Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the “pure” RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.

Board of directors and top management team: a study on CEO relative power and financial return

Best corporate governance practices published in the primers of Brazilian Securities and Exchange Commission and the Brazilian Corporate Governance Institute promote board independence as much as possible, as a way to increase the effectiveness of governance mechanism (Sanzovo, 2010). Therefore, this paper aims at understanding if what the managerial literature portraits as being self-evident - stricter governance, better performance - can be observed in actual evidence. The question answered is: do companies with a stricter control and monitoring system perform better than others? The method applied in this paper consists on comparing 116 companies in respect to the their independence level between top management team and board directors– being that measured by four parameters, namely, the percentage of independent outsiders in the board, the separation of CEO and chairman, the adoption of contingent compensation and the percentage of institutional investors in the ownership structure – and their financial return measured in terms return on assets (ROA) from the latest Quarterly Earnings release of 2012. From the 534 companies listed in the Stock Exchange of Sao Paulo – Bovespa – 116 were selected due to their level of corporate governance. The title “Novo Mercado” refers to the superior level of governance level within companies listed in Bovespa, as they have to follow specific criteria to assure shareholders ´protection (BM&F, 2011). Regression analyses were conducted in order to reveal the correlation level between two selected variables. The results from the regression analysis were the following: the correlation between each parameter and ROA was 10.26%; the second regression analysis conducted measured the correlation between the independence level of top management team vis-à-vis board directors – namely, CEO relative power - and ROA, leading to a multiple R of 5.45%. Understanding that the scale is a simplification of the reality, the second part of the analysis transforms all the four parameters into dummy variables, excluding what could be called as an arbitrary scale. The ultimate result from this paper led to a multiple R of 28.44%, which implies that the combination of the variables are still not enough to translate the complex reality of organizations. Nonetheless, an important finding can be taken from this paper: two variables (percentage of outside directors and percentage of institutional investor ownership) are significant in the regression, with p-value lower than 10% and with negative coefficients. In other words, counter affirming what the literature very often portraits as being self-evident – stricter governance leads to higher performance – this paper has provided evidences to believe that the increase in the formal governance structure trough outside directors in the board and ownership by institutional investor might actually lead to worse performance. The section limitations and suggestions for future researches presents some reasons explaining why, although supported by strong theoretical background, this paper faced some challenging methodological assumptions, precluding categorical statements about the level of governance – measured by four selected parameters – and the financial return in terms of financial on assets.

Changes in test scores distribution for students of the fourth grade in Brazil: a relative distribution analysis for the years 1997 to 2005

To assess the quality of school education, much of educational research is concerned with comparisons of test scores means or medians. In this paper, we shift this focus and explore test scores data by addressing some often neglected questions. In the case of Brazil, the mean of test scores in Math for students of the fourth grade has declined approximately 0,2 standard deviation in the late 1990s. But what about changes in the distribution of scores? It is unclear whether the decline was caused by deterioration in student performance in upper and/or lower tails of the distribution. To answer this question, we propose the use of the relative distribution method developed by Handcock and Morris (1999). The advantage of this methodology is that it compares two distributions of test scores data through a single distribution and synthesizes all the differences between them. Moreover, it is possible to decompose the total difference between two distributions in a level effect (changes in median) and shape effect (changes in shape of the distribution). We find that the decline of average-test scores is mainly caused by a worsening in the position of all students throughout the distribution of scores and is not only specific to any quantile of distribution.

Brazilian Federal Universities : relative efficiency evaluation and data envelopment analysis

The papers aims at considering the issue of relative efficiency measurement in the context of the public sector. In particular, we consider the efficiency measurement approach provided by Data Envelopment Analysis (DEA). The application considered the main Brazilian federal universities for the year of 1994. Given the large number of inputs and outputs, this paper advances the idea of using factor analysis to explore common dimensions in the data set. Such procedure made possible a meaningful application of DEA, which finally provided a set of efficiency scores for the universities considered .

