large panel de variables. Parce que nous traitons ces facteurs comme latents, nos prévisions dépendent à la fois des facteurs estimés et les coefficients de régres- sion estimés. Sous des conditions de régularité, Bai et Ng (2006) ont proposé la construction d'intervalles asymptotiques sous l'hypothèse de Gaussianité des innovations. Le bootstrap nous permet de relâcher cette hypothèse et de construire des intervalles de prédiction valides sous des hypothèses plus générales. En outre, même en supposant la Gaussianité, le bootstrap conduit à des intervalles plus précis dans les cas où la dimension transversale est relativement faible car il prend en considération le biais de l'estimateur des moindres carrés ordinaires comme le montre une étude récente de Gonçalves et Perron (2014). Dans le troisième chapitre, nous suggérons des procédures de sélection convergentes pour les regressions augmentées de facteurs en échantillons finis. Nous démontrons premièrement que la méthode de validation croisée usuelle est non-convergente mais que sa généralisation, la validation croisée «leave-d-out» sélectionne le plus petit ensemble de facteurs estimés pour l'espace généré par les vraies facteurs. Le deuxième critère dont nous montrons également la validité généralise l'approximation bootstrap de Shao (1996) pour les regressions augmentées de facteurs. Les simulations montrent une amélioration de la probabilité de sélectionner par- cimonieusement les facteurs estimés comparativement aux méthodes de sélection disponibles. L'application empirique revisite la relation entre les facteurs macroéconomiques et financiers, et l'excès de rendement sur le marché boursier américain. Parmi les facteurs estimés à partir d'un large panel de données macroéconomiques et financières des États Unis, les facteurs fortement correlés aux écarts de taux d'intérêt et les facteurs de Fama-French ont un bon pouvoir prédictif pour les excès de rendement.

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This thesis examines the short-term impact of credit rating announcements on daily stock returns of 41 European banks indexed in STOXX Europe 600 Banks. The time period of this study is 2002–2015 and the ratings represent long-term issuer ratings provided by S&P, Moody’s and Fitch. Bank ratings are significant for a bank’s operation costs so it is interesting to investigate how investors react to changes in creditworthiness. The study objective is achieved by conducting an event study. The event study is extended with a cross-sectional linear regression to investigate other potential determinants surrounding rating changes. The research hypotheses and the motivation for additional tests are derived from prior research. The main hypotheses are formed to explore whether rating changes have an effect on stock returns, when this possible reaction occurs and whether it is asymmetric between upgrades and downgrades. The findings provide evidence that rating announcements have an impact on stock returns in the context of European banks. The results also support the existence of an asymmetry in capital market reaction to rating upgrades and downgrades. The rating downgrades are associated with statistically significant negative abnormal returns on the event day although the reaction is rather modest. No statistically significant reaction is found associated with the rating upgrades on the event day. These results hold true with both rating changes and rating watches. No anticipation is observed in the case of rating changes but there is a statistically significant cumulative negative (positive) price reaction occurring before the event day for negative (positive) watch announcements. The regression provides evidence that the stock price reaction is stronger for rating downgrades occurring within below investment grade class compared with investment grade class. This is intuitive as investors are more concerned about their investments in lower-rated companies. Besides, the price reaction of larger banks is more mitigated compared with smaller banks in the case of rating downgrades. The reason for this may be that larger banks are usually more widely followed by the public. However, the study results may also provide evidence of the existence of the so-called “too big to fail” subsidy that dampens the negative returns of larger banks.

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Dietary fibre (DF) has been recognized as a major determinant for improvement of health. Hence the means of information through which people become aware of its benefits are crucial. This work aimed at studying the sources of information about DF, as a means to educate people about aspects related to healthy eating. Factors such as gender, level of education, living environment or country were evaluated as to their effect on the selection of sources and preferences. For this, a descriptive cross-sectional study by means of a questionnaire, applied to a non-probabilistic sample of 6010 participants from 10 countries in different continents (Europe, Africa and America), answered after informed consent by all participants. For the analysis were used several descriptive statistics tools, crosstabs and chi square test to assess the relations between some of the variables under study. The results showed that mostly the information about DF comes from the internet, but the participants recognize that television might be a most suitable way to disseminate information about DF. The results also indicated differences between genders, levels of education, living environments and countries. The internet, the preferred source of information, got highest scores for Hungary, for urban areas, for university level of education and for female gender. The radio, the least scored source of information, was preferred in Egypt, for men and with lower education (primary school). As a conclusion, people get information through the internet due to easy access. However, it is to some extent a risk given the impossibility to control de information made public on the internet. The role of health centers and hospitals as well as schools should definitely be increased, as a responsible way to ensure correct information.

