Three Essays on Asset Pricing

In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results, supporting the simpler-is-better contention. However, the Whaley model does under/overprice out-of-the-money call/put VIX options, which is contrary to the behavior of stock index option pricing models. In Chapter IV, I explore risk pricing through a model of time-changed Lévy processes based on the joint evidence from individual stock options and underlying stocks. I specify a pricing kernel that prices idiosyncratic and systematic risks. This approach to examining risk premia on stocks deviates from existing studies. The empirical results show that the market pays positive premia for idiosyncratic and market jump-diffusion risk, and idiosyncratic volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The positive premium on idiosyncratic risk runs contrary to the implications of traditional capital asset pricing theory.

Aprendizagem significativa: uma proposta de ensino e aprendizagem da geometria euclidiana espacial no ensino médio

This dissertation is a research based on the Meaningful Learning Theory, with students from the second year of High School, in the city named Capinzal do Norte, state of Maranhão. The pedagogic approach of this research focuses on what to do and how to do so students can better grasp knowledge inherent to the Euclidean Special Geometry in a more meaningful and changing way, also that information may be kept longer in their brain, so it can last longer in the present and future. The methodological strategy adopted was the research-action, followed by the constant observance of a researcher on the matter with the purpose to ensure consistent results, which come from the use of a variety of data collector instruments, such as: Concept Maps, manipulatives, educational softwares and application of evaluative tests, besides the observations made throughout the process of investigation and the diagnosis itself. It is all due to the fact that we rely on the premise that knowledge is assimilated in particular and idiosyncratic ways, which means each and every student learns in different ways and in different periods of time. That is why it is so important to develop diversified methodologies to the same subject. This research adds to the other ones related to the theoretical frameworks of the Meaningful Learning Theory, of Concept Maps, of the use of technology on the educational process and of manipulatives, which purpose is to connect their common dots. This pedagogical intervention also focuses on the construction of the educational orientations with applicability directly on class, directed specially by the Mathematics teacher of the basic education, who might use them during your teaching practice. Such guidelines established here as an educational product aim to follow the Theory's assumptions that serves as basis to this research, thus becoming an educational element with a relevant significance. The results, with which we are faced, proved overwhelming to the proposed objectives in terms of learning, which were evident in the construction of Conceptual Maps, as well as in the use of Concrete Materials, in addition to serving as a motivational element to participating students of research. The results obtained are indeed reliable in terms of learning, considered the expected goals, and made us certain that the way we have approached the subject is consistent with a holistic education and that at the same time values the tiniest details, which are fundamental to all the learning-teaching process.

Documentation and sedimentology of core PS1021-1 from the Antarctic continental margin off Kap Norvegia

Sedimentological analyses concerning ice rafted debris, grain size distribution, biogenous components, and clay mineral composition of four sediment cores from the Antarctic continental margin off Kapp Norvegia reveal a cyclical pattern of three different sediment facies. These are classified into warm and cold types representing warm and cold climatic periods and a short transition period from cold to warm events. The sedimentological parameters reflect the variations within the cryosphere and the hydrosphere, which are directly influenced by the climatic fluctuations. The unusually high content of carbonaceous planktonic and benthonic foraminifera in these polar sediments, as well as the interfingering of terrigeneous and biogeneous-rich sediments with increasing distance from the continent, might reflect the influence of the Weddell Sea Polynya and the oscillations of polynya, pack-ice and ice shelf extent during the late Pleistocene.

