Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Characterization of water-soluble organic compounds in bioaerosols by liquid chromatography and fluorescence spectroscopy

In the last decades, the effects of the air pollution have been increasing, especially in the case of the human health diseases. In order to overcome this problem, scientists have been studying the components of the air. As a part of water-soluble organic compounds, amino acids are present in the atmospheric environment as components of diverse living organisms which can be responsible for spreading diseases through the air. Liquid chromatography is one technique capable of distinguish the different amino acids from each other. In this work, aiming at separating the amino acids found in the aerosols samples collected in Aveiro, the ability of four columns (Mixed-Mode WAX-1, Mixed-Mode HILIC-1, Luna HILIC and Luna C18) to separate four amino acids (aspartic acid, lysine, glycine and tryptophan) and the way the interaction of the stationary phases of the columns with the analytes is influenced by organic solvent concentration and presence/concentration of the buffer, are being assessed. In the Mixed-Mode WAX-1 column, the chromatograms of the distinct amino acids revealed the separation was not efficient, since the retention times were very similar. In the case of lysine, in the elution with 80% (V/V) MeOH, the peaks appeared during the volume void. In the Mixed-Mode HILIC-1 column, the variation of the organic solvent concentration did not affect the elution of the four studied amino acids. Considering the Luna HILIC column, the retention times of the amino acids were too close to each other to ensure a separation among each other. Lastly, the Luna C18 column revealed to be useful to separate amino acids in a gradient mode, being the variation of the mobile phase composition in the organic solvent concentration (ACN). Luna C18 was the column used to separate the amino acids in the real samples and the mobile phase had acidified water and ACN. The gradient consisted in the following program: 0 – 2 min: 5% (V/V) ACN, 2 – 8 min: 5 – 2 % (V/V) ACN, 8 – 16 min: 2% (V/V) ACN, 16 – 20 min: 2 – 20 % (V/V) ACN, 20 – 35 min: 20 – 35 % (V/V) ACN. The aerosols samples were collected by using three passive samplers placed in two different locations in Aveiro and each sampler had two filters - one faced up and the other faced down. After the sampling, the water-soluble organic compounds was extracted by dissolution in ultra-pure water, sonication bath and filtration. The resulting filtered solutions were diluted in acidified water for the chromatographic separation. The results from liquid chromatography revealed the presence of the amino acids, although it was not possible to identify each one of them individually. The chromatograms and the fluorescence spectra showed the existence of some patterns: the samples that correspond to the up filters had more intense peaks and signals, revealing that the up filters collected more organic matter.

