Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs

We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the recourse functions. This formula can be used to obtain an efficient implementation of Stochastic Dual Dynamic Programming applied to convex nonlinear problems. We prove the almost sure convergence of these decomposition methods when the relatively complete recourse assumption holds. We also prove the almost sure convergence of these algorithms when applied to risk-averse multistage stochastic linear programs that do not satisfy the relatively complete recourse assumption. The analysis is first done assuming the underlying stochastic process is interstage independent and discrete, with a finite set of possible realizations at each stage. We then indicate two ways of extending the methods and convergence analysis to the case when the process is interstage dependent.

Thermal Decomposition Kinetics of Humic Substances Extracted from Mid-Rio Negro (Amazon Basin) Soil Samples

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Produção, acúmulo e decomposição da serapilheira em uma restinga da Ilha do Mel, Paranaguá, PR, Brasil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Produção, acúmulo e decomposição da serrapilhadeira e repartição da precipitação pluviométrica por espécies da caatinga

This study aimed to establish patterns of dynamics of litter and redistribution of rainfall of Caatinga vegetation. Sampling was done monthly for twenty three months in four areas: degraded, successional primary stage, secondary stage and late stage. We installed 72 collectors of 1.0 mx 1.0 m, with nylon fabric background in three areas. Litter deposited was fractionated into leaves, twigs, reproductive structures and miscellaneous, dried and weighed. To assess the stock of accumulated litter we used metal frame with dimensions of 0.5 mx 0.5 m, thrown randomly and collected monthly, taken to the laboratory for oven drying and weighed. To evaluate the decomposition, 40g of litter were placed in nylon bags (litterbags) mesh 1 mm ², dimensions 20.0 x 20.0 cm, being distributed on the soil surface and removed monthly, cleaned, dried and weighed. To evaluate the contribution of rainfall we used interceptometers installed 1.0 m above the ground surface, distributed under the canopy of six species of the caatinga, which evaluated the stemflow through collecting system installed around the stems of these species. The deposition of litter in the primary stage was 2.631,26 kg ha-1; 3.144,89 kg ha-1 in the secondary stage; 3.144,89 kg ha-1 in the late stage. The fraction of leaves was the largest contributor to the formation of litter in three stages. The degraded area showed greater accumulation of litter and decomposition has been sluggish during the dry period. We conclude that occurred greater litterfall in later stages. The late successional stage showed faster decomposition of litter, the evidence that is a better use of litter in nutrient cycling processes and incorporation of organic matter to the soil. The time required to decompose 50 % of the litter in the later stages of succession was lower indicating greater speed of release and reuse of nutrients by the vegetation. The specie jurema preta with less leaf area and consists of leaflets, showed greater internal precipitation in rain events of greater magnitude. The stemflow was not influenced by DAP and basal area. The water lost by trapping represented the largest proportion of total rainfall in all species studied

Determinantes locais da decomposição foliar e de raízes finais em um ecossistema semiárido do nordeste brasileiro

The decomposition process exercises an extensive control over the carbon cycle, affecting its availability and nutrient cycling in terrestrial ecosystems. The understanding of leaf decomposition patterns above the soil and fine roots decomposition below the soil is necessary and essential to identify and quantify more accurately the flow of energy and matter in forest systems. There is still a lack of studies and a large gap in the knowledge about what environmental variables act as local determinants over decomposition drivers. The knowledge about the decomposition process is still immature for Brazilian semiarid region. The aim of this study was to analyze the decomposition process (on leaves and fine roots) of a mixture of three native species for 12 months in a semiarid ecosystem in Northeast Brazil. We also examined whether the rate of decomposition can be explained by local environmental factors, specifically plant species richness, plant density and biomass, soil macro-arthropods species richness and abundance, amount of litterfall and fine root stock. Thirty sampling points were randomly distributed within an area of 2000 m x 500 m. To determine the decomposition rate, the litterbag technique was used and the data analysis were made with multiple regressions. There was a high degradation of dead organic matter along the experiment. Above ground plant biomass was the only environmental local factor significantly related to leaf decomposition. The density of vegetation and litter production were positively and negatively related to decay rates of fine roots, respectively. The results suggest that Caatinga spatial heterogeneity may exert strong influences over the decomposition process, taking into account the action of environmental factors related to organic matter exposure of and the consequent action of solar radiation as the decomposition process main controller in this region