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The first chapter provides evidence that aggregate Research and Development (R&D) investment drives a persistent component in productivity growth and that this embodies a risk priced in financial markets. In a semi-endogenous growth model, this component is identified by the R&D in excess of equilibrium levels and can be approximated by the Error Correction Term in the cointegration between R&D and Total Factor Productivity. Empirically, the component results being well defined and it satisfies all key theoretical predictions: it exhibits appropriate persistency, it forecasts productivity growth, and it is associated with a cross-sectional risk premium. CAPM is the most foundational model in financial economics, but is known to empirically underestimate expected returns of low-risk assets and overestimate those with high risk. The second chapter studies how risks omission and funding tightness jointly contribute to explaining this anomaly, with the former affecting the definition of assets’ riskiness and the latter affecting how risk is remunerated. Theoretically, the two effects are shown to counteract each other. Empirically, the spread related to binding leverage constraints is found to be significant at 2% yearly. Nonetheless, average returns of portfolios that exploit this anomaly are found to mostly reflect omitted risks, in contrast to their employment in previous literature. The third chapter studies how ‘sustainability’ of assets affect discount rates, which is intrinsically mediated by the risk profile of the assets themselves. This has implications for the assessment of the sustainability-related spread and for hedging changes in the sustainability concern. This mechanism is tested on the ESG-score dimension for US data, with inconclusive evidence regarding the existence of an ESG-related premium in the first place. Also, the risk profile of the long-short ESG portfolio is not likely to impact the sign of its average returns with respect to the sustainability-spread, for the time being.

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Hypertensive patients exhibit higher cardiovascular risk and reduced lung function compared with the general population. Whether this association stems from the coexistence of two highly prevalent diseases or from direct or indirect links of pathophysiological mechanisms is presently unclear. This study investigated the association between lung function and carotid features in non-smoking hypertensive subjects with supposed normal lung function. Hypertensive patients (n = 67) were cross-sectionally evaluated by clinical, hemodynamic, laboratory, and carotid ultrasound analysis. Forced vital capacity, forced expired volume in 1 second and in 6 seconds, and lung age were estimated by spirometry. Subjects with ventilatory abnormalities according to current guidelines were excluded. Regression analysis adjusted for age and prior smoking history showed that lung age and the percentage of predicted spirometric parameters associated with common carotid intima-media thickness, diameter, and stiffness. Further analyses, adjusted for additional potential confounders, revealed that lung age was the spirometric parameter exhibiting the most significant regression coefficients with carotid features. Conversely, plasma C-reactive protein and matrix-metalloproteinases-2/9 levels did not influence this relationship. The present findings point toward lung age as a potential marker of vascular remodeling and indicate that lung and vascular remodeling might share common pathophysiological mechanisms in hypertensive subjects.

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Maternal mortality (MM) is a core indicator of disparities in women's rights. The study of Near Miss cases is strategic to identifying the breakdowns in obstetrical care. In absolute numbers, both MM and occurrence of eclampsia are rare events. We aim to assess the obstetric care indicators and main predictors for severe maternal outcome from eclampsia (SMO: maternal death plus maternal near miss). Secondary analysis of a multicenter, cross-sectional study, including 27 centers from all geographic regions of Brazil, from 2009 to 2010. 426 cases of eclampsia were identified and classified according to the outcomes: SMO and non-SMO. We classified facilities as coming from low- and high-income regions and calculated the WHO's obstetric health indicators. SPSS and Stata softwares were used to calculate the prevalence ratios (PR) and respective 95% confidence interval (CI) to assess maternal characteristics, clinical and obstetrical history, and access to health services as predictors for SMO, subsequently correlating them with the corresponding perinatal outcomes, also applying multiple regression analysis (adjusted for cluster effect). Prevalence of and mortality indexes for eclampsia in higher and lower income regions were 0.2%/0.8% and 8.1%/22%, respectively. Difficulties in access to health care showed that ICU admission (adjPR 3.61; 95% CI 1.77-7.35) and inadequate monitoring (adjPR 2.31; 95% CI 1.48-3.59) were associated with SMO. Morbidity and mortality associated with eclampsia were high in Brazil, especially in lower income regions. Promoting quality maternal health care and improving the availability of obstetric emergency care are essential actions to relieve the burden of eclampsia.

