Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.

Margin requirements and volatility : evidence from Canadian stocks

Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.

The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

Archivistique et gestion électronique des documents : la convergence des professions par la convergence des systèmes

Travail réalisé à l’EBSI, Université de Montréal, sous la direction de M. Yvon Lemay dans le cadre du cours SCI6111 – Politique de gestion des archives, à l'automne 2010.

Réglementation des technologies de l'information au Québec : la philosophie du projet de loi 161 en regard du droit canadien

Échange automatisé de messages préprogrammés, communication par courrier électronique, gestion électronique de documents (GED), Data warehouse, EDI… Le monde des affaires vibre depuis quelques années au rythme des nouvelles technologies de l’information. Le droit commercial lui, a du mal à emboîter le pas. Pourtant, les problèmes juridiques soulevés par ce règne de l’immatériel sont majeurs et les incertitudes, grandissantes. La mobilité accrue que permettent ces techniques modernes de transmission et de gestion des informations suggère une solution concertée, qui plus est, tiendra compte de l’évolution hâtée dans ce domaine. Le fondement en a été donné à travers la Loi type des Nations unies sur le commerce électronique en 1996. Plusieurs législations l’ont choisi comme modèle. La législation canadienne est de celles-ci, avec notamment sa Loi uniforme sur le commerce électronique adoptée par la Conférence pour l’harmonisation des lois au Canada en 1999. La législation québécoise aussi a suivi le mouvement. Le 16 juin 2000, un avant-projet de loi portant sur la normalisation juridique des technologies de l’information fut déposé devant l’Assemblée nationale. Cet avant-projet de loi est devenu projet de loi 161, Loi concernant le cadre juridique des technologies de l’information. Mais au-delà des apparences, le législateur québécois semble s’être écarté de la philosophie qui a influencé la Loi type et, conséquemment, la Loi uniforme. Si cette remarque est vérifiée, il faudra craindre l’isolement du Québec et, par ricochet, un positionnement peu concurrentiel dans le commerce international.

Gamma stochastic volatility models

This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the estimators behave well. The insample analysis shows that return models with gamma autoregressive stochastic volatility processes capture the leptokurtic nature of return distributions and the slowly decaying autocorrelation functions of squared stock index returns for the USA and UK. In comparison with GARCH and EGARCH models, the gamma autoregressive model picks up the persistence in volatility for the US and UK index returns but not the volatility persistence for the Canadian and Japanese index returns. The out-of-sample analysis indicates that the gamma autoregressive model has a superior volatility forecasting performance compared to GARCH and EGARCH models.

Efecto de la competencia en la escogencia de estándares educativos

En la literatura económica no se ha estudiado como la competencia entre las instituciones educativas afecta específicamente la escogencia de estándares educativos y el valor de matrícula. Usando un modelo teórico analizo como la competencia entre las instituciones educativas afectan la escogencia de estándares académicos, comparando la solución en competencia con la solución eficiente y la solución de monopolio. Los individuos son heterogéneos y se diferencian en su habilidad, las instituciones educativas compiten estableciendo en una primera etapa el estándar educativo, y en una segunda etapa el valor de matrícula. Una vez definidos los estándares y los valores de matrícula, estos son información pública, permitiendo a los individuos escoger entre ingresar o no a una institución educativa o a que institución educativa ingresar de acuerdo a la habilidad innata y al costo asociado al esfuerzo. En los resultados se muestra que el bienestar social aumenta cuando en la economía existe más de una institución educativa con estándares diferentes, y la solución de mercado, en monopolio o en competencia, obliga a los estudiantes a ejercer un mayor esfuerzo para alcanzar el título. Independiente a la relación de costos, el valor de matrícula es siempre mayor para la institución con estándar educativo más alto, y mayor en la solución de mercado. Cuando el costo unitario de la institución con estándar más alto es mayor o igual al costo de la institución con menor estándar, los estándares educativos escogidos por el planificador son mayores y el esfuerzo requerido por los individuos es menor respecto a la solución de mercado.

El desarrollo humano en comunidades afrocolombianas: perspectivas del patrimonio cultural inmaterial en el marco de los ODM en San Basilio de Palenque. Periodo 2000-2012

El objetivo de este estudio de caso es analizar la tensión provocada entre el enfoque de políticas públicas en San Basilio de Palenque para alcanzar el tercer Objetivo de Desarrollo del Milenio-ODM y la salvaguardia del Patrimonio Cultural Inmaterial-PCI. Esta investigación estudia cómo el enfoque de género está o no presente, tanto en políticas públicas de salvaguardia del PCI como en las encargadas del tercer ODM, y cómo esto dificulta o facilita la obtención de ambos propósitos. Por medio del paradigma de Desarrollo Humano, en cabeza de Amartya Sen, y el análisis de los tratados internacionales y las leyes se encontraron lugares comunes, con ayuda de trabajo de campo, que impedían la armonización y correcto desarrollo tanto del tercer ODM como de la salvaguardia del PCI en este territorio.