Efeitos individuais e interativos da diversidade de detritos, contexto e variabilidade ambiental sobre a magnitude e estabilidade do processo de decomposição

Studies on the effects of changes in biodiversity and ecosystem functioning have been a central theme in ecology over the past two decades. Several studies have showed that the diversity of plant debris differently affects the decomposition process in aquatic and terrestrial environments, but we know very about the effects of detritus diversity on decomposition under fluctuating environmental conditions. We tested whether and how the environmental contexts, as well as the dynamic of their alternation, influence the effects of detritus diversity on the decomposition process. We performed a field experiment where we manipulate the litter diversity of 8 species of terrestrial plants decomposing (litterbags) in single and in mixture containing the eight species together in three different environmental contexts: the terrestrial environment (T), aquatic (A) and interface (I) - experimental treatment that simulates variation in flooding regime. We measured the rate of decomposition through the loss of mass of the community and each individual detritus in monocultures and mixtures. Species richness and environmental variability had no effects on the magnitude and stability of the decomposition process. However, there were significant diversity effects on the decomposition of an individual alien species, F. benjamina. Environmental context had significant effects on the magnitude and variability of decomposition. Detritus decomposition was faster and more variable on aquatic, interface and terrestrial conditions, respectively. Our results demonstrate that the diversity of plant detritus has minor effects to the decomposition across disparate environmental conditions and suggest that it is necessary to consider the potential of other abiotic factors in affect the magnitude and variability of the decomposition processes

Acceleration of the decomposition of Sicilian lemon leaves as an auxiliary measure in the control of citrus black spot

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

Sequências de culturas em sistema de semeadura direta: II - decomposição e liberação de nutrientes na entressafra

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

Produção de serapilheira e ciclagem de nutrientes de uma floresta estacional semidecidual em zona ripária

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

Ephemeroptera, Plecoptera and Trichoptera assemblages in litter in a mountain stream of the Atlantic Rainforest from Southeastern Brazil

A fauna de Ephemeroptera, Plecoptera e Trichoptera associadas ao folhiço em um riacho do sudeste do Brasil foi estudada com o objetivo de responder às seguintes questões: 1) A riqueza e a composição faunística de EPT difere entre os dois mesohabitats (corredeira-remanso) mesmo quando associadas ao mesmo substrato, folhiço? 2) A similaridade da fauna de EPT entre os dois mesohabitas muda temporalmente? 3) A estrutura funcional de EPT difere entre os dois mesohabitats (corredeira-remanso)? Para responder essas questões, coletas mensais, de novembro de 1999 a junho de 2000, foram feitas no Ribeirão Bocaina com rede D (10 acúmulos de folhas em remanso e 10 em corredeira). A fauna de EPT do Ribeirão Bocaina foi mais diversificada e mais abundante no folhiço em corredeira do que no folhiço em remanso, no entanto, quando a riqueza foi padronizada para o mesmo número de indivíduos essa se tornou similar para as duas condições. A fauna de EPT foi bastante diferente entre os dois mesohabitats, tanto em termos da composição faunística quanto em termos funcionais. Isso provavelmente ocorreu devido às diferenças de velocidade da água, no tempo de residência do folhiço e na taxa de oxigênio da água entre os dois mesohabitats.

Thermogravimetric studies of decomposition kinetics of six different IAC Hevea rubber clones using Flynn-Wall-Ozawa approach

The thermal degradation behaviour of rubber from six new Hevea brasiliensis clones (IAC 40, 56, 300, 301, 302 and 303) from São Paulo State, Brazil was studied by thermogravimetry using the Flynn-Wall-Ozawa approach to assess the kinetic parameters ( reaction order, activation energy and pre-exponential factor) of the decomposition process. This study indicated that the thermal behaviour is a complex multiple step process, which depends on the type of rubber Hevea clones studied. The rubber from these clones can be classified, following the order of decreasing thermal stability, as IAC 303 > 302 > 56 > 40 > 300 > 301.

Effect of cationic micelles on the decomposition of alpha-aminophenyl cephalosporins

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

Thermal stability and thermal decomposition of sucralose

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

Time-domain analysis of piezoelectric impedance-based structural health monitoring using multilevel wavelet decomposition

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)