Sistema poroso e capacidade de retenção de água em latossolo submetido a diferentes manejos de plantas invasoras em uma lavoura cafeeira

Os manejos de plantas invasoras em lavouras cafeeiras podem promover alterações estruturais que comprometem a capacidade do solo em infiltrar, distribuir, transmitir e reter água, em função da distribuição dos poros por tamanho. Nesse contexto, o objetivo deste estudo foi verificar a influência da adoção de diferentes manejos de plantas invasoras no sistema poroso e na capacidade de retenção de água em um Latossolo Vermelho distroférrico (LVdf), nas entrelinhas de uma lavoura cafeeira, em relação ao solo sob mata nativa. A área de estudo localiza-se na Fazenda Experimental da Epamig, em São Sebastião do Paraíso, região sul de Minas Gerais. O experimento foi instalado no ano de 1977 em blocos casualizados (DBC), com três repetições. Os seguintes manejos de plantas invasoras foram utilizados nas entrelinhas dos cafeeiros: sem capina (SCAP); capina manual (CAPM); herbicida de pósemergência (HPOS); roçadora (ROÇA); enxada rotativa (ENRT); grade (GRAD); e herbicida de pré-emergência (HPRE). Em dezembro de 2007, amostras de solo com estrutura indeformada foram coletadas aleatoriamente no centro das entrelinhas dos cafeeiros sob os diferentes manejos, nas profundidades de 0-3 cm, 10-13 cm e 25-28 cm, totalizando 315 amostras. Em uma mata nativa (MATA) sob LVdf, adjacente à área de estudo, foram coletadas 15 amostras adicionais por profundidade, as quais serviram de referência para os atributos avaliados. A partir da curva de retenção de água no solo, foi obtida a distribuição de poros por tamanho (macroporosidade: poros com diâmetro > 50 µm e microporosidade: poros com diâmetro < 50 µm), e o volume total de poros foi calculado pela equação [VTP = 1-(densidade do solo/ densidade de partículas)]. As principais alterações, tanto na curva de retenção de água como na distribuição de poros por tamanho, ocorreram na profundidade de 0-3 cm. Os extremos foram para o LVdf sob MATA e o solo sob lavoura cafeeira manejado com a GRAD e HPRE. Os demais sistemas de manejo proporcionaram ao LVdf valores intermediários das variáveis avaliadas.

Stock Market reaction to the CSR announcements of American fast food companies

The purpose of this study is to examine whether Corporate Social Responsibility (CSR) announcements of the three biggest American fast food companies (McDonald’s, YUM! Brands and Wendy’s) have any effect on their stock returns as well as on the returns of the industry index (Dow Jones Restaurants and Bars). The time period under consideration starts on 1st of May 2001 and ends on 17th of October 2013. The stock market reaction is tested with an event study utilizing CAPM. The research employs the daily stock returns of the companies, the index and the benchmarks (NASDAQ and NYSE). The test of combined announcements did not reveal any significant effect on the index and McDonald’s. However the stock returns of Wendy’s and YUM! Brands reacted negatively. Moreover, the company level analyses showed that to their own CSR releases McDonald’s stock returns respond positively, YUM! Brands reacts negatively and Wendy’s does not have any reaction. Plus, it was found that the competitors of the announcing company tend to react negatively to all the events. Furthermore, the division of the events into sustainability categories showed statistically significant negative reaction from the Index, McDonald’s and YUM! Brands towards social announcements. At the same time only the index was positively affected by to the economic and environmental CSR news releases.