Empirical studies on share issuance and repurchase decisions

Financial constraints influence corporate policies of firms, including both investment decisions and external financing policies. The relevance of this phenomenon has become more pronounced during and after the recent financial crisis in 2007/2008. In addition to raising costs of external financing, the effects of financial crisis limited the availability of external financing which had implications for employment, investment, sale of assets, and tech spending. This thesis provides a comprehensive analysis of the effects of financial constraints on share issuance and repurchases decisions. Financial constraints comprise both internal constraints reflecting the demand for external financing and external financial constraints that relate to the supply of external financing. The study also examines both operating performance and stock market reactions associated with equity issuance methods. The first empirical chapter explores the simultaneous effects of financial constraints and market timing on share issuance decisions. Internal financing constraints limit firms’ ability to issue overvalued equity. On the other hand, financial crisis and low market liquidity (external financial constraints) restrict availability of equity financing and consequently increase the costs of external financing. Therefore, the study explores the extent to which internal and external financing constraints limit market timing of equity issues. This study finds that financial constraints play a significant role in whether firms time their equity issues when the shares are overvalued. The conclusion is that financially constrained firms issue overvalued equity when the external equity market or the general economic conditions are favourable. During recessionary periods, costs of external finance increase such that financially constrained firms are less likely to issue overvalued equity. Only unconstrained firms are more likely to issue overvalued equity even during crisis. Similarly, small firms that need cash flows to finance growth projects are less likely to access external equity financing during period of significant economic recessions. Moreover, constrained firms have low average stock returns compared to unconstrained firms, especially when they issue overvalued equity. The second chapter examines the operating performance and stock returns associated with equity issuance methods. Firms in the UK can issue equity through rights issues, open offers, and private placement. This study argues that alternative equity issuance methods are associated with a different level of operating performance and long-term stock returns. Firms using private placement are associated with poor operating performance. However, rights issues are found empirically to be associated with higher operating performance and less negative long-term stock returns after issuance in comparison to counterpart firms that issue private placements and open offers. Thus, rights issuing firms perform better than open offers and private placement because the favourable operating performance at the time of issuance generates subsequent positive long-run stock price response. Right issuing firms are of better quality and outperform firms that adopt open offers and private placement. In the third empirical chapter, the study explores the levered share repurchase of internally financially unconstrained firms. Unconstrained firms are expected to repurchase their shares using internal funds rather than through external borrowings. However, evidence shows that levered share repurchases are common among unconstrained firms. These firms display this repurchase behaviour when they have bond ratings or investment grade ratings that allow them to obtain cheap external debt financing. It is found that internally financially unconstrained firms borrow to finance their share repurchase when they invest more. Levered repurchase firms are associated with less positive abnormal returns than unlevered repurchase firms. For the levered repurchase sample, high investing firms are associated with more positive long-run abnormal stock returns than low investing firms. It appears the market underreact to the levered repurchase in the short-run regardless of the level of investments. These findings indicate that market reactions reflect both undervaluation and signaling hypotheses of positive information associated with share repurchase. As the firms undertake capital investments, they generate future cash flows, limit the effects of leverage on financial distress and ultimately reduce the risk of the equity capital.

Problems in number theory and hyperbolic geometry

In the first part of this thesis we generalize a theorem of Kiming and Olsson concerning the existence of Ramanujan-type congruences for a class of eta quotients. Specifically, we consider a class of generating functions analogous to the generating function of the partition function and establish a bound on the primes ℓ for which their coefficients c(n) obey congruences of the form c(ℓn + a) ≡ 0 (mod ℓ). We use this last result to answer a question of H.C. Chan. In the second part of this thesis [S2] we explore a natural analog of D. Calegari’s result that there are no hyperbolic once-punctured torus bundles over S^1 with trace field having a real place. We prove a contrasting theorem showing the existence of several infinite families of pairs (−χ, p) such that there exist hyperbolic surface bundles over S^1 with trace field of having a real place and with fiber having p punctures and Euler characteristic χ. This supports our conjecture that with finitely many known exceptions there exist such examples for each pair ( −χ, p).

Chemical characterization and in vitro cyto- and genotoxicity of ‘legal high’ products containing Kratom (Mitragyna speciosa)

Kratom is a popular ‘legal high’ mainly constituted by alkaloids extracted from the Mitragyna speciosa plant with mitragynine (MG) as the dominant active substance. The increasing use of Kratom for recreational purposes has alerted risk assessment bodies of the lack of information on the real composition and its potential health risks. The present study aimed to determine and compare the MG composition of 13 commercial products of Kratom sold online and in “smartshops”, by gas chromatography–mass spectrometry. For the first time, the cytotoxicity induced by pure MG and Kratom, extracts was evaluated in in vitro models of human intestinal (Caco-2) and neuronal (SH-SY5Y) cells after 6 and 24 h. Genotoxicity was also evaluated in intestinal Caco-2 cells following 24 h of exposure to subtoxic concentrations using the comet assay. The obtained results revealed an inconsistency between the information (‘power’) provided in labels and the MG content. Cytotoxicity tests revealed a concentration-dependent decrease in cell viability in both cellular models, with the SH-SY5Y cells being more sensitive to the Kratom extracts. The resin and the ‘powered extracts’ were the most cytotoxic samples, with IC50 values significantly lower than the leaf extracts and pure MG (P < 0.0001 vs. leaf extracts and MG). In addition, significant DNA damage was observed in Caco-2 cells exposed to these extracts but not to pure MG, which suggests that other substances present in the extracts or interactions involving Kratom components might be responsible for the observed effects.

