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.

Wavelet shrinkage: High frequency multipath reduction from GPS relative positioning

The wavelet transform is used to reduce the high frequency multipath of pseudorange and carrier phase GPS double differences (DDs). This transform decomposes the DD signal, thus separating the high frequencies due to multipath effects. After the decomposition, the wavelet shrinkage is performed by thresholding to eliminate the high frequency component. Then the signal can be reconstructed without the high frequency component. We show how to choose the best threshold. Although the high frequency multipath is not the main multipath error component, its correction provides improvements of about 30% in pseudorange average residuals and 24% in carrier phases. The results also show that the ambiguity solutions become more reliable after correcting the high frequency multipath.

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%).

Stochastic modelling considering ionospheric scintillation effects on GNSS relative and point positioning

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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.

GPS Satellite Kinematic Relative Positioning: Analyzing and Improving the Functional Mathematical Model Using Wavelets

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

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)

Yield, chemical composition and chlorophyll relative content of Tanzania and Mombaça grasses irrigated and fertilized with nitrogen after corn intercropping

Avaliou-se o efeito da ausência e da aplicação de três doses de nitrogênio (50, 100 e 200 kg ha-1 de N) e quatro épocas de corte no inverno/primavera (julho a outubro) sobre a produtividade de massa seca (PMS), os teores relativos de clorofila (ICF _ índice de clorofila foliar) e os teores de nutrientes digestíveis totais (NDT), proteína bruta (PB), fibra em detergente neutro (FDN), fibra em detergente ácido (FDA) e lignina, bem como suas respectivas correlações nos capins tanzânia e mombaça após o consórcio com milho em um Latossolo Vermelho distroférrico. O delineamento experimental utilizado foi o de blocos casualizados, em parcelas subdivididas, com quatro repetições. As maiores PMS ocorreram com o aumento do fotoperíodo (a partir de agosto), no entanto, as respostas à adubação nitrogenada ao longo dos cortes diferiram entre e dentre os capins. em sistema de integração lavoura-pecuária irrigado sob condições de cerrado, é tecnicamente viável o estabelecimento dos capins tanzânia e mombaça em consórcio com o milho no momento da semeadura ou por ocasião da adubação nitrogenada de cobertura, visto que, mesmo na ausência de adubação nitrogenada, foi produzida quantidade satisfatória de forragem, com PMS média de 2.000 kg ha-1 por corte na época de maior escassez de volumoso para os animais (inverno/primavera). A adubação nitrogenada após a colheita do milho eleva a PMS e melhora a composição bromatológica dos capins, com aumento dos teores relativos de clorofila e PB no inverno/primavera, além de aumento dos teores de NDT e redução dos teores de FDN e FDA até o mês de setembro. O índice de clorofila foliar pode ser utilizado para estimar a PMS e o teor de PB, bem como indicar a necessidade de adubação nitrogenada dos capins tanzânia e mombaça submetidos a corte.