Bank Income Diversification and its Impact on Profitability and Risk: Evidence from Nordic Markets

Financial industry has recently encountered many changes in the business environment. Increased regulation together with growing competition is forcing commercial banks to rethink their business models. In order to maintain profitability in the new environment, banks are focusing more into activities that yield noninterest income. This is a shift away from the traditional intermediation function of banks. This study aims to answer the question if the shift from traditional income yielding activities to more innovative noninterest activities is logical in terms of profitability and risk in Nordics. This study also aims to answer the question if diversification within the noninterest income categories has impact on profitability and risk and if there are certain categories of noninterest income that are better than others in terms of profitability and risk in Nordics. Results show that diversification between interest and noninterest activities and increase in the share of noninterest income have a negative impact on the risk adjusted returns and risk profile. Results also show that further diversification within the noninterest income categories has negative impact on risk adjusted profitability and risk while an increase of the share of commission and fee income category of total noninterest income has a positive impact on risk adjusted profitability and risk. Results are logical and in line with previous research (De Young & Roland, 2001; Stiroh, 2004). Results provide useful information to banks and help them better evaluate outcomes of different income diversification strategies.

PERFORMANCE ANALYSIS OF A TACTICAL ASSET ALLOCATION – Evidence from the Black–Litterman model based fixed income portfolio

Over time the demand for quantitative portfolio management has increased among financial institutions but there is still a lack of practical tools. In 2008 EDHEC Risk and Asset Management Research Centre conducted a survey of European investment practices. It revealed that the majority of asset or fund management companies, pension funds and institutional investors do not use more sophisticated models to compensate the flaws of the Markowitz mean-variance portfolio optimization. Furthermore, tactical asset allocation managers employ a variety of methods to estimate return and risk of assets, but also need sophisticated portfolio management models to outperform their benchmarks. Recent development in portfolio management suggests that new innovations are slowly gaining ground, but still need to be studied carefully. This thesis tries to provide a practical tactical asset allocation (TAA) application to the Black–Litterman (B–L) approach and unbiased evaluation of B–L models’ qualities. Mean-variance framework, issues related to asset allocation decisions and return forecasting are examined carefully to uncover issues effecting active portfolio management. European fixed income data is employed in an empirical study that tries to reveal whether a B–L model based TAA portfolio is able outperform its strategic benchmark. The tactical asset allocation utilizes Vector Autoregressive (VAR) model to create return forecasts from lagged values of asset classes as well as economic variables. Sample data (31.12.1999–31.12.2012) is divided into two. In-sample data is used for calibrating a strategic portfolio and the out-of-sample period is for testing the tactical portfolio against the strategic benchmark. Results show that B–L model based tactical asset allocation outperforms the benchmark portfolio in terms of risk-adjusted return and mean excess return. The VAR-model is able to pick up the change in investor sentiment and the B–L model adjusts portfolio weights in a controlled manner. TAA portfolio shows promise especially in moderately shifting allocation to more risky assets while market is turning bullish, but without overweighting investments with high beta. Based on findings in thesis, Black–Litterman model offers a good platform for active asset managers to quantify their views on investments and implement their strategies. B–L model shows potential and offers interesting research avenues. However, success of tactical asset allocation is still highly dependent on the quality of input estimates.

Evaluating the wage differential between public and private sectors in Brazil

This paper uses a rotating panel of households to analyze wage differentials between public and private sectors in Brazil. Focusing on the transition of individuals between jobs available in the public and private sectors and controlling for individual time invariant characteristics, we find evidence of small wage differentials in favor of the public sector.

Corruption, income, and rule of law: empirical evidence from developing and developed economies

This article presents an empirical analysis based on cross-country data concerned with two points regarding corruption: (i) its effects on income; and (ii) how to mitigate corruption. The findings can be highlighted in two points. Firstly the idea that corruption is intrinsically connected with income is confirmed. Secondly, the traditional argument that an increase in rule of law represents a good strategy in the fight against corruption is valid for developing countries. Furthermore, this study reveals that the search for increasing the human development index represents a rule of thumb for high levels of income and to control corruption.