Relative abundance and population biology of the non-indigenous crab Charybdis hellerii (Crustacea: Brachyura: Portunidae) in a southwestern Atlantic estuary-bay complex

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Relative potency of ketamine and S(+)-ketamine in dogs

The aim of this study was to determine the relative potency of racemic ketamine and S(+)-ketamine for the hypnotic effect and to evaluate the clinical anesthesia produced by equianesthetic doses of these two substances in dogs. One hundred and eight dogs were allocated in groups R2, R2.5, R3, R6, R9, R12, S2, S2.5, S3, S6, S9, and S12, to receive by intravenous route 2, 2.5, 3, 6, 9, and 12 mg/kg of ketamine or S(+)-ketamine, respectively. A dose-effect curve was drawn with the dose logarithm and the percentage of dogs that presented hypnosis in each group. The curve was used to obtain a linear regression, to determine the effective doses 100 and the potency relationship. In another experimental phase, eight groups of five dogs received 3, 6, 9 and 12 mg/kg of ketamine or S(+)-ketamine to evaluate the periods of latency, hypnosis, and total recovery. The times in which the dogs reached the sternal position, attempted to stand up for the first time, recovered the standing position, and started to walk were also recorded. The hypnotic dose for ketamine was 9.82 +/- 3.02 (6.86-16.5) mg/kg and for S(+)-ketamine was 7.76 +/- 2.17 (5.86-11.5) mg/kg. The time of hypnosis was longer in R3 and the first attempt to stand up occurred early in R6 when compared with S3 and S6 respectively. When R9 (100% of hypnosis with ketamine) and S6 [100% of hypnosis with S(+)-ketamine] were compared (1:1.5 ratio), the time to sternal position (12 +/- 2.5 and 20.2 +/- 5.6 min respectively) and the total recovery time (45 +/- 5.5 and 60.2 +/- 5.2 min respectively) were significantly shorter with S(+)-ketamine. It was concluded that the potency ratio between ketamine and S(+)-ketamine in dogs is smaller than the one reported in other species, and that the dose obtained after a reduction of 50%, as usually performed in humans, would not be enough to obtain equianesthetic effects in dogs.

Relative development of tissues, commercial meat cuts and live weight components in Saanen goats

Objetivando avaliar o desenvolvimento relativo dos componentes do peso vivo (PV), dos cortes comerciais e dos tecidos da carcaça, utilizaram-se 40 cabritos Saanen. Os animais foram abatidos ao atingir 5,0; 12,5; 20,0; 27,5 e 35,0 kg de PV e a carcaça foi seccionada em paleta, pescoço, 1ª a 5ª costelas, 6ª a 13ª costelas, peito/fralda, lombo e perna. A perna foi dissecada em ossos, músculos e gordura. Utilizou-se a equação alométrica Y=aXb para estimar o desenvolvimento relativo. O crescimento do tecido ósseo foi precoce, o do tecido muscular intermediário e o da gordura crescimento tardio, uma vez que a gordura subcutânea é depositada mais tardiamente. Os cortes comerciais apresentaram coeficiente de alometria isogônico, com exceção do corte da 6ª a 13ª costelas e do peito/fralda. O desenvolvimento da carcaça e dos não-componentes da carcaça acompanhou o peso de corpo vazio. Cabritos com 35 kg de PV possuem proporção de músculos e relação músculo:osso adequadas, mas apresentam proporção de gordura maior que a observada nos animais abatidos com 20 kg de PV.

Integration of a regional GPS network within ITRF using precise point positioning

GPS precise point positioning (PPP) can provide high precision 3-D coordinates. Combined pseudorange and carrier phase observables, precise ephemeris and satellite clock corrections, together with data from dual frequency receivers, are the key factors for providing such levels of precision (few centimeters). In general, results obtained from PPP are referenced to an arbitrary reference frame, realized from a previous free network adjustment, in which satellite state vectors, station coordinates and other biases are estimated together. In order to obtain consistent results, the coordinates have to be transformed to the relevant reference frame and the appropriate daily transformation parameters must be available. Furthermore, the coordinates have to be mapped to a chosen reference epoch. If a velocity field is not available, an appropriated model, such as NNR-NUVEL-IA, has to be used. The quality of the results provided by this approach was evaluated using data from the Brazilian Network for Continuous Monitoring of the Global Positioning System (RBMC), which was processed using GIPSY-OASIS 11 software. The results obtained were compared to SIRGAS 1995.4 and ITRF2000, and reached precision better than 2cm. A description of the fundamentals of the PPP approach and its application in the integration of regional GPS networks with ITRF is the main purpose of this paper.