Sedimentology of the northwestern Weddel Sea continental shelf and slope

Geologie cores on two profiles oriented normaly to the continental shelf and slope, have been investigated to reconstruct the Quaternary sedimentary history of the southeast continental border of South Orkney (NW Weddell Sea). The sediments were described macroscopically and their fabric investigated by use of X-radiographs. Laboratory work comprised detailed grain-size analysis, determination of the watercontent, carbonate, organic carbon and sand fraction.composition. Stable oxygen and carbon isotopes have been measured On planktonic foraminifera. Palaeomagnetism, analysis of 230Th-content and detailed comparison of the lithlogic Parameters with the oxygen isotope stages (Martinson curve) were used for stratigraphic classification of the sediments. The sediment cores from the continental slope comprise a maximum age of 300,000 years B. P.. Bottom currents, ice rafting and biogenic input are the main sources of sediment. Based on lithologic parameters a distinction between glacial and interglacial facies is possible. Silty clays without microfossils and few bioturbation characterise the sediments of the glacial facies. Only small amounts of icerafted debris can be recognized. This type of sediment was accumulated during times of lower sea-level and drastically reduced rate of bottom water production. Based on grain-size distribution, bottom current velocities of 0.01 cmls were calculated. Thick sea-ice coverage reduced biogenic production in the surface water, and as consequence benthic communities were depleted. Because of the reduced benthic life, sediments are only slithly bioturbated. At the beginning of the interglacial Stage, the sea-level rised rapidly, and calving rate of icebergs, combined with input of ice-rafted material, increased considerably. Sediments of this transition facies are silty cliiys with a high proportion of coarse ice-rafted debris, but without microfossils. With the onset of bottom water production in connection with shelf ice water, sediments of interglacial facies were formed. They consist of silty clays to clayey silts with considerable content of sand and gravel. Sediments are strongly bioturbated. Based On the sediment caracteristics, current velocities of the bottom water were calculated to be of 0.96 cmls for interglacials. At the southern slope of a NW/SE-striking ridge, bottom water current is channelized, resulting in a drastic increase of current velocities. Current velocities up to 7.5 cm/s lead to formation of residual sediments. While the continental slope has predominantly fine sediments, the South Orkney shelf are mainly sandy silts and silty sands with a high proportion of gravel. These sediments were formed dominantly by ice-rafting during Brunhes- and Matuyama-Epoch. Currents removed the fine fraction of the sediments. Based on microfossil contents it was not possible to differentiate sediments from glacial to interglacial. In the upper Parts of the cores graded sequences truncated by erosion were observed. These sequences were formed during Brunhes-Epoch by strong currents with velocities decreasing periodically from about 7.5 cm/s to about 1 cm/s. Sediments with a high proportion of siliceous microfossils but barren of foraminifera compose the lower part of the shelf cores. These sediments have formed during the warmer Matuyama-Epoch.

Sedimentology on two cores from Scoresby Sund, Greenland

Reconstruction of the postglacial palaeoenvironmental evolution was the main objective of marine geological investigations in the Scorcsby Sund fjord system. For this purpose, samples of marine sediments, taken on RV Polarstern cruises ARK-V/3b and ARK-VII/3b in 1988 and 1990, have been analysed. All investigated fjord sediments are paratills. However, remarkable changes in sediment fabric and composition occur with depth in cores. They are attributable to different modes of sediment deposition. Therefore, a subdivision of the postglacial palaeoenvironmental history into periods of considerably different sedimentary conditions is feasible. The change of sedimentary fades with time is interpreted by deposition under changing climatic conditions during the postglacial. Displacements of cyclonic and anticyclonic centers in the atmosphere change amount of precipitation at the east coast of Greenland. Precipitation strongly influences extension of local ice caps of coastal areas and duration of coverage of the fjords by sea ice. These factors again control the sedimentary regime in the fjord system.

Sedimentology on cores off Filchner Shelf Ice, Weddell Sea, Antarctica

The sediments of 14 box cores and 7 gravity cores, mainly taken directly in front of the Filchner(-Ronne) ice shelf northwest of Berkner Island (Weddell Sea), allowed to distinguish six sediment types. On the one hand,the retreat of the at first grounded and then floated ice from the last glacial maximum is documented. On the other hand,the sediments give an insight into extensive Holocene sediment deposition and remobilization northwest of Berkner Island. The ortho till was deposited directly by the grounded ice sheet and is lacking any marine influence. After floating of the ice shelf, partly very weIl stratified, partly unstratified, non-bioturbated paratill is deposited beneath the ice shelf. Lack of IRD-content in the paratill immediately above the orthotill indicates freezing at the bottom of the ice, at least for a short period after the ice became afloat. The orthotill and paratill contain small amounts of fragmented Tertiary diatoms, which allow the conclusion, that glacial-marine sediments in the accumulation area of the Ronne ice shelf will be eroded and later deposited by ice in the investigation area. Starting of bioturbation and therefore change in sedimentation from paratill to bioturbated paratill,is caused by the retreat of the ice shelf to its actual position. Isostatic uplift of the sea-bed after the Ice Age causes minor water depths with higher current velocities. The fine-fraction is eroding and mean particle-size will increase. Maybe, also isostatic uplift is responsible for repeated great advances of the floated ice shelf as shown in an erosional horizon in some cores containing bioturbated paratill. Postglacial sediment-thicknesses exceed 3 m. Assuming floating of the ice 15.000 YBP, accumulation rates reach nearly 20cm/lOOO years. Following the theories about sediment input in front of wide ice shelves, this was not expected. In the shallower water depths of Berkner Bank, the oscillations of the ice shelf are recorded in the sediments. Sorting and redistribution by high current velocities from beneath the ice up to the calving line, lead to the deposition of the weIl to very weIl sorted sandy till. In front of the calving line the finer fraction will settle down. Remobilization is possible by bioturbation and increasing current-velocity. According to the intensity of mixing of the sandy till with the fine fraction, modified till or muddy till results.