Análisis de las consecuencias del TLC con Estados Unidos frente al subsector ganadero colombiano

Colombia es un país que gracias a sus características topográficas y ubicación privilegiada se destaca por su amplia variedad de ganado en las diferentes regiones del país, esto le ha permitido tener diversas ventajas frente a otros países. Sin embargo, desde el año 2012 entro en vigencia el Tratado de Libre Comercio con Estados Unidos, en donde se demostró que debido a los subsidios y al bajo costo en la producción ganadera, este país ofrece precios inferiores a los de Colombia, con los cuales es más difícil disputar. Por esto es importante que Colombia logré implementar estrategias para competir con precios como los de Estados Unidos y a su vez debe buscar la admisibilidad sanitaria para lograr exportar nuestros productos a esta Potencia. Además, Colombia debe identificar las oportunidades, fortalezas y amenazas que se tienen con el Tratado de Libre comercio, para establecer diferentes proyectos y programas los cuales permitan potencializar el subsector ganadero colombiano.

Equidad de g??nero en las agendas supranacionales : evidencias educativas desde una lectura comparada

Resumen tomado de la publicaci??n.

Preparation and properties of gallaborane, GaBH6: structure of the gaseous molecule H2Ga(μ-H)2BH2 as determined by vibrational, electron diffraction, and ab initio studies, and structure of the crystalline solid at 110 K as determined by x-ray diffraction``

Gallaborane (GaBH6, 1), synthesized by the metathesis of LiBH4 with [H2GaCl]n at ca. 250 K, has been characterized by chemical analysis and by its IR and 1H and 11B NMR spectra. The IR spectrum of the vapor at low pressure implies the presence of only one species, viz. H2Ga(μ-H)2BH2, with a diborane-like structure conforming to C2v symmetry. The structure of this molecule has been determined by gas-phase electron diffraction (GED) measurements afforced by the results of ab initio molecular orbital calculations. Hence the principal distances (rα in Å) and angles ( α in deg) are as follows: r(Ga•••B), 2.197(3); r(Ga−Ht), 1.555(6); r(Ga−Hb), 1.800(6); r(B−Ht), 1.189(7); r(B−Hb), 1.286(7); Hb−Ga−Hb, 71.6(4); and Hb−B−Hb, 110.0(5) (t = terminal, b = bridging). Aggregation of the molecules occurs in the condensed phases. X-ray crystallographic studies of a single crystal at 110 K reveal a polymeric network with helical chains made up of alternating pseudotetrahedral GaH4 and BH4 units linked through single hydrogen bridges; the average Ga•••B distance is now 2.473(7) Å. The compound decomposes in the condensed phases at temperatures exceeding ca. 240 K with the formation of elemental Ga and H2 and B2H6. The reactions with NH3, Me3N, and Me3P are also described.

The molecular structure of hexamethyldigermane determined by gas-phase electron diffraction with theoretical calculations for (CH3)3M-M(CH3)3 Where M = C, Si, and Ge

Gas-phase electron diffraction (GED) data together with results from ab initio molecular orbital calculations (HF and MP2/6-311+G(d,p)) have been used to determine the structure of hexamethyldigermane ((CH3)3Ge-Ge(CH3)3). The equilibrium symmetry is D3d, but the molecule has a very low-frequency, largeamplitude, torsional mode (φCGeGeC) that lowers the thermal average symmetry. The effect of this largeamplitude mode on the interatomic distances was described by a dynamic model which consisted of a set of pseudoconformers spaced at even intervals. The amount of each pseudoconformer was obtained from the ab initio calculations (HF/6-311+G(d,p)). The results for the principal distances (ra) and angles (∠h1) obtained from the combined GED/ab initio (with estimated 1σ uncertainties) are r(Ge-Ge) ) 2.417(2) Å, r(Ge-C) ) 1.956(1) Å, r(C-H) ) 1.097(5) Å, ∠GeGeC ) 110.5(2)°, and ∠GeCH ) 108.8(6)°. Theoretical calculations were performed for the related molecules ((CH3)3Si-Si(CH3)3 and (CH3)3C-C(CH3)3).

