Active versus passive management : the case of BOVESPA

Mestrado em Finanças

A eficiência técnica dos portos e terminais públicos e privados brasileiros marítimos no período de 2010 a 2014

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Tecnologia, Departamento de Engenharia Civil e Ambiental, 2016.

Does financial news predict stock returns? New evidence from Islamic and Non-Islamic stocks

The paper extends the time-series financial news data set constructed by Garcia (2013) and uses it to examine whether financial news predicts returns of Islamic stocks differently compared to non-Islamic (conventional) stocks. We find that they do. First, while both positive and negative worded news predict most Islamic and conventional stock returns, positive words have a larger impact on both types of stock returns. Second, shock to returns from financial news reverses only in part for some stocks. Third, for a mean-variance investor, investing in Islamic stocks is relatively more profitable than investing in the corresponding conventional stocks. Fourth, we show that profits are robust to a range of time-series risk factors, namely, market risk, size-based risk, and momentum-induced risk.

Stock return predictability and determinants of predictability and profits

We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time-varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing.

Price discovery and asset pricing

This paper tests the hypothesis that price discovery influences asset pricing. Our innovations are twofold. First, we estimate time-varying price discovery for a large number (21) of Islamic stock portfolios. Second, we test using a predictive regression model whether or not price discovery predicts stock excess returns. We find from both in-sample and out-of-sample tests that all 21 portfolio excess returns are predictable. We show that a mean-variance investor by tracking price discovery is able to devise profitable trading strategies.

Synthetic control chart for monitoring the pprocess mean and variance

In this article, we consider the synthetic control chart with two-stage sampling (SyTS chart) to control the process mean and variance. During the first stage, one item of the sample is inspected; if its value X, is close to the target value of the process mean, then the sampling is interrupted. Otherwise, the sampling goes on to the second stage, where the remaining items are inspected and the statistic T = Sigma [x(i) - mu(0) + xi sigma(0)](2) is computed taking into account all items of the sample. The design parameter is function of X-1. When the statistic T is larger than a specified value, the sample is classified as nonconforming. According to the synthetic procedure, the signal is based on Conforming Run Length (CRL). The CRL is the number of samples taken from the process since the previous nonconforming sample until the occurrence of the next nonconforming sample. If the CRL is sufficiently small, then a signal is generated. A comparative study shows that the SyTS chart and the joint X and S charts with double sampling are very similar in performance. However, from the practical viewpoint, the SyTS chart is more convenient to administer than the joint charts.

X charts with supplementary samples to control the mean and variance

A standard X chart for controlling a process takes regular individual observations, for instance every half hour. This article proposes a modification of the X chart that allows one to take supplementary samples. The supplementary sample is taken (and the (X) over bar and R values computed) when the current value of X falls outside the control limits. With the supplementary sample, the signal of out-of-control is given by an (X) over bar value outside the (X) over bar chart's control limits or an R value outside the R chart's control limit. The proposed chart is designed to hold the supplementary sample frequency, during the in-control period, as low as 5% or less. In this context, the practitioner might prefer to verify an out-of-control condition by simply comparing the (X) over bar and R values with the control limits. In other words, without plotting the (X) over bar and R points. The X chart with supplementary samples has two major advantages when compared with the standard (X) over bar and A charts: (a) the user will be plotting X values instead of (X) over bar and R values; (b) the shifts in the process mean and/or changes in the process variance are detected faster.

Monitoring the process mean and variance using a synthetic control chart with two-stage testing

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Genetic Control of Residual Variance for Teat Number in Pigs

The genetic improvement in litter size in pigs has been substantial during the last 10-15 years. The number of teats on the sow must increase as well to meet the needs of the piglets, because each piglet needs access to its own teat. We applied a genetic heterogeneity model on teat numberin sows, and estimated medium-high heritability for teat number (0.5), but low heritability for residual variance (0.05), indicating that selection for reduced variance might have very limited effect. A numerically positive correlation (0.8) between additive genetic breeding values for mean and for variance was found, but because of the low heritability for residual variance, the variance will increase very slowly with the mean.

An adaptive chart for monitoring the process mean and variance

Traditionally, an (X) over bar chart is used to control the process mean and an R chart is used to control the process variance. However, these charts are not sensitive to small changes in the process parameters. The adaptive ($) over bar and R charts might be considered if the aim is to detect small disturbances. Due to the statistical character of the joint (X) over bar and R charts with fixed or adaptive parameters, they are not reliable in identifing the nature of the disturbance, whether it is one that shifts the process mean, increases the process variance, or leads to a combination of both effects. In practice, the speed with which the control charts detect process changes may be more important than their ability in identifying the nature of the change. Under these circumstances, it seems to be advantageous to consider a single chart, based on only one statistic, to simultaneously monitor the process mean and variance. In this paper, we propose the adaptive non-central chi-square statistic chart. This new chart is more effective than the adaptive (X) over bar and R charts in detecting disturbances that shift the process mean, increase the process variance, or lead to a combination of both effects. Copyright (c) 2006 John Wiley & Sons, Ltd.