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To estimate the impact of aging and diabetes on insulin sensitivity, beta-cell function, adipocytokines, and incretin production. Hyperglycemic clamps, arginine tests and meal tolerance tests were performed in 50 non-obese subjects to measure insulin sensitivity (IS) and insulin secretion as well as plasma levels of glucagon, GLP-1 and GIP. Patients with diabetes and healthy control subjects were divided into the following groups: middle-aged type 2 diabetes (MA-DM), aged Type 2 diabetes (A-DM) and middle-aged or aged subjects with normal glucose tolerance (MA-NGT or A-NGT). IS, as determined by the homeostasis model assessment, glucose infusion rate, and oral glucose insulin sensitivity, was reduced in the aged and DM groups compared with MA-NGT, but it was similar in the MA-DM and A-DM groups. Insulinogenic index, first and second phase insulin secretion and the disposition indices, but not insulin response to arginine, were reduced in the aged and DM groups. Postprandial glucagon production was higher in MA-DM compared to MA-NGT. Whereas the GLP-1 production was reduced in A-DM, no differences between groups were observed in GIP production. In non-obese subjects, diabetes and aging impair insulin sensitivity. Insulin production is reduced by aging, and diabetes exacerbates this condition. Aging associated defects superimposed diabetic physiopathology, particularly regarding GLP-1 production. On the other hand, the glucose-independent secretion of insulin was preserved. Knowledge of the complex relationship between aging and diabetes could support the development of physiopathological and pharmacological based therapies.

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To investigate the degree of T2 relaxometry changes over time in groups of patients with familial mesial temporal lobe epilepsy (FMTLE) and asymptomatic relatives. We conducted both cross-sectional and longitudinal analyses of T2 relaxometry with Aftervoxel, an in-house software for medical image visualization. The cross-sectional study included 35 subjects (26 with FMTLE and 9 asymptomatic relatives) and 40 controls; the longitudinal study was composed of 30 subjects (21 with FMTLE and 9 asymptomatic relatives; the mean time interval of MRIs was 4.4 ± 1.5 years) and 16 controls. To increase the size of our groups of patients and relatives, we combined data acquired in 2 scanners (2T and 3T) and obtained z-scores using their respective controls. General linear model on SPSS21® was used for statistical analysis. In the cross-sectional analysis, elevated T2 relaxometry was identified for subjects with seizures and intermediate values for asymptomatic relatives compared to controls. Subjects with MRI signs of hippocampal sclerosis presented elevated T2 relaxometry in the ipsilateral hippocampus, while patients and asymptomatic relatives with normal MRI presented elevated T2 values in the right hippocampus. The longitudinal analysis revealed a significant increase in T2 relaxometry for the ipsilateral hippocampus exclusively in patients with seizures. The longitudinal increase of T2 signal in patients with seizures suggests the existence of an interaction between ongoing seizures and the underlying pathology, causing progressive damage to the hippocampus. The identification of elevated T2 relaxometry in asymptomatic relatives and in patients with normal MRI suggests that genetic factors may be involved in the development of some mild hippocampal abnormalities in FMTLE.