Analysis of relative humidity sensors at the WMO Radiosonde intercomparison experiment in Brazil

The quality of the vertical distribution measurements of humidity in the atmosphere is very important in meteorology due to the crucial role that water vapor plays in the earth's energy budget. The radiosonde is the humidity measurement device that provides the best vertical resolution. Also, radiosondes are the operational devices that are used to measure the vertical profile of atmospheric water vapor. The World Meteorological Organization (WMO) has carried out several intercomparison experiments at different climatic zones in order to identify the differences between the available commercial sensors. This article presents the results of an experiment that was carried out in Brazil in 2001 in which major commercial radiosonde manufacturers [e.g., Graw Radiosondes GmbH & Co., KG (Germany); MODEM (France); InterMet Systems (United States); Sippican, Inc. (United States); and Vaisala (Finland)] were involved. One of the main goals of this experiment was to evaluate the performance of the different humidity sensors in a tropical region. This evaluation was performed for different atmospheric layers and distinct periods of the day. It also considers the computation of the integrated water vapor (IWV). The results showed that the humidity measurements achieved by the different sensors were quite similar in the low troposphere (the bias median value regarding the RS80 was around 1.8%) and were quite dispersed in the superior layers (the median rms regarding the RS80 was around 14.9%).

GPS/VRS positioning using atmospheric modeling

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Higher order ionospheric effects in GNSS positioning in the European region

After removal of the Selective Availability in 2000, the ionosphere became the dominant error source for Global Navigation Satellite Systems (GNSS), especially for the high-accuracy (cm-mm) demanding applications like the Precise Point Positioning (PPP) and Real Time Kinematic (RTK) positioning.The common practice of eliminating the ionospheric error, e. g. by the ionosphere free (IF) observable, which is a linear combination of observables on two frequencies such as GPS L1 and L2, accounts for about 99% of the total ionospheric effect, known as the first order ionospheric effect (Ion1). The remaining 1% residual range errors (RREs) in the IF observable are due to the higher - second and third, order ionospheric effects, Ion2 and Ion3, respectively. Both terms are related with the electron content along the signal path; moreover Ion2 term is associated with the influence of the geomagnetic field on the ionospheric refractive index and Ion3 with the ray bending effect of the ionosphere, which can cause significant deviation in the ray trajectory (due to strong electron density gradients in the ionosphere) such that the error contribution of Ion3 can exceed that of Ion2 (Kim and Tinin, 2007).The higher order error terms do not cancel out in the (first order) ionospherically corrected observable and as such, when not accounted for, they can degrade the accuracy of GNSS positioning, depending on the level of the solar activity and geomagnetic and ionospheric conditions (Hoque and Jakowski, 2007). Simulation results from early 1990s show that Ion2 and Ion3 would contribute to the ionospheric error budget by less than 1% of the Ion1 term at GPS frequencies (Datta-Barua et al., 2008). Although the IF observable may provide sufficient accuracy for most GNSS applications, Ion2 and Ion3 need to be considered for higher accuracy demanding applications especially at times of higher solar activity.This paper investigates the higher order ionospheric effects (Ion2 and Ion3, however excluding the ray bending effects associated with Ion3) in the European region in the GNSS positioning considering the precise point positioning (PPP) method. For this purpose observations from four European stations were considered. These observations were taken in four time intervals corresponding to various geophysical conditions: the active and quiet periods of the solar cycle, 2001 and 2006, respectively, excluding the effects of disturbances in the geomagnetic field (i.e. geomagnetic storms), as well as the years of 2001 and 2003, this time including the impact of geomagnetic disturbances. The program RINEX_HO (Marques et al., 2011) was used to calculate the magnitudes of Ion2 and Ion3 on the range measurements as well as the total electron content (TEC) observed on each receiver-satellite link. The program also corrects the GPS observation files for Ion2 and Ion3; thereafter it is possible to perform PPP with both the original and corrected GPS observation files to analyze the impact of the higher order ionospheric error terms excluding the ray bending effect which may become significant especially at low elevation angles (Ioannides and Strangeways, 2002) on the estimated station coordinates.

