Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Traducció d'un testament: anglès-català

Un dels objectius principals d’aquest treball és assumir un encàrrec de traducció jurídica. En aquest cas, es tradueix un testament; els testaments són documents jurídics a través dels quals una persona pot disposar els seus béns per a després de la seva mort i instituir hereus. El text de sortida es regeix pels Estatuts de l’Estat de Nova Jersey, és per això que aquest treball se centra en els testaments a Nova Jersey i a Espanya, concretament a Catalunya ja que la traducció és al català. La diferència més gran entre aquests dos països és que Espanya es basa en el Dret Civil i Estats Units en el Common Law; com que tenen característiques diferents, cal documentar-se sobre com funcionen els testaments a cada lloc abans de fer la traducció. Com veurem a continuació, la traducció de documents jurídics requereix precisió i responsabilitat, ja que el lèxic i l’estructura d’aquests tipus de documents és complex; per això, és important tenir accés a manuals de redacció i diccionaris especialitzats. Seguidament, veurem tots els passos que he seguit per portar a terme la traducció d’un testament.

La utilidad del Estado de Cambios en el Patrimonio Neto para los empresarios

Las cuentas anuales del actual Plan General de Contabilidad (PGC07) incluyen un nuevo documento contable: el Estado de Cgmbios en el Patrimonio Neto (ECPN) que deben presentar todas las empresas. En este trabajo se detalla la utilidad y razon de ser de este estado contable que pretende reflejar el resultado global, la riqueza y las garantras empresariales que presenta la empresa. Estas.informaciones son consecuencia del desplazamiento del objetivo de los estados financieros hacia la valoracion del patrimonio en detrimento del calculo del resultado.

Place branding : a conceptual and theoretical framework

Within the context of rising competition between territories, identity has become the most important element of recognition, differentiation and commodification in the communicative process within which cities, regions and countries position themselves. Geographical spaces thus compete in terms of this identity, which is then subjected to fierce comparison and competition (Nogué, 1999; Anholt, 2007a). The territorial brand thus entails the reinvention of places through a process of brand construction (branding) based on the promotion of the individual and collective identities of geographical spaces; these identities, in turn, are imbued with the intangible factors associated with their respective territorial identities.

Teoría de la comunicación y paisaje. Las geografías del sujeto y la perspectiva interpretativa de la comunicación

El estudio de las implicaciones comunicativas presentes en el paisaje tangible e intangible circundante abre un amplio abanico de posibilidades para el tratamiento de la denominada comunicación en el paisaje. El análisis de los efectos que el entorno genera en los procesos de comunicación humana, el seguimiento de los procesos comunicativos mediante los cuales se mercadea con el paisaje, la construcción de imaginarios individuales y colectivos a partir de la interacción ciudadanía-territorio, el tránsito de espacio a lugar y, más recientemente, la habilitación de identidades territoriales a partir de la construcción de una imagen de marca de ciudad o de país –léase promoción turística, citymarketing y/o branding, entre otros– presentan, en todos los casos, amplias connotaciones de alcance comunicativo. La búsqueda del mensaje presente en el paisaje plantea, en este mismo sentido, el tratamiento del espacio a modo de sistema de comunicación. En cualquier caso, parece claro que, en los últimos tiempos, asistimos a una cierta eclosión de procesos de comunicación concebidos desde la realidad existente en el espacio y más aún, en el paisaje, por lo que se hace necesario avanzar hacia un tratado comunicativo del paisaje.

Viticulture under climate change : understanding vulnerability and adaptive capacity of wineries and growers. A case study in El Penedès region, Catalonia

Climate change may pose challenges and opportunities to viticulture, and much research has focused in studying the likely impacts on grapes and wine production in different regions worldwide. This study assesses the vulnerability and adaptive capacity of the viticulture sector under changing climate conditions, based on a case study in El Penedès region, Catalonia. Farm assets, livelihood strategies, farmer-market interactions and climate changes perceptions are analysed through semi-structured interviews with different types of wineries and growers. Both types of actors are equally exposed to biophysical stressors but unevenly affected by socioeconomic changes. While wineries are vulnerable because of the current economic crisis and the lack of diversification of their work, which may affect their income or production, growers are mainly affected by the low prices of their products and the lack of fix contracts. These socioeconomic stressors strongly condition their capacity to adapt to climate change, meaning that growers prioritize their immediate income problems, rather than future socioeconomic or climate threats. Therefore, growers undertake reactive adaptation to climate changing conditions, mainly based on ancient knowledge, whilst wineries combine both reactive and anticipatory adaptation practices. These circumstances should be addressed in order to allow better anticipatory adaptation to be implemented, thus avoiding future climate threats.

2012 Community Tree Management Plan, Alburnett, IA, June 24, 2013

This plan was developed to assist Alburnett with the management, budgeting and future planning of their urban forest. Across the state, forestry budgets continue to decrease with more and more of that money spent on tree removal. With the anticipated arrival of Emerald Ash Borer (EAB), an invasive pest that kills native ash trees, it is time to prepare for the increased costs of tree removal and replacement planting. With proper planning and management of the current canopy in Alburnett, these costs can be extended over years and public safety issues from dead and dying ash trees mitigated. Trees are an important component of Alburnett’s infrastructure and one of the greatest assets to the community. The benefits of trees are immense. Trees provide the community with improved air quality, stormwater runoff interception, energy conservation, lower traffic speeds, increased property values, reduced crime, improved mental health and create a desirable place to live, to name just a few benefits. It is essential that these benefits be maintained for the people of Alburnett and future generations through good urban forestry management. Good urban forestry management involves setting goals and developing management strategies to achieve these goals. An essential part of developing management strategies is a comprehensive public tree inventory. The inventory supplies information that will be used for maintenance, removal schedules, tree planting and budgeting. Basing actions on this information will help meet Alburnett’s urban forestry goals.

2012 Community Tree Management Plan, Avoca, IA, May 2, 2013

This plan was developed to assist Avoca with the management, budgeting and future planning of their urban forest. Across the state, forestry budgets continue to decrease with more and more of that money spent on tree removal. With the anticipated arrival of Emerald Ash Borer (EAB), an invasive pest that kills native ash trees, it is time to prepare for the increased costs of tree removal and replacement planting. With proper planning and management of the current canopy in Avoca, these costs can be extended over years and public safety issues from dead and dying ash trees mitigated. Trees are an important component of Avoca’s infrastructure and one of the greatest assets to the community. The benefits of trees are immense. Trees provide the community with improved air quality, stormwater runoff interception, energy conservation, lower traffic speeds, increased property values, reduced crime, improved mental health and create a desirable place to live, to name just a few benefits. It is essential that these benefits be maintained for the people of Avoca and future generations through good urban forestry management. Good urban forestry management involves setting goals and developing management strategies to achieve these goals. An essential part of developing management strategies is a comprehensive public tree inventory. The inventory supplies information that will be used for maintenance, removal schedules, tree planting and budgeting. Basing actions on this information will help meet Avoca’s urban forestry goals.

2012 Community Tree Management Plan, Belle Plaine, IA, June 24, 2013

This plan was developed to assist Belle Plaine with the management, budgeting and future planning of their urban forest. Across the state, forestry budgets continue to decrease with more and more of that money spent on tree removal. With the anticipated arrival of Emerald Ash Borer (EAB), an invasive pest that kills native ash trees, it is time to prepare for the increased costs of tree removal and replacement planting. With proper planning and management of the current canopy in Belle Plaine, these costs can be extended over years and public safety issues from dead and dying ash trees mitigated. Trees are an important component of Belle Plaine’s infrastructure and one of the greatest assets to the community. The benefits of trees are immense. Trees provide the community with improved air quality, stormwater runoff interception, energy conservation, lower traffic speeds, increased property values, reduced crime, improved mental health and create a desirable place to live, to name just a few benefits. It is essential that these benefits be maintained for the people of Belle Plaine and future generations through good urban forestry management. Good urban forestry management involves setting goals and developing management strategies to achieve these goals. An essential part of developing management strategies is a comprehensive public tree inventory. The inventory supplies information that will be used for maintenance, removal schedules, tree planting and budgeting. Basing actions on this information will help meet Belle Plaine’s urban forestry goals.

Asset Management Program Enhancement Plan: Baseline Assessment Phases I and II, 2015

This project resulted in the development of a framework for making asset management decisions on low-volume bridges. The research focused on low-volume bridges located in the agricultural counties of Iowa because recent research has shown that these counties have the greatest percentage of structurally deficient bridges in the nation. Many of the same counties also have the highest crop yields in the state, creating a situation where detours caused by deficient bridges on farm-to-market roads increase the cost to transport the crops. Thus, the research proposed the use of social return on investment (SROI), a tool used by international institutions such as the World Bank, as an asset management metric to gauge to the socioeconomic impact of structurally deficient bridges on the state in an effort to provide quantified justification to fund improvements on low-volume assets such as these rural bridges. The study found that combining SROI with current asset management metrics like average daily traffic (ADT) made it possible to prioritize the bridges in such a way that the limited resources available are allocated in a manner that promotes a more equitable distribution and that directly benefits the user, in this case Iowa farmers. The result is a system that more closely aligns itself with the spirit of MAP-21, in that infrastructure investments are used to facilitate economic growth for Iowa’s agricultural economy.

First-passage and escape problems in the Feller process

The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.

Cobertura y desamparo: garantías jurídicas de los españoles en el Perú (1870-1945) = Coverage and helplessness: legal guarantees of the spanish in Peru (1870-1945)

The archives of the Prefecture of the Peruvian Ministry of Foreign Affairs provide a perspective from which to reconstruct the broad range of legal circumstances in which Spanish residents in various regions of the country find themselves immersed (assets of relatives who have died without wills or family in Peru, political conflicts, legal problems -whether criminal or civil as a result of business activities- or the requested intervention ofconsular authorities when decisions considered detrimental to their compatriots are made by prefects and sub-prefects). The legal framework protecting Spanish nationals in Peru is analysed to understand the mechanisms of immigration in the country and the mechanisms that led them to keep their Spanish nationality, even after establishing wide-reaching family and business interests

A study of the effects of PVAC on works of art on paper and wood: pH and colour change

This paper presents the preliminary findings of pH and colour measurements carried out on artworks on paperand on wood that had been treated with a poly(vinyl acetate) (PVAC) based adhesive in the 1980s. In both cases, areas treated with PVAC proved to be less acidic than untreated areas. Contrary to expectations, the conservation treatments have not, as yet, increased acidity levels in the objects under study. Colour measurements of the works on paper showed that those that had been backed with a cotton fabric using a mixture of methylcellulose and PVAC were less yellow than those from the same print run that had not been backed. This finding suggests that the backing somehow prevented the natural degradation of the support. In view of these preliminary results, further research is clearly needed. This study forms part of a broader ongoing project to assess the role of PVAC in the conservation of a range of cultural assets.

A study of the effects of PVAC on works of art on paper and wood: pH and colour change

This paper presents the preliminary findings of pH and colour measurements carried out on artworks on paperand on wood that had been treated with a poly(vinyl acetate) (PVAC) based adhesive in the 1980s. In both cases, areas treated with PVAC proved to be less acidic than untreated areas. Contrary to expectations, the conservation treatments have not, as yet, increased acidity levels in the objects under study. Colour measurements of the works on paper showed that those that had been backed with a cotton fabric using a mixture of methylcellulose and PVAC were less yellow than those from the same print run that had not been backed. This finding suggests that the backing somehow prevented the natural degradation of the support. In view of these preliminary results, further research is clearly needed. This study forms part of a broader ongoing project to assess the role of PVAC in the conservation of a range of cultural assets.

ClientLight : Aplicació web per a la gestió d’actius

Creació d'una aplicació web en servidor local juntament amb una base de dades que permetrà gestionar els actius físics d'una empresa d'enllumenat públic utilitzant el framework JSF.