Libraries and open access: the implications of open-access publishing and dissemination for libraries in higher education institutions

This chapter discusses the consequences of open-access (OA) publishing and dissemination for libraries in higher education institutions (HEIs). Key questions (which are addressed in this chapter) include: 1. How might OA help information provision? 2. What changes to library services will arise from OA developments (particularly if OA becomes widespread)? 3. How do these changes fit in with wider changes affecting the future role of libraries? 4. How can libraries and librarians help to address key practical issues associated with the implementation of OA (particularly transition issues)? This chapter will look at OA from the perspective of HE libraries and will make four key points: 1. Open access has the potential to bring benefits to the research community in particular and society in general by improving information provision. 2. If there is widespread open access to research content, there will be less need for library-based activity at the institution level, and more need for information management activity at the supra-institutional or national level. 3. Institutional libraries will, however, continue to have an important role to play in areas such as managing purchased or licensed content, curating institutional digital assets, and providing support in the use of content for teaching and research. 4. Libraries are well-placed to work with stakeholders within their institutions and beyond to help resolve current challenges associated with the implementation of OA policies and practices.

Nice work if you can get it? The changing character of academic labour in Sweden and England

This paper considers recent attempts to introduce managerial reform in higher education. In exploring the issues the paper draws on an interviewing programme conducted with female and male academics in Sweden and England responsible for delivering change: heads of department, heads of division and principal lecturers. The aim is to examine the implications for the day-to-day work of academics arising from the reforms and to consider the gender implications. The paper conceptualises the areas of academic responsibility along the following dimensions identified by the academics themselves: dog work, tough work, care work, real work and nice work. In bringing into sharper focus the harsher realities of academe, and exploring the overlap and connectivity between gender and academic labour, it is argued that intellectual labour is hard work indeed, particularly for women.

Catalogue of data and platforms at Network GDAC level, including the example of Copernicus In Situ TAC

This document presents catalogue techniques used at network GDAC level to facilitate the discovery of platforms and data files. Some AtlantOS networks are organized as DAC-GDACs that continuously update a catalogue of metadata on observation datasets and platforms: • A DAC is a Data Assembly Centre operating at national or regional scale. It manages data and metadata for its area with a direct link to Scientifics and Operators. The DAC pushes observations to the network GDAC. • A GDAC is a Global Data Assembly Centre. It is designed for a global observation network such as Argo, OceanSITES, DBCP, EGO, Gosud, etc… The GDAC aggregates data and metadata of an observation network, in real-time and delayed mode, provided by DACs.

Efficient Image and Video Representations for Retrieval

Image (Video) retrieval is an interesting problem of retrieving images (videos) similar to the query. Images (Videos) are represented in an input (feature) space and similar images (videos) are obtained by finding nearest neighbors in the input representation space. Numerous input representations both in real valued and binary space have been proposed for conducting faster retrieval. In this thesis, we present techniques that obtain improved input representations for retrieval in both supervised and unsupervised settings for images and videos. Supervised retrieval is a well known problem of retrieving same class images of the query. We address the practical aspects of achieving faster retrieval with binary codes as input representations for the supervised setting in the first part, where binary codes are used as addresses into hash tables. In practice, using binary codes as addresses does not guarantee fast retrieval, as similar images are not mapped to the same binary code (address). We address this problem by presenting an efficient supervised hashing (binary encoding) method that aims to explicitly map all the images of the same class ideally to a unique binary code. We refer to the binary codes of the images as `Semantic Binary Codes' and the unique code for all same class images as `Class Binary Code'. We also propose a new class­ based Hamming metric that dramatically reduces the retrieval times for larger databases, where only hamming distance is computed to the class binary codes. We also propose a Deep semantic binary code model, by replacing the output layer of a popular convolutional Neural Network (AlexNet) with the class binary codes and show that the hashing functions learned in this way outperforms the state­ of ­the art, and at the same time provide fast retrieval times. In the second part, we also address the problem of supervised retrieval by taking into account the relationship between classes. For a given query image, we want to retrieve images that preserve the relative order i.e. we want to retrieve all same class images first and then, the related classes images before different class images. We learn such relationship aware binary codes by minimizing the similarity between inner product of the binary codes and the similarity between the classes. We calculate the similarity between classes using output embedding vectors, which are vector representations of classes. Our method deviates from the other supervised binary encoding schemes as it is the first to use output embeddings for learning hashing functions. We also introduce new performance metrics that take into account the related class retrieval results and show significant gains over the state­ of­ the art. High Dimensional descriptors like Fisher Vectors or Vector of Locally Aggregated Descriptors have shown to improve the performance of many computer vision applications including retrieval. In the third part, we will discuss an unsupervised technique for compressing high dimensional vectors into high dimensional binary codes, to reduce storage complexity. In this approach, we deviate from adopting traditional hyperplane hashing functions and instead learn hyperspherical hashing functions. The proposed method overcomes the computational challenges of directly applying the spherical hashing algorithm that is intractable for compressing high dimensional vectors. A practical hierarchical model that utilizes divide and conquer techniques using the Random Select and Adjust (RSA) procedure to compress such high dimensional vectors is presented. We show that our proposed high dimensional binary codes outperform the binary codes obtained using traditional hyperplane methods for higher compression ratios. In the last part of the thesis, we propose a retrieval based solution to the Zero shot event classification problem - a setting where no training videos are available for the event. To do this, we learn a generic set of concept detectors and represent both videos and query events in the concept space. We then compute similarity between the query event and the video in the concept space and videos similar to the query event are classified as the videos belonging to the event. We show that we significantly boost the performance using concept features from other modalities.