Aujstamento de redes GPS em conformidade com as exigências da Lei 10.267/2001

In Brazil, there have been several GPS applications and with the introduction of the Law 10.267/2001 that among other dispositions, deals with georeferencing of the rural parcels. However, most commercial softwares of processing and adjustment of GPS data don't let users to evaluate their results in a reliable way. For example, the constraints are normally used as absolute, which provides results with very optimists precisions. The adoption of additional analyses and the implementation of softwares can reduce these kinds of problems. Thus, a software for adjustment of GPS networks was developed, aiming at assisting the requirements of the Law 10.267/2001 in a reliable way. In this context, in this work it is analyzed the adjustments of GPS networks, by using absolute and relative constraints. In the latter, the adjustments were accomplished considering and not considering the correlations among the coordinate positions.

Comparison of Two Methodologies for CD4+T Lymphocytes Relative Counting on Immune Monitoring of Patients with Human Immunodeficiency Virus

Considering that counting the percentage of CD4 T lymphocytes can add prognostic information regarding patients infected with HIV, the aim of this study was to evaluate the percentage values of CD4+ T lymphocytes from 81 patients determined by flow cytometry and estimated by flow cytometry in conjunction with a hematology counter. Means were compared through the Student's t-test. Pearson's correlation was determined, and the agreement between results was tested by Bland-Altman. The level of significance was P < 0.05. It was found a significantly higher mean difference between the relative values of CD4+ T lymphocytes to the hematologic counter (P < 0.05), for all strata studied. Positive and significant correlations (P < 0.01) were found between the strata CD4 < 200 cells/mL (r = 0.93), between 200 and 500 cells/mL (r = 0.65), and >500 cells/mL (r = 0.81). The limits of agreement were 1.0 +/- 3.8% for the stratum of CD4 < 200 cells/mL, approximately 2.2 +/- 13.5% for the stratum of CD4 between 200 and 500 cells/mL, and approximately 6.2 +/- 20.4% for the stratum > 500 cells/mL. The differences in the percentages of CD4+ T lymphocytes obtained by different methodologies could lead to conflict when used in clinical decisions related to the treatment and care of people infected with HIV.

Measurement of the relative sweetness of stevia extract, aspartame and cyclamate/saccharin blend as compared to sucrose at different concentrations

Special diets are used to mitigate many human diseases. When these diets require changes in carbohydrate content, then sweetness becomes an important characteristic. The range of low-calorie sweeteners available to the food industry is expanding. It is essential to have an exact knowledge of the relative sweetness of various sweeteners in relation to different sucrose concentrations. The objective of this study was to determine the variation on the relative sweetness of aspartame (APM), stevia [Stevia rebaudiana (Bert.) Bertoni] leaf extract (SrB) and the mixture cyclamate/saccharin - two parts of cyclamate and one part of saccharin - (C/S) with the increase in their concentrations, and in neutral and acid pH in equi-sweet concentration to 10% sucrose, using magnitude estimation. Sweetness equivalence of SrB in relation to sucrose concentrations of 20% or higher and of APM and C/S to sucrose concentrations of 40% or higher could not be determined, because a bitter taste predominated. The potency of all sweeteners decreased as the level of sweetner increased. In equi-sweet concentration of sucrose at 10%, with pH 7.0 and pH 3.0, the potency was practically the same for all sweeteners evaluated.

Relative growth, morphological sexual maturity, and size of Macrobrachium amazonicum (Heller 1862) (Crustacea, Decapoda, Palaemonidae) in a population with an entirely freshwater life cycle

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)