Evidence that risk adjustment is unnecessary in estimates of the User cost of money

Investors value the special attributes of monetary assets (e.g., exchangeability, liquidity, and safety) and pay a premium for holding them in the form of a lower return rate -- The user cost of holding monetary assets can be measured approximately by the difference between the returns on illiquid risky assets and those of safer liquid assets -- A more appropriate measure should adjust this difference by the differential risk of the assets in question -- We investigate the impact that time non-separable preferences has on the estimation of the risk-adjusted user cost of money -- Using U.K. data from 1965Q1 to 2011Q1, we estimate a habit-based asset pricing model with money in the utility function and find that the risk adjustment for risky monetary assets is negligible -- Thus, researchers can dispense with risk adjusting the user cost of money in constructing monetary aggregate indexes

Integrated pest management and the (un)sustainable use of pesticides

Doutoramento em Engenharia Agronómica - Instituto Superior de Agronomia - UL

Cork structural characteristics and their influence on the oxygen ingress through wine stoppers

Doutoramento em Engenharia Florestal e dos Recursos Naturais - Instituto Superior de Agronomia - UL

Producers' Perceptions and Consumers' Behaviour Toward Certified Beans from Integrated Production (IP) in the Brazilian Central Region

Integrated production (IP) is part of the Brazilian government program to promote sustainable agricultural production. IP ensure minimum food quality standards for domestic market, and export. Furthermore, IP is considered a good option to reduce negative environmental impacts of intensive crops in tropical Savannas, including common beans, as a Brazilian staple food. Although its advantages, and the government’s effort to promote IP, few growers are adopting IP. Maybe, the perception about IP usefulness and/or its ease of use is not too clear. Moreover, the production sector is driven by market signs, and there is few information on the consumer's preferences toward IP certified products in Brazil. In this study, we sought to identify some critical factors that can influence the IP adoption in beans' production. Moreover, we sought to verify the consumers’ perceptions and intention of purchasing IP certified beans (hypothetical product). This report comprises four chapters: (1) an introduction illustrating the context in which the research was based; (2) the results on the study of IP adoption based on the Technology Acceptance Model (TAM); (3) the choice experiment results applied to identify consumers preferences and willingness-to-pay (WTP) for IP label; (4) the results on the Theory of Planned Behaviour (TPB) applied to identify consumers’ perception toward IP certified beans. This research contributes with rich information for the beans’ supply chain, providing several insights to growers, retail and other agents, including policy makers. Beans’ production sector seems to be positively intentioned to adopt IP, but further studies should be conducted to test other adoption indicators using TAM model. Surveyed consumers are willing to pay a premium price for IP labelled beans. They showed a positive attitude toward purchasing IP labelled beans. It is an important information to motivate production sector to offer certified beans to the market.

Arquitectura y expresiones culturales como factores de diferenciación en las denominaciones de origen del Perú

Resumen El presente trabajo busca esclarecer si la D.O. es una herramienta eficiente de promoción ó protección para industrias incipientes, también dimensionar la contribución de componentes intangibles, como la tradición y el patrimonio monumental, en la formación de valor del producto protegido. Para ello se realizaron evaluaciones comparativas entre DO de relevancia mundial en relación con las D.O. reconocidas oficialmente en el Perú. La conclusión es que el valor no se genera espontáneamente, que existe una gran voluntad, mayor confusión conceptual y urgente necesidad de dotar a las industrias culturales de esquemas de protección más flexibles y detener el desmontaje del patrimonio monumental que legitima, diferencia y brinda soporte a la promesa base de autenticidad. Abstract This paper seeks to clarify whether the DO is an efficient tool for the promotion or protection of infant industries. It also seeks to gauge the contribution of intangible components such as tradition and architectural heritage in the creation of value of the protected product. For this purpose, comparative evaluations were conducted between globally significant DOs and the DOs that are officially recognized in Peru. The conclusion is that value is not generated spontaneously; there is a strong will, ore conceptual confusion and an urgent need to provide cultural industries with more flexible schemes of protection, and to stop the dismantling of architectural heritage that legitimizes, differentiates and supports the promise based on authenticity.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

Simple approximate MAP inference for Dirichlet processes mixtures

The Dirichlet process mixture model (DPMM) is a ubiquitous, flexible Bayesian nonparametric statistical model. However, full probabilistic inference in this model is analytically intractable, so that computationally intensive techniques such as Gibbs sampling are required. As a result, DPMM-based methods, which have considerable potential, are restricted to applications in which computational resources and time for inference is plentiful. For example, they would not be practical for digital signal processing on embedded hardware, where computational resources are at a serious premium. Here, we develop a simplified yet statistically rigorous approximate maximum a-posteriori (MAP) inference algorithm for DPMMs. This algorithm is as simple as DP-means clustering, solves the MAP problem as well as Gibbs sampling, while requiring only a fraction of the computational effort. (For freely available code that implements the MAP-DP algorithm for Gaussian mixtures see http://www.maxlittle.net/.) Unlike related small variance asymptotics (SVA), our method is non-degenerate and so inherits the “rich get richer” property of the Dirichlet process. It also retains a non-degenerate closed-form likelihood which enables out-of-sample calculations and the use of standard tools such as cross-validation. We illustrate the benefits of our algorithm on a range of examples and contrast it to variational, SVA and sampling approaches from both a computational complexity perspective as well as in terms of clustering performance. We demonstrate the wide applicabiity of our approach by presenting an approximate MAP inference method for the infinite hidden Markov model whose performance contrasts favorably with a recently proposed hybrid SVA approach. Similarly, we show how our algorithm can applied to a semiparametric mixed-effects regression model where the random effects distribution is modelled using an infinite mixture model, as used in longitudinal progression modelling in population health science. Finally, we propose directions for future research on approximate MAP inference in Bayesian nonparametrics.

Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

Double trouble: French colonialism in Morocco and the early history of the Pasteur institutes of Tangier and Casablanca (1895-1932)

Morocco was the last North African country in which a Pasteur institute was created, nearly two decades later than in Tunisia and Algeria. In fact, two institutes were opened, the first in Tangier in 1913 and the second in Casablanca in 1932. This duplication, far from being a measure of success, was the material expression of the troubles Pastorians had experienced in getting a solid foothold in the country since the late 19th century. These problems partly derived from the pre-existence of a modest Spanish-Moroccan bacteriological tradition, developed since the late 1880s within the framework of the Sanitary Council and Hygiene Commission of Tangier, and partly from the uncoordinated nature of the initiatives launched from Paris and Algiers. Although a Pasteur Institute was finally established, with Paul Remlinger as director, the failure of France to impose its colonial rule over the whole country, symbolized by the establishment of an international regime in Tangier, resulted in the creation of a second centre in Casablanca. While elucidating many hitherto unclear facts about the entangled origins of both institutes, the author points to the solidity of the previously independent Moroccan state as a major factor behind the troubled translation of Pastorianism to Morocco. Systematically dismissed or downplayed by colonial and postcolonial historiography, this solidity disrupted the French takeover of the country and therefore Pastorian expectations.

Emergy analysis of a silvo-pastoral system, a case study in southern Portugal

The Mediterranean silvo-pastoral system known as Montado, in Portugal, is a complex land use system composed of an open tree stratum in various densities and an herbaceous layer, used for livestock grazing. Livestock also profit from the acorns, and the grazing contributes to avoid shrub encroachment. In the last 20 years, subsidies from the European Union have greatly promoted cattle rearing in this system and the introduction of heavy breeds, at the expense of sheep, goats or the native cattle breeds. The balance of the traditional system is thus threatened, and a precise assessment of the balance between the different components of the system, therefore is highly needed. The goal of this study was to gain a better under- standing of a Montado farm system with cattle rearing as the major economic activity by applying the emergy evaluation method to calculate indices of yield, investment, environmental loading and sustainability. By integrating different ecosystem components, the emergy evaluation method allows a comprehensive evaluation of this complex and multifunctional system at the scale of an individual farm. This method provides a set of indices that can help us understand the system and design management strategies that maximize emergy flow in the farm. In this paper, we apply the emergy evaluation method to a Montado farm with cattle rearing, as a way to gain a better understanding of this system at the farm scale. The value for the transformity of veal (2.66E?06 sej J-1) is slightly higher, when compared to other systems producing protein. That means that the investment of nature and man in this product was higher and it requires a premium price on the market. The renewa- bility for Holm Oaks Farm (49 %), lower than for other similar systems, supports the assumption that this is a farm in which, comparing with others, the number of purchased inputs in relation to renewable inputs provided by nature, is higher. The Emergy Investment Ratio is 0.91 for cattle rearing compared to a value of 0.49 for cork and 0.43 for firewood harvesting, making it clear that cattle rearing is a more labor demanding activity comparing with extractive activities as cork and firewood harvesting.

Essays on asset pricing

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.

Serialità televisiva, sesso e tabù. Il caso di "Sex Education"

Le serie televisive occidentali tendono ad avere un approccio superficiale per quanto riguarda il sesso. Talvolta le tematiche sessuali e la rappresentazione esplicita del corpo sembrano spiattellate per attirare pubblico, risultando anche forzate. Tuttavia, la loro sola messa in scena potrebbe costituire una rivoluzione e creare scalpore, come alle origini della televisione. Con l’arrivo della pay tv, in particolare della via cavo, si è assistito sempre più a un cambiamento nella messa in scena del sesso, arrivando a sdoganare sempre più tabù. Ciò che riguarda la sfera sessuale pian piano è sempre più mostrato, fino a toccare una dimensione personale e sociale, come hanno dato prova la televisione premium e le piattaforme OTT, che scardinano la rappresentazione perbenista e moralista tradizionale. Un dirompente esempio è testimoniato dalla serie televisiva "Sex Education", che, oltre a mettere in scena il sesso, ne affronta le delicate questioni in maniera profonda e con un immancabile pizzico di ironia e comicità. La serie riesce a problematizzare e normalizzare tante delle questioni relative agli aspetti più intimi, di cui raramente si parla in televisione e nella realtà. Diventa così uno spunto di riflessione e un bacino di informazione specialmente per un pubblico giovane, ma non solo. Gli adolescenti hanno bisogno di sapere, di essere informati, di essere rassicurati e "Sex Education" riesce in questo, rendendo fede al suo titolo e tematizzando l’educazione sessuale. Eppure il sesso non riguarda solo i giovani, interessa tutte le età, orientamenti e identità. In questo senso una ricerca sul campo rivela i pareri e le reazioni di un gruppo di spettatori eterogeneo per età, genere e identità sessuale.