Sijoittajien käyttäytyminen matalassa korkomarkkinassa

Tämän Pro gradu –tutkielman aiheena on tutkia sijoittajien käyttäytymistä matalassa korkomarkkinassa. Työssä tutkitaan, ovatko Kymenlaakson Osuuspankin Private –asiakkaat käyttäytyneet rahoituksen klassisen teorian mukaan rationaalisesti. Lisäksi tutkielmassa tutkitaan, ovat asiakkaat nostaneet sijoituksiensa riskitasojaan saadakseen korkeampia tuottoja riskittömän koron ollessa matalalla. Tutkielmassa tutkitaan myös, onko sijoittajien ankkurina riskitaso vai tuottotaso sekä onko naisten ja miesten välillä eroja. Tutkielman teoriapohjana käytetään perinteisiä rahoituksen teorioita, kuten CAPM-mallia, SML-käyrää, riskitöntä korkokantaa, markkinatehokkuutta sekä behavioristista taloustiedettä. Tutkimus on kvalitatiivinen ja sen empiirinen on kerätty haastattelulomakkeella Kymenlaakson Osuuspankin Private –asiakkailta. Johtopäätöksenä voidaan sanoa, etteivät tutkimukseen osallistuneet henkilöt olleet käyttäytyneet rationaalisesti. Sijoituksien riskitasoa oli nostettu ja miehet olivat nostaneet sijoituksien riskitasoa enemmän. Päätöksenteossa naisille oli hieman merkittävämpää sijoituksien riskitaso, kun taas miehille tärkeämpää oli tuottotaso. Kaikista vastaajista 51,8%:lle tuottotaso oli merkittävämpi tekijä.

Rahapeliyhtiöiden menestys Euroopan markkinoilla

Tutkielma avartaa Eurooppalaisten rahapeliyhtiöiden menestymistä vuosien 2001 ja 2014 välillä verraten menestymistä muihin Sin stocks yrityksiin sekä Euro Stoxx 50 indeksiin. Teoriaosuus keskustelee epäeettisiin yrityksiin kohdistuvista havainnoista sekä rahapelaamisen luonteesta pyrkien esittämään havaintoja, jotka vaikuttavat rahapeliyhtiöiden ja epäeettisten yritysten menestymiseen. Menestymistä tarkastellaan kolmen menestysmittarin: Sharpen ja Treynorin luvun sekä Jensenin alfan avulla.

Stability and predictive ability of beta

The purpose of this paper is to examine the stability and predictive abilities of the beta coefficients of individual equities in the Finnish stock market. As beta is widely used in several areas of finance, including risk management, asset pricing and performance evaluation among others, it is important to understand its characteristics and find out whether its estimates can be trusted and utilized.

Alhaisen volatiliteetin anomalia Suomen osakemarkkinoilla

Tutkielman tavoitteena on selvittää esiintyykö Suomen osakemarkkinoilla alhaisen volatiliteetin anomaliaa. Tutkielman tavoitteeseen vastataan työn empiirisessä osassa analysoimalla Suomen osakemarkkinoilla listattujen osakkeiden tuottoaikasarjoja. Tutkielmassa tarkastellaan myös finanssikriisin vaikutusta anomalian ilmenemiseen. Tutkimus sijoittuu aikavälille tammikuusta 2001 tammikuuhun 2015. Tutkielmassa muodostetaan portfolioita osakkeiden historiallisen volatiliteetin mukaan. Näiden portfolioiden menestymistä suhteessa markkinoihin arvioidaan absoluuttisten tuottojen, Sharpen luvun sekä Jensenin alfan avulla. Markkinaindekseinä käytetään OMXH CAP -indeksiä sekä tutkimusaineiston pohjalta muodostettua markkinaportfoliota. Kaikkein parhaimman absoluuttisen tuoton on saanut vuodesta 2001 vuoteen 2015 sijoittamalla keskiverron volatiliteetin osakkeisiin. Parhaan riskikorjatun tuoton on kuitenkin saavuttanut sijoittamalla alhaisen volatiliteetin osakkeisiin. Tutkielmassa löydetään todisteita alhaisen volatiliteetin anomalian esiintymisestä Suomen osakemarkkinoilla koko tutkimusaineisto huomioon ottaen. Tutkielman ehkä mielenkiintoisin löydös on kuitenkin huomio alhaisen volatiliteetin anomalian häviämisestä Suomen osakemarkkinoilta finanssikriisin jälkeen. Ennen finanssikriisiä esiintynyt erittäin vahva alhaisen volatiliteetin osakkeiden ylisuoriutuminen hävisi täysin finanssikriisin jälkeen. Toisin sanoen riskin ja tuoton suhde on kääntynyt päälaelleen finanssikriisin jälkeen, eikä alhaisen volatiliteetin anomaliaa voida enää sanoa esiintyvän.