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This article analyzes food insecurity and hunger in Brazilian families with children under five years of age. This was a nationally representative cross-sectional study using data from the National Demographic and Health Survey on Women and Children (PNDS-2006), in which the outcome variable was moderate to severe food insecurity, measured by the Brazilian Food Insecurity Scale (EBIA). Prevalence estimates and prevalence ratios were generated with 95% confidence intervals. The results showed a high prevalence of moderate to severe food insecurity, concentrated in the North and Northeast regions (30.7%), in economic classes D and E (34%), and in beneficiaries of conditional cash transfer programs (36.5%). Multivariate analysis showed that the socioeconomic relative risks (beneficiaries of conditional cash transfers), regional relative risks (North and Northeast regions), and economic relative risks (classes D and E) were 1.8, 2.0 and 2.4, respectively. Aggregation of the three risks showed 48% of families with moderate to severe food insecurity, meaning that adults and children were going hungry during the three months preceding the survey.

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The aim was to analyse the physical growth and body composition of rhythmic gymnastics athletes relative to their level of somatic maturation. This was a cross-sectional study of 136 athletes on 23 teams from Brazil. Mass, standing height and sitting height were measured. Fat-free and fat masses, body fat percentages and ages of the predicted peak height velocity (PHV) were calculated. The z scores for mass were negative during all ages according to both WHO and Brazilian references, and that for standing height were also negative for all ages according to WHO reference but only until 12 years old according to Brazilian reference. The mean age of the predicted PHV was 12.1 years. The mean mass, standing and sitting heights, body fat percentage, fat-free mass and fat mass increased significantly until 4 to 5 years after the age of the PHV. Menarche was reached in only 26% of these athletes and mean age was 13.2 years. The mass was below the national reference standards, and the standing height was below only for the international reference, but they also had late recovery of mass and standing height during puberty. In conclusion, these athletes had a potential to gain mass and standing height several years after PHV, indicating late maturation.

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to investigate the pulmonary response to exercise of non-morbidly obese adolescents, considering the gender. a prospective cross-sectional study was conducted with 92 adolescents (47 obese and 45 eutrophic), divided in four groups according to obesity and gender. Anthropometric parameters, pulmonary function (spirometry and oxygen saturation [SatO2]), heart rate (HR), blood pressure (BP), respiratory rate (RR), and respiratory muscle strength were measured. Pulmonary function parameters were measured before, during, and after the exercise test. BP and HR were higher in obese individuals during the exercise test (p = 0.0001). SatO2 values decreased during exercise in obese adolescents (p = 0.0001). Obese males had higher levels of maximum inspiratory and expiratory pressures (p = 0.0002) when compared to obese and eutrophic females. Obese males showed lower values of maximum voluntary ventilation, forced vital capacity, and forced expiratory volume in the first second when compared to eutrophic males, before and after exercise (p = 0.0005). Obese females had greater inspiratory capacity compared to eutrophic females (p = 0.0001). Expiratory reserve volume was lower in obese subjects when compared to controls (p ≤ 0,05). obese adolescents presented changes in pulmonary function at rest and these changes remained present during exercise. The spirometric and cardiorespiratory values were different in the four study groups. The present data demonstrated that, in spite of differences in lung growth, the model of fat distribution alters pulmonary function differently in obese female and male adolescents.

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this study aimed to investigate the cognitive and behavioral profiles, as well as the psychiatric symptoms and disorders in children with three different genetic syndromes with similar sociocultural and socioeconomic backgrounds. thirty-four children aged 6 to 16 years, with Williams-Beuren syndrome (n=10), Prader-Willi syndrome (n=11), and Fragile X syndrome (n=13) from the outpatient clinics of Child Psychiatry and Medical Genetics Department were cognitively assessed through the Wechsler Intelligence Scale for Children (WISC-III). Afterwards, a full-scale intelligence quotient (IQ), verbal IQ, performance IQ, standard subtest scores, as well as frequency of psychiatric symptoms and disorders were compared among the three syndromes. significant differences were found among the syndromes concerning verbal IQ and verbal and performance subtests. Post-hoc analysis demonstrated that vocabulary and comprehension subtest scores were significantly higher in Williams-Beuren syndrome in comparison with Prader-Willi and Fragile X syndromes, and block design and object assembly scores were significantly higher in Prader-Willi syndrome compared with Williams-Beuren and Fragile X syndromes. Additionally, there were significant differences between the syndromes concerning behavioral features and psychiatric symptoms. The Prader-Willi syndrome group presented a higher frequency of hyperphagia and self-injurious behaviors. The Fragile X syndrome group showed a higher frequency of social interaction deficits; such difference nearly reached statistical significance. the three genetic syndromes exhibited distinctive cognitive, behavioral, and psychiatric patterns.