THE TERMINATION PHASE: THERAPISTS’ PERSPECTIVE ON THE THERAPEUTIC RELATIONSHIP AND OUTCOME

The termination phase of treatment is recognized as a significant aspect of the therapy process and yet remains vastly understudied in psychotherapy literature. In the present study, therapists’ perspectives were used to examine how three elements of the therapy relationship (working alliance, real relationship and transference) during the termination phase relate to perceived client sensitivity to loss, termination phase evaluation and overall treatment outcome. Self-report data was gathered from 233 therapists, recruited from two Divisions of the American Psychological Association. Therapists completed measures for their work with a client with whom they could identify a termination phase of treatment. Results revealed that the working alliance and real relationship during the termination phase related positively to termination phase evaluation and overall treatment outcome, whereas negative transference during the termination phase related negatively to overall treatment outcome. Therapists’ perceptions of client sensitivity to loss related positively to both negative and positive transference during the termination phase. Post-hoc analyses revealed only the working alliance during the termination phase uniquely predicted overall treatment outcome in a model with the three therapy relationship elements examined together. On the other hand, all three therapy relationship variables during the termination phase uniquely predicted termination phase evaluation, when examined together. Limitations and implications of these findings are discussed, and recommendations for future study are suggested.

Turismo cultural na ZEPH-Ribeira: possibilidades e limitações

Considering that urban interventions, planned and executed recently at Natal, RN, should put Ribeira - one of the town centers - in the new limits of the expanded center of the city, this work examines the use of this new accessibility for the benefit of the development of an infrastructure to support a type of tourism currently seen as an alternative to diversification into areas dominated by entertainment tourism (the case of Natal). A local with city's traditional cultural facilities and holder of a set built that is a synthesis of the images of the neighborhood, it fears that this increase in the potential for movement and flows of use stimulate speculation and deployment of a bulk type of activity incompatible with the preservation the architectural heritage. Important economy for the city, tourism has been showing a factor propellant processing urban related changes in accessibility. It is argued that cultural tourism, often used in plans and projects of revitalization across the country, may be factor for sustainable development and conserve the assets, and contributes to the process of revitalization of the historic cultural center as Ribeira. Intended to illustrate the need to consider other information that might help in the revitalization of the neighborhood, this research presents the offer cultural tourism of Ribeira and identifies and maps certain physical attributes that, combined with functional attributes, can stimulate or inhibit the diversity and vitality in the region

