Essays on regulation and risk

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.

Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade

O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

CAPM estendido para momentos superiores : um teste empírico

A inclusão de momentos superiores no apreçamento de ativos do modelo CAPM vem sendo bastante discutido nas últimas décadas. Esse trabalho realiza um teste empírico para o modelo CAPM estendido para os 3o e 4o momentos, no qual as assimetrias e curtoses dos ativos também são apreçadas. O teste foi realizado utilizando o Método Generalizado dos Momentos (MGM), em que todas as condições de momento derivam do modelo teórico. Os dados utilizados foram os retornos diários das ações mais negociadas na Bovespa entre 2004 e 2006.

Measuring core inflation as the common trend of prices

In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation which would respond only to "significant" changes in inflation. This paper defines a measure of core inflation as the common trend of prices in a multivariate dynamic model, that has, by construction, three properties: it filters idiosyncratic and transitory macro noises, and it leads the future leveI of headline inflation. We also show that the popular trimmed mean estimator of core inflation could be regarded as a proxy for the ideal GLS estimator for heteroskedastic data. We employ an asymmetric trimmed mean estimator to take account of possible skewness of the distribution, and we obtain an unconditional measure of core inflation.

On impatience, education, returns, and inequality

In this paper we investiga te the impact of initial wealth anel impatience heterogeneities, as wcll as differential access to financia! markets on povcrty anel inequality, anel cvaluate some mechanisms that could be used to alleviate situations in which these two issues are alarming. To address our qucstion we develop a dynamic stochastic general cquilibrium modo! of educational anel savings choicc with heterogeneous agents, where individuais differ in their initial wealth anel in their discount factor. We find that, in the long run, more patient households tend to be wealthier anel more educated. However, our baseline model is not able to give as much skewness to our income distribution as it is rcquircd. We then propose a novel returns structure based on empírica! observation of heterogeneous returns to different portfolios. This modification solves our previous problem, evidencing the importance of the changes made in explaining the existing levels of inequality. Finally, we introducc two kinds of cash transfers programs- one in which receiving thc benefit is conditional on educating the household's youngster (CCTS) anel one frec of conditionalities (CTS) - in order to evaluate the impact of these programs on the variables of concern1 Wc fine! that both policies have similar qualitativo rcsults. Quantitatively, howcvcr, the CCTS outperforms its unconclitional version in all fielcls analyzecl, revealing itself to be a preferable policy.

Avaliação da Qualidade da Água do rio Pitimbu

The Pitimbu River Basin is concern reason, therefore this is one of the mains freshwater sources for the Natal city supplying. The Pitimbu waters river flow into Jiqui pond, as the main supplier of this, that supplies 16% of Natal population and there is a bigger importance despite the supplying of a parcel of Natal city made joining underground waters with the water proceeding from the Jiqui pond, being used for dilution waters of contaminated wells with nitrate. Even with the importance of the Pitimbu, there is a strong pressure of occupation of its edge according to a critical urban growth, becoming the situation worse and increasing the necessity of management of the use and occupation of the ground and keeping the control of the prompt pollution, as punctual as diffuse. There are many studies about Pitimbu River Basin, however they summarize themselves to some months or even in a few years. This work, that gathers these information, increasing the amplitude and making possible an evaluation of the attitude of the water in a period extended for an evaluation of values of variable quality of water referring to the standards, that usually happens about the variable frequency distribution, central tendency and measures of dispersion, as the coefficient of variation, coefficient of skewness and the coefficient of determination of certain variable on another one. This work to evaluates the quality conditions of the Pitimbu river waters by analyzing thirty five (35) variables Physical, chemical and biological in eight (8) points of water course since 1993 to 2007. Given this situation, all knowledge about the waters quality conditions obtained in this work, is a strong subsidy for management of use and ground occupation, considering the river basin as territorial unit of management, and as the water is public good domain, being a priority human use, It is necessary to guarantee to current and the future generations available water resources in appropriate standards of quality as the established standard and identifying possible reasons of pollution through statistics analysis

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Distinção entre areias eolicas e praiais pele analise discriminante

Beach deposits occur in high energy environments with continual sorting by swash and backswash. The fines are removed by the backswash, which is not competent to remove the coarser material. Hence negative asymmetry (skewness) results. The wind transports only the finer fraction to the dunes, resulting in a tendency towards a positively skewed distribution. In the case studied the aeolian sand has a mean asymmetry of 0.13, the beach sand -0.11. Equivalent values for mean grain size and standard deviation are 2.51 and 0.24 (aeolian) and 2.41 and 0.37 (beach). Beach sands are therefore coarser and less well sorted than aeolian sands. -V.Gardiner