Virtual fencing applications : Implementing and testing an automated cattle control system

Managing livestock movement in extensive systems has environmental and production benefits. Currently permanent wire fencing is used to control cattle; this is both expensive and inflexible. Cattle are known to respond to auditory and visual cues and we investigated whether these can be used to manipulate their behaviour. Twenty-five Belmont Red steers with a mean live weight of 270kg were each randomly assigned to one of five treatments. Treatments consisted of a combination of cues (audio, tactile and visual stimuli) and consequence (electrical stimulation). The treatments were electrical stimulation alone, audio plus electrical stimulation, vibration plus electrical stimulation, light plus electrical stimulation and electrified electric fence (6kV) plus electrical stimulation. Cue stimuli were administered for 3s followed immediately by electrical stimulation (consequence) of 1kV for 1s. The experiment tested the operational efficacy of an on-animal control or virtual fencing system. A collar-halter device was designed to carry the electronics, batteries and equipment providing the stimuli, including audio, vibration, light and electrical of a prototype virtual fencing device. Cattle were allowed to travel along a 40m alley to a group of peers and feed while their rate of travel and response to the stimuli were recorded. The prototype virtual fencing system was successful in modifying the behaviour of the cattle. The rate of travel of cattle along the alley demonstrated the large variability in behavioural response associated with tactile, visual and audible cues. The experiment demonstrated virtual fencing has potential for controlling cattle in extensive grazing systems. However, larger numbers of cattle need to be tested to derive a better understanding of the behavioural variance. Further controlled experimental work is also necessary to quantify the interaction between cues, consequences and cattle learning.

Mean and variance of estimates of the bispectrum of a harmonic random process-an analysis including leakage effects

Analytical expressions are derived for the mean and variance, of estimates of the bispectrum of a real-time series assuming a cosinusoidal model. The effects of spectral leakage, inherent in discrete Fourier transform operation when the modes present in the signal have a nonintegral number of wavelengths in the record, are included in the analysis. A single phase-coupled triad of modes can cause the bispectrum to have a nonzero mean value over the entire region of computation owing to leakage. The variance of bispectral estimates in the presence of leakage has contributions from individual modes and from triads of phase-coupled modes. Time-domain windowing reduces the leakage. The theoretical expressions for the mean and variance of bispectral estimates are derived in terms of a function dependent on an arbitrary symmetric time-domain window applied to the record. the number of data, and the statistics of the phase coupling among triads of modes. The theoretical results are verified by numerical simulations for simple test cases and applied to laboratory data to examine phase coupling in a hypothesis testing framework

Brownian particles in stationary and moving traps: The mean and variance of the heat distribution function

A recent theoretical model developed by Imparato et al. Phys of the experimentally measured heat and work effects produced by the thermal fluctuations of single micron-sized polystyrene beads in stationary and moving optical traps has proved to be quite successful in rationalizing the observed experimental data. The model, based on the overdamped Brownian dynamics of a particle in a harmonic potential that moves at a constant speed under a time-dependent force, is used to obtain an approximate expression for the distribution of the heat dissipated by the particle at long times. In this paper, we generalize the above model to consider particle dynamics in the presence of colored noise, without passing to the overdamped limit, as a way of modeling experimental situations in which the fluctuations of the medium exhibit long-lived temporal correlations, of the kind characteristic of polymeric solutions, for instance, or of similar viscoelastic fluids. Although we have not been able to find an expression for the heat distribution itself, we do obtain exact expressions for its mean and variance, both for the static and for the moving trap cases. These moments are valid for arbitrary times and they also hold in the inertial regime, but they reduce exactly to the results of Imparato et al. in appropriate limits. DOI: 10.1103/PhysRevE.80.011118 PACS.

Control of Mean and Fluctuating Forces on a Circular Cylinder at High Reynolds Numbers

A narrow strip is used to control mean and fluctuating forces on a circular cylinder at Reynolds numbers from 2.0 x 10(4) to 1.0 x 10(5). The axes of the strip and cylinder are parallel. The control parameters are strip width ratio and strip position characterized by angle of attack and distance from the cylinder. Wind tunnel tests show that the vortex shedding from both sides of the cylinder can be suppressed, and mean drag and fluctuating lift on the cylinder can be reduced if the strip is installed in an effective zone downstream of the cylinder. A phenomenon of mono-side vortex shedding is found. The strip-induced local changes of velocity profiles in the near wake of the cylinder are measured, and the relation between base suction and peak value in the power spectrum of fluctuating lift is studied. The control mechanism is then discussed from different points of view.