Latent Variable Models for Stochastic Discount Factors.

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure, that is, a conditional independence between contemporaneous returns of a large number of assets, given a small number of factors, like in standard Factor Analysis. We provide this unifying analysis in the context of conditional equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables. We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals. We interpret various instantaneous causality relationships between state variables and market fundamentals as leverage effects and discuss their central role relative to the validity of standard CAPM-like stock pricing and preference-free option pricing.

Les déterminants des faillites bancaires dans les pays en développement: le cas des pays de l'Union économique et monétaire Ouest-africaine (UEMOA)

L’objectif de ce papier est de déterminer les facteurs susceptibles d’expliquer les faillites bancaires au sein de l’Union économique et monétaire ouest-africaine (UEMOA) entre 1980 et 1995. Utilisant le modèle logit conditionnel sur des données en panel, nos résultats montrent que les variables qui affectent positivement la probabilité de faire faillite des banques sont : i) le niveau d’endettement auprès de la banque centrale; ii) un faible niveau de comptes disponibles et à vue; iii) les portefeuilles d’effets commerciaux par rapport au total des crédits; iv) le faible montant des dépôts à terme de plus de 2 ans à 10 ans par rapport aux actifs totaux; et v) le ratio actifs liquides sur actifs totaux. En revanche, les variables qui contribuent positivement sur la vraisemblance de survie des banques sont les suivantes : i) le ratio capital sur actifs totaux; ii) les bénéfices nets par rapport aux actifs totaux; iii) le ratio crédit total sur actifs totaux; iv) les dépôts à terme à 2 ans par rapport aux actifs totaux; et v) le niveau des engagements sous forme de cautions et avals par rapport aux actifs totaux. Les ratios portefeuilles d’effets commerciaux et actifs liquides par rapport aux actifs totaux sont les variables qui expliquent la faillite des banques commerciales, alors que ce sont les dépôts à terme de plus de 2 ans à 10 ans qui sont à l’origine des faillites des banques de développement. Ces faillites ont été considérablement réduites par la création en 1989 de la commission de réglementation bancaire régionale. Dans l’UEMOA, seule la variable affectée au Sénégal semble contribuer positivement sur la probabilité de faire faillite.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995. Our empirical results reveal the following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such effects are much less prevalent once error cross-equation covariances are accounted for. In addition, significant departures from the i.i.d. hypothesis are less evident once we allow for non-Gaussian errors.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Identification, Weak Instruments and Statistical Inference in Econometrics

We discuss statistical inference problems associated with identification and testability in econometrics, and we emphasize the common nature of the two issues. After reviewing the relevant statistical notions, we consider in turn inference in nonparametric models and recent developments on weakly identified models (or weak instruments). We point out that many hypotheses, for which test procedures are commonly proposed, are not testable at all, while some frequently used econometric methods are fundamentally inappropriate for the models considered. Such situations lead to ill-defined statistical problems and are often associated with a misguided use of asymptotic distributional results. Concerning nonparametric hypotheses, we discuss three basic problems for which such difficulties occur: (1) testing a mean (or a moment) under (too) weak distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited number of parameters. Concerning weakly identified models, we stress that valid inference should be based on proper pivotal functions —a condition not satisfied by standard Wald-type methods based on standard errors — and we discuss recent developments in this field, mainly from the viewpoint of building valid tests and confidence sets. The techniques discussed include alternative proposed statistics, bounds, projection, split-sampling, conditioning, Monte Carlo tests. The possibility of deriving a finite-sample distributional theory, robustness to the presence of weak instruments, and robustness to the specification of a model for endogenous explanatory variables are stressed as important criteria assessing alternative procedures.