代微積拾級Dai wei ji shi ji.Loomis' Analytical Geometry and Differential and Integral Calculus.

Traduction de Wylie, rédigée par Li Shan lan ; préfaces Chinoises des deux traducteurs (1859) ; préface anglaise, écrite à Shang hai par A. Wylie (juillet 1859). Liste de termes techniques en anglais et en Chinois. Gravé à la maison Mo hai (1859).18 livres.

The acute effects of differential dietary fatty acids on PDHa activity in human skeletal muscle at the onset of exercise

Pyruvate dehydrogenase (PDH) is an important regulator of carbohydrate oxidation during exercise and its activity can be down-regulated by an increase in dietary fat. The purpose of this study was to determine the acute metabolic effects of differential dietary fatty acids on the activation of PDH in its active form (PDHa) at rest and at the onset of moderate-intensity exercise. University-aged male subjects (n=7) underwent 2 fat loading trials spaced at least 2 weeks apart. Subjects consumed saturated (SFA) or polyunsaturated (PUFA) fat over the course of 5 hours. Following this, participants cycled at 65% VO2 max for 15 min. Muscle biopsies were taken prior to and following fat loading and at 1 min exercise. Plasma free fatty acids increased from 0.15 ± 0.07 to 0.54 ± 0.19 mM over 5 hours with SFA and from 0.1 1 ± 0.04 to 0.35 ±0.13 mM with PUFA. PDHa activity was unchanged following fat loading, but increased at the onset of exercise in the SFA trial, from 1 .4 ± 0.4 to 2.2 ± 0.4 /xmol/min/kg wet wt. This effect was negated in the PUFA trial (1 .2 ± 0.3 to 1 .3 ± 0.3 pimol/min/kg wet wt.). PDH kinase (PDK) was unchanged in both trials, suggesting that the attenuation of PDHa activity with PUFA was a result of changes in the concentrations of intramitochondrial effectors, more specifically intramitochondrial NADH or Ca^*. Our findings suggest that attenuated PDHa activity participates in the preferential oxidation of PUFA during moderateintensity exercise.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Asymmetries of Influence: Differential Effects of Body Postures on Perceptions of Emotional Facial Expressions

The accuracy and speed with which emotional facial expressions are identified is influenced by body postures. Two influential models predict that these congruency effects will be largest when the emotion displayed in the face is similar to that displayed in the body: the emotional seed model and the dimensional model. These models differ in whether similarity is based on physical characteristics or underlying dimensions of valence and arousal. Using a 3- alternative forced-choice task in which stimuli were presented briefly (Exp 1a) or for an unlimited time (Exp 1b) we provide evidence that congruency effects are more complex than either model predicts; the effects are asymmetrical and cannot be accounted for by similarity alone. Fearful postures are especially influential when paired with facial expressions, but not when presented in a flanker task (Exp 2). We suggest refinements to each model that may account for our results and suggest that additional studies be conducted prior to drawing strong theoretical conclusions.

The Federal Empowerment Zone and Enterprise Community Program: Outcome on Labor Income.

Rapport de recherche

Capital Income Taxation, Depletion, Allowances and Non-Renewable Resource Extraction

Dans Cet Article, Nous Etudions les Distorsions Que Cause L'impot Sur le Revenu des Societes Dans le Profil de Production des Firmes Extractives et Dans L'allocation des Ressources Entre les Secteurs D'extraction et les Autres Secteurs Soumis a L'impot Sur les Societes. Nous Etudions En Particulier L'allocation D'epuisement, Dont Nous Montrons Qu'elle Peut Trouver Sa Justification, Non Pas a Assurer la Neutralite de L'impot, Mais En Permettant L'etablissement de Taux Effectifs D'imposition Identiques Dans les Secteurs D'extraction et Dans les Autres Secteurs.

Probe-level linear model fitting and mixture modeling results in high accuracy detection of differential gene expression

Affiliation: Institut de recherche en immunologie et en cancérologie, Université de Montréal

Five-year predictors of physical activity decline among adults in low-income communities: a prospective study

Affiliation: J. O'Loughlin: Department of Social and Preventive Medicine, Centre de recherche CHUM, Université de Montréal