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The new social panorama resulting from aging of the Brazilian population is leading to significant transformations within healthcare. Through the cluster analysis strategy, it was sought to describe the specific care demands of the elderly population, using frailty components. Cross-sectional study based on reviewing medical records, conducted in the geriatric outpatient clinic, Hospital de Clínicas, Universidade Estadual de Campinas (Unicamp). Ninety-eight elderly users of this clinic were evaluated using cluster analysis and instruments for assessing their overall geriatric status and frailty characteristics. The variables that most strongly influenced the formation of clusters were age, functional capacities, cognitive capacity, presence of comorbidities and number of medications used. Three main groups of elderly people could be identified: one with good cognitive and functional performance but with high prevalence of comorbidities (mean age 77.9 years, cognitive impairment in 28.6% and mean of 7.4 comorbidities); a second with more advanced age, greater cognitive impairment and greater dependence (mean age 88.5 years old, cognitive impairment in 84.6% and mean of 7.1 comorbidities); and a third younger group with poor cognitive performance and greater number of comorbidities but functionally independent (mean age 78.5 years old, cognitive impairment in 89.6% and mean of 7.4 comorbidities). These data characterize the profile of this population and can be used as the basis for developing efficient strategies aimed at diminishing functional dependence, poor self-rated health and impaired quality of life.

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To evaluate vaginal microbiological and functional aspects in women with and without premature ovarian failure (POF) and the relationship with sexual function. A cross-sectional study of 36 women with POF under hormonal therapy who were age-matched with 36 women with normal gonadal function. The vaginal tropism was assessed through hormonal vaginal cytology, vaginal pH and vaginal health index (VHI). Vaginal flora were assessed by the amine test, bacterioscopy and culture for fungi. Sexual function was evaluated through the questionnaire Female Sexual Function Index (FSFI). Women in both groups were of similar age and showed similar marital status. The two groups presented vaginal tropic scores according to the VHI but the tropism was worse among women in the POF group. No difference was observed with respect to hormonal cytology and pH. Vaginal flora was similar in both groups. Women with POF showed worse sexual performance with more pain and poorer lubrication than women in the control group. The VHI, the only parameter evaluated showing statistical difference between the groups, did not correlate with the domains of pain and lubrication in the FSFI questionnaire. These findings suggest that the use of systemic estrogen among women with POF is not enough to improve complaints of lubrication and pain despite conferring similar tropism and vaginal flora. Other therapeutic options need to be evaluated.

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To analyze associations between mammographic arterial mammary calcifications in menopausal women and risk factors for cardiovascular disease. This was a cross-sectional retrospective study, in which we analyzed the mammograms and medical records of 197 patients treated between 2004 and 2005. Study variables were: breast arterial calcifications, stroke, acute coronary syndrome, age, obesity, diabetes mellitus, smoking, and hypertension. For statistical analysis, we used the Mann-Whitney, χ2 and Cochran-Armitage tests, and also evaluated the prevalence ratios between these variables and mammary artery calcifications. Data were analyzed with the SAS version 9.1 software. In the group of 197 women, there was a prevalence of 36.6% of arterial calcifications on mammograms. Among the risk factors analyzed, the most frequent were hypertension (56.4%), obesity (31.9%), smoking (15.2%), and diabetes (14.7%). Acute coronary syndrome and stroke presented 5.6 and 2.0% of prevalence, respectively. Among the mammograms of women with diabetes, the odds ratio of mammary artery calcifications was 2.1 (95%CI 1.0-4.1), with p-value of 0.02. On the other hand, the mammograms of smokers showed the low occurrence of breast arterial calcification, with an odds ratio of 0.3 (95%CI 0.1-0.8). Hypertension, obesity, diabetes mellitus, stroke and acute coronary syndrome were not significantly associated with breast arterial calcification. The occurrence of breast arterial calcification was associated with diabetes mellitus and was negatively associated with smoking. The presence of calcification was independent of the other risk factors for cardiovascular disease analyzed.