Physical properties and sedimentology of 4 profiles fom the South Atlantic

Ultrasonic P wavc transmission seismograms recorded on sediment cores have been analyzed to study the acoustic and estimate the clastic properties of marine sediments from different provinces dominated by terrigenous, calcareous, amI diatomaceous sedimentation. Instantaneous frequencies computed from the transmission seismograms are displayed as gray-shaded images to give an acoustic overview of the lithology of each core. Ccntirneter-scale variations in the ultrasonic waveforms associated with lithological changes are illustrated by wiggle traces in detail. Cross-correlation, multiple-filter, and spectral ratio techniques are applied to derive P wave velocities and attenuation coefficients. S wave velocities and attenuation coefficients, elastic moduli, and permeabilities are calculated by an inversion scheme based on the Biot-Stoll viscoelastic model. Together wilh porosity measurements, P and S wave scatter diagrams are constructed to characterize different sediment types by their velocity- and attenuation-porosity relationships. They demonstrate that terrigenous, calcareous, and diatomaceous sediments cover different velocity- and attenuation-porosity ranges. In terrigcnous sediments, P wave vclocities and attenuation coefficients decrease rapidly with increasing porosity, whereas S wave velocities and shear moduli are very low. Calcareous sediments behave similarly at relatively higher porosities. Foraminifera skeletons in compositions of terrigenous mud and calcareous ooze cause a stiffening of the frame accompanied by higher shear moduli, P wave velocities, and attenuation coefficients. In diatomaceous ooze the contribution of the shear modulus becomes increasingly important and is controlled by the opal content, whereas attenuation is very low. This leads to the opportunity to predict the opal content from nondestructive P wave velocity measurements at centimeter-scale resolution.

An analysis of authorship attribution: Identifying linguistic variables in oral and written discourse

This dissertation goes into the new field from applied linguistics called forensic linguistics, which studies the language as an evidence for criminal cases. There are many subfields within forensic linguistics, however, this study belongs to authorship attribution analysis, where the authorship of a text is attributed to an author through an exhaustive linguistic analysis. Within this field, this study analyzes the morphosyntactic and discursive-pragmatic variables that remain constant in the intra-variation or personal style of a speaker in the oral and written discourse, and at the same time have a high difference rate in the interspeaker variation, or from one speaker to another. The theoretical base of this study is the term used by professor Maria Teresa Turell called “idiolectal style”. This term establishes that the idiosyncratic choices that the speaker makes from the language build a style for each speaker that is constant in the intravariation of the speaker’s discourse. This study comes as a consequence of the problem appeared in authorship attribution analysis, where the absence of some known texts impedes the analysis for the attribution of the authorship of an uknown text. Thus, through a methodology based on qualitative analysis, where the variables are studied exhaustively, and on quantitative analysis, where the findings from qualitative analysis are statistically studied, some conclusions on the evidence of such variables in both oral and written discourses will be drawn. The results of this analysis will lead to further implications on deeper analyses where larger amount of data can be used.

Essays on Job Search and Labor Market Dynamics

This dissertation consists of three separate essays on job search and labor market dynamics. In the first essay, “The Impact of Labor Market Conditions on Job Creation: Evidence from Firm Level Data”, I study how much changes in labor market conditions reduce employment fluctuations over the business cycle. Changes in labor market conditions make hiring more expensive during expansions and cheaper during recessions, creating counter-cyclical incentives for job creation. I estimate firm level elasticities of labor demand with respect to changes in labor market conditions, considering two margins: changes in labor market tightness and changes in wages. Using employer-employee matched data from Brazil, I find that all firms are more sensitive to changes in wages rather than labor market tightness, and there is substantial heterogeneity in labor demand elasticity across regions. Based on these results, I demonstrate that changes in labor market conditions reduce the variance of employment growth over the business cycle by 20% in a median region, and this effect is equally driven by changes along each margin. Moreover, I show that the magnitude of the effect of labor market conditions on employment growth can be significantly affected by economic policy. In particular, I document that the rapid growth of the national minimum wages in Brazil in 1997-2010 amplified the impact of the change in labor market conditions during local expansions and diminished this impact during local recessions.