Molecular structure of 2,5-dihydropyrrole (C4NH7), obtained by gas-phase electron diffraction and theoretical calculations

The structure of 2,5-dihydropyrrole (C4NH7) has been determined by gas-phase electron diffraction (GED), augmented by the results from ab initio calculations employing third-order Moller-Plesset (MP3) level of theory and the 6-311+G(d,p) basis set. Several theoretical calculations were performed. From theoretical calculations using MP3/6-311+G(d,p) evidence was obtained for the presence of an axial (63%) (N-H bond axial to the CNC plane) and an equatorial conformer (37%) (N-H bond equatorial to the CNC plane). The five-membered ring was found to be puckered with the CNC plane inclined at 21.8 (38)° to the plane of the four carbon atoms.

Molecular structures of trimethylchlorogermane, (CH3)(3)GeCl, and trimethylbromogermane, (CH3)(3)GeBr, obtained by gas-phase electron diffraction and theoretical calculations

The structures of trimethylchlorogermane ((CH3)(3)GeCl) and trimethylbromogermane ((CH3)(3)GeBr) have been determined by gas-phase electron diffraction (GED), augmented by the results from ab initio calculations employing second-order Moller-Plesset (MP2) level of theory and the 6-311+G(d) basis set. All the electrons were included in the correlation calculation. The results from the ab initio calculations indicated that these molecules have C-3v symmetry, and models with this symmetry were used in the electron diffraction analysis. The results for the principal distances (r(g)) and angles (angle(alpha)) from the combined GED/ab initio study of trimethylchlorogermane (with estimated 2sigma uncertainties) are: r(Ge-C) = 1.950(4) Angstrom, r(Ge-Cl) = 2.173(4) Angstrom, r(C-H) = 1.090(9) Angstrom, angleCGeC = 112.7(7)degrees, angleCGeCl = 106.0(8)degrees, angleGeCH = 107.8(12)degrees. The results for the principal distances (r(g)) and angles (angle(alpha)) from the combined GED/ab initio study of trimethylbromogermane (with estimated 2sigma uncertainties) are: r(Ge-C) = 1.952(7) Angstrom, r(Ge-Br) = 2.325(4) Angstrom, r(C-H) = 1. 140(28) Angstrom, angleCGeC = 114.2(11)degrees, angleCGeBr = 104.2(13)degrees, angleGeCH 106.9(43)degrees. Local C-3v symmetry and staggered conformation were assumed for the methyl groups.

Chalcogenide-halides of niobium (V). 1. Gas-phase structures of NbOBr3, NbSBr3, and NbSCl3. 2. Matrix infrared spectra and vibrational force fields of NbOBr3, NbSBr3, NbSCl3, and NbOCl3

The molecular structures of NbOBr3, NbSCl3, and NbSBr3 have been determined by gas-phase electron diffraction (GED) at nozzle-tip temperatures of 250 degreesC, taking into account the possible presence of NbOCl3 as a contaminant in the NbSCl3 sample and NbOBr3 in the NbSBr3 sample. The experimental data are consistent with trigonal-pyramidal molecules having C-3v symmetry. Infrared spectra of molecules trapped in argon or nitrogen matrices were recorded and exhibit the characteristic fundamental stretching modes for C-3v species. Well resolved isotopic fine structure (Cl-35 and Cl-37) was observed for NbSCl3, and for NbOCl3 which occurred as an impurity in the NbSCl3 spectra. Quantum mechanical calculations of the structures and vibrational frequencies of the four YNbX3 molecules (Y = O, S; X = Cl, Br) were carried out at several levels of theory, most importantly B3LYP DFT with either the Stuttgart RSC ECP or Hay-Wadt (n + 1) ECP VDZ basis set for Nb and the 6-311 G* basis set for the nonmetal atoms. Theoretical values for the bond lengths are 0.01-0.04 Angstrom longer than the experimental ones of type r(a), in accord with general experience, but the bond angles with theoretical minus experimental differences of only 1.0-1.5degrees are notably accurate. Symmetrized force fields were also calculated. The experimental bond lengths (r(g)/Angstrom) and angles (angle(alpha)/deg) with estimated 2sigma uncertainties from GED are as follows. NbOBr3: r(Nb=O) = 1.694(7), r(Nb-Br) = 2.429(2), angle(O=Nb-Br) = 107.3(5), angle(Br-Nb-Br) = 111.5(5). NbSBr3: r(Nb=S) = 2.134(10), r(Nb-Br) = 2.408(4), angle(S=Nb-Br) = 106.6(7), angle(Br-Nb-Br) = 112.2(6). NbSCl3: Nb=S) = 2.120(10), r(Nb-Cl) = 2.271(6), angle(S=Nb-Cl) = 107.8(12), angle(Cl-Nb-Cl) = 111.1(11).