The Capm and Fama-French models in Brazil: a comparative study

This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano.

Generalized linear mixed models for the genetic evaluation of binary reproductive traits: a simulation study

The objective of this study was to evaluate the use of probit and logit link functions for the genetic evaluation of early pregnancy using simulated data. The following simulation/analysis structures were constructed: logit/logit, logit/probit, probit/logit, and probit/probit. The percentages of precocious females were 5, 10, 15, 20, 25 and 30% and were adjusted based on a change in the mean of the latent variable. The parametric heritability (h²) was 0.40. Simulation and genetic evaluation were implemented in the R software. Heritability estimates (ĥ²) were compared with h² using the mean squared error. Pearson correlations between predicted and true breeding values and the percentage of coincidence between true and predicted ranking, considering the 10% of bulls with the highest breeding values (TOP10) were calculated. The mean ĥ² values were under- and overestimated for all percentages of precocious females when logit/probit and probit/logit models used. In addition, the mean squared errors of these models were high when compared with those obtained with the probit/probit and logit/logit models. Considering ĥ², probit/probit and logit/logit were also superior to logit/probit and probit/logit, providing values close to the parametric heritability. Logit/probit and probit/logit presented low Pearson correlations, whereas the correlations obtained with probit/probit and logit/logit ranged from moderate to high. With respect to the TOP10 bulls, logit/probit and probit/logit presented much lower percentages than probit/probit and logit/logit. The genetic parameter estimates and predictions of breeding values of the animals obtained with the logit/logit and probit/probit models were similar. In contrast, the results obtained with probit/logit and logit