In the second essay, “A Framework for Estimating Persistence of Local Labor

Demand Shocks”, I propose a decomposition which allows me to study the persistence of local labor demand shocks. Persistence of labor demand shocks varies across industries, and the incidence of shocks in a region depends on the regional industrial composition. As a result, less diverse regions are more likely to experience deeper shocks, but not necessarily more long lasting shocks. Building on this idea, I propose a decomposition of local labor demand shocks into idiosyncratic location shocks and nationwide industry shocks and estimate the variance and the persistence of these shocks using the Quarterly Census of Employment and Wages (QCEW) in 1990-2013.

In the third essay, “Conditional Choice Probability Estimation of Continuous- Time Job Search Models”, co-authored with Peter Arcidiacono and Arnaud Maurel, we propose a novel, computationally feasible method of estimating non-stationary job search models. Non-stationary job search models arise in many applications, where policy change can be anticipated by the workers. The most prominent example of such policy is the expiration of unemployment benefits. However, estimating these models still poses a considerable computational challenge, because of the need to solve a differential equation numerically at each step of the optimization routine. We overcome this challenge by adopting conditional choice probability methods, widely used in dynamic discrete choice literature, to job search models and show how the hazard rate out of unemployment and the distribution of the accepted wages, which can be estimated in many datasets, can be used to infer the value of unemployment. We demonstrate how to apply our method by analyzing the effect of the unemployment benefit expiration on duration of unemployment using the data from the Survey of Income and Program Participation (SIPP) in 1996-2007.

Finance past, finance future: a brief exploration of the evolution of financial practices

As we work our way through the latest financial crisis, politicians seem both powerless to act convincingly and unable to craft from the welter of diverse and antagonistic narratives a coherent and convincing vision of the future. In this article, we argue that a temporal lens brings clarity to such confusion, and that thinking in terms of time and reflecting on privileged temporal structures helps to highlight underlying assumptions and distinguish different narratives from one another. We begin by articulating our understanding of temporality, and we proceed to apply this to the evolution of financial practice during different historical epochs as recently delineated by Gordon (2012). We argue that the principles of finance were effectively in place by the eighteenth century and that consequent developments are best conceptualized as phases in which one particular aspect is intensified. We find that in different historical periods, the temporal intensification associated with specific models of finance shifts, over history, from the past to the present to the future. We argue that a quite idiosyncratic understanding of the future has been intensified in the present phase, what we refer to as proximal future, and we explain how this has come to be. We then consider the ethical consequences of privileging an intensification of proximal future before mapping an alternative model centred on intensifying distal future, highlighting early signs of its potential emergence in the shadows of our present.

Work and play in management studies: a Kleinian analysis

This paper takes some of Melanie Klein’s ideas, which Bion (1961/1998) previously used to understand group dynamics, to analyse the discipline of management studies since its ‘birth’ in the United States in the late 19th century. Specifically, it focuses on the idealisation of work and play, and argues that at its inception, for idiosyncratic historical reasons, the discipline was rooted in a ‘paranoid-schizoid’ position in which work was idealised as good and play as bad. The paper maps out the peculiar set of factors and influences that brought this about. It then examines how and if, again following Klein, the discipline has evolved to the ‘depressive’ position, where the idealisations are replaced by a more ambiguous, holistic semantic frame. Seven different relationships between work and play are then described. The paper contends that the originary splitting and idealisation is foundational to the discipline, and provides an enduring basis for analysing management theory and practice. It concludes by using this splitting to map out five potential future trajectories for the discipline.

Essays in Firm Responses to Demand and Competition Shocks

The aim of this dissertation is to examine, model and estimate firm responses to

demand shocks by focusing on specific industries where demand shocks are well

identified. Combining reduced-form evidence and structural analysis, this dissertation

extends the economic literature by focusing on within-firm responses of firms

to two important demand shocks that are identifiable in empirical settings. First,

I focus on how firms respond to a decrease in effective demand due to competition

shocks coming from globalization. By considering China's accession to the World

Trade Organization in 2001 and its impact on the apparel industry, the aim of these

chapters is to answer how firms react to the increase in Chinese import competition,

what is the mechanism behind these responses, and how important they are in explaining

the survival of the Peruvian apparel industry. Second, I study how suppliers'

survival probability relates to the sudden disruption of their main customer-supplier

relationships with downstream manufacturers, conditional on suppliers' own idiosyncratic

characteristics such as physical productivity.

GeoGebraTUTOR : développement d’un système tutoriel autonome pour l’accompagnement d’élèves en situation de résolution de problèmes de démonstration en géométrie plane et genèse d’un espace de travail géométrique idoine

Travaux d'études doctorales réalisées conjointement avec les travaux de recherches doctorales de Nicolas Leduc, étudiant au doctorat en génie informatique à l'École Polytechnique de Montréal.

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).