Using tree population size structures to assess the impacts of cattle grazing and eucalypts plantations in subtropical South America

To evaluate the effects of distinct management of the matrix in which forest fragments are found upon plant populations thriving in forest remnants in south Brazil, we assessed the conservation status of populations of four woody species (Campomanesia rhombea, Diospyros incontans, Myrciaria cuspidata and Sebastiania commersoniana) through analyses of size structure. Analyzes were carried out at two scales. At a local scale, we consider populations in fragments surrounded by pastures or eucalypts forest plantations, and at a regional scale we also consider larger forest tracts taken as reference areas (Rio Grande do Sul Forest Inventory databank). Population size structures were summarized using the symmetry of height distributions. Small individual size classes prevailed at the local scale in fragments surrounded by eucalypts plantations, whereas in areas exposed to cattle ranching, populations of the same species consistently lack small individuals. At the regional scale, populations in fragments surrounded by pastures presented greater skewness (prevalence of small plants) than populations in reference areas, while populations surrounded by eucalypts plantations presented intermediate skewness. These results reinforce the notion that plantations have a higher conservation value for forest ecosystems than other commercial land uses, like cattle ranching. © 2010 Springer Science+Business Media B.V.

Avaliação do tratamento ortodôntico precoce da classe II, 1ª divisão, subdivisão

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Mangrove sedimentary characteristics and implications for crab Ucides cordatus (Crustacea, Decapoda, Ucididae) distribution in an estuarine area of the Amazonian region

Na zona costeira, sedimentos, água e organismos interagem intensamente. Nas costas equatoriais dominadas por maré os manguezais são abundantes. Estas áreas são conhecidas por sua importância ecológica. No caso dos manguezais da costa atlântica da América do Sul o caranguejo-uçá Ucides cordatus (Linnaeus, 1763) se destaca por sua relevância ecológica e econômica, sendo que altas densidades deste organismo são encontradas na zona costeira amazônica. O presente estudo investiga a distribuição de sedimentos nos manguezais de Bragança (costa Amazônica, Brasil) e suas correlações com a vegetação e a distribuição do caranguejo-uçá. Quarenta e sete amostras de sedimento foram avaliadas, assim como caranguejos de 8 destas áreas foram coletados, onde o tipo dominante de vegetação foi também identificado. Os resultados demonstram que os sedimentos superficiais, assim como no extrato 0,8 a 1 m de profundidade, na área são principalmente compostos por silte (59%), incluindo em média 21% de areia e 20% de argila. O tipo de vegetação predominante foi significativamente correlacionado com a abundância e tamanho/peso dos caranguejos. As características sedimentares também foram substancialmente diferentes dependendo da vegetação. Áreas dominadas por Avicennia germinans tiveram mais areia e argila que as áreas dominadas por Rizophora mangle, onde a fração silte prevalece grandemente e os caranguejos eram significativamente maiores e mais abundantes. Os resultados demonstraram que sedimentos, invertebrados bentônicos e vegetação estão intimamente relacionados nos manguezais e devem ser estudados de maneira integrada.

Evidence for biological inheritance of the eosinophil response to internal parasites in southeastern Brazil

Uma amostra de 177 indivíduos pertencentes a 120 famílias nucleares, completas ou incompletas, de Bambui, Estado de Minas Gerais, sudeste do Brasil, foi estudada com o objetivo de apurar algumas das causas da variabilidade da taxa de eosinófilos em pessoas parasitadas por vermes intestinais com ciclo de vida extra-digestivo. A análise de segregação, aplicada aos dados sem correção para a assimetria, mostrou que a hipótese de um gene principal aditivo é consistente com os dados, enquanto que as hipóteses que supõem a ação de um gene dominante, de um gene recessivo ou ainda herança multifatorial não explicam, adequadamente, a significante agregação familial observada. A correção mais parcimoniosa para assimetria mostrou resultados semelhantes, mas não permitiu a distinção entre os modelos dominante e recessivo, embora permitisse a rejeição do modelo codominante. Considerando que esse modelo supõe ser a assimetria devida ao entrelaçamento de duas distribuições, esses resultados parecem concordar com aqueles obtidos quando os dados não foram corrigidos. Pode-se sugerir que o papel desempenhado por vários fatores genéticos independentes na resistência/suscetibilidade à infestação por helmintos seja determinado, principalmente, por suas capacidades de agir no estabelecimento de uma resposta eosinofílica.

Validação das escalas de preocupação com o peso corporal e de estresse percebido

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

Aquisição fonológica de fricativas por crianças com transtorno fonológico: uma investigação acústica

Pós-graduação em Estudos Linguísticos - IBILCE