Relevância dos impostos diferidos : caso das empresas cotadas em Portugal

Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais

Legal Framework for Cross-Regional Networks: The Case of Services and Migration

Paper prepared by Marion Panizzon and Charlotte Sieber-Gasser for the International Conference on the Political Economy of Liberalising Trade in Services, Hebrew University of Jerusalem, 14-15 June 2010 Recent literature has shed light on the economic potential of cross-border networks. These networks, consisting of expatriates and their acquaintances from abroad and at home, provide the basis for the creation of cross-border value added chains and therewith the means for turning brain drain into brain circulation. Both aspects are potentially valuable for economic growth in the developing world. Unilateral co-development policies operating through co-funding of expatriate business ventures, but also bilateral agreements liberalising circular migration for a limited set of per-sons testify to the increasing awareness of governments about the potential, which expatriate networks hold for economic growth in developing countries. Whereas such punctual efforts are valuable, viewed from a long term perspective, these top-down, government mandated Diaspora stimulation programs, will not replace, this paper argues, the market-driven liberalisation of infrastructure and other services in developing countries. Nor will they carry, in the case of circular labour migration, the political momentum to liberalise labour market admission for those non-nationals, who will eventually emerge as the future transnational entrepreneurs. It will take a combination of mode 4 and infrastructure services openings-cum regulation for countries at both sides of the spectrum to provide the basis and precondition for transnational business and entrepreneurial networks to emerge and translate into cross-border, value added production chains. Two key issues are of particular relevance in this context: (i) the services sector, especially in infrastructure, tends to suffer from inefficiencies, particularly in developing countries, and (ii) labour migration, a highly complex issue, still faces disproportionately rigid barriers despite well-documented global welfare gains. Both are hindrances for emerging markets to fully take advantage of the potential of these cross-border networks. Adapting the legal framework for enhancing the regulatory and institutional frameworks for services trade, especially in infrastructure services sectors (ISS) and labour migration could provide the incentives necessary for brain circulation and strengthen cross-border value added chains by lowering transaction costs. This paper analyses the shortfalls of the global legal framework – the shallow status quo of GATS commitments in ISS and mode 4 particular – in relation to stimulating brain circulation and the creation of cross-border value added chains in emerging markets. It highlights the necessity of adapting the legal framework, both on the global and the regional level, to stimulate broader and wider market access in the four key ISS sectors (telecommunications, transport, professional and financial services) in developing countries, as domestic supply capacity, global competitiveness and economic diversification in ISS sectors are necessary for mobilising expatriate re-turns, both physical and virtual. The paper argues that industrialised, labour receiving countries need to offer mode 4 market access to wider categories of persons, especially to students, graduate trainees and young professionals from abroad. Further-more, free trade in semi-finished products and mode 4 market access are crucial for the creation of cross-border value added chains across the developing world. Finally, the paper discusses on the basis of a case study on Jordan why the key features of trade agreements, which promote circular migration and the creation of cross-border value added chains, consist of trade liberalisation in services and liberal migration policies.

Factores económicos do risco sistemático nas carteiras de investimento: o caso português

Dissertação de mest. em Ciências Económicas e Empresariais, Unidade de Ciências Económicas e Empresariais, Univ. do Algarve, 1996

Performance analysis of brazilian public and philanthropic hospitals

This paper presents the results of a research that aimed at identifying optimal performance standards of Brazilian public and philanthropic hospitals. In order to carry out the analysis, a model based on Data Envelopment Analysis (DEA) was developed. We collected financial data from hospitals’ financial statements available on the internet, as well as operational data from the Information Technology Department of the Brazilian Public Health Care System – SUS (DATASUS). Data from 18 hospitals from 2007 to 2011 were analyzed. Our DEA model used both operational and financial indicators (variables). In order to develop this model, two indicators were considered inputs: Values (in Brazilian Reais) of Fixed Assets and Planned Capacity. On the other hand, the following indicators were considered outputs: Net Margin, Return on Assets and Institutional Mortality Rate. As regards the proposed model, there were five hospitals with optimal performance and four hospitals were considered inefficient, upon the analysis of the variables, considering the analyzed period. Analysis of the weights indicated the most relevant variables for determining efficiency and scale variable values, which is an important tool to aid the decision-making by hospital managers. Finally, the scale variables determined the returns on production, indicating that 14 hospitals work with scale diseconomies. This may indicate inefficiency in the resource management of the Brazilian public health-care system, by analyzing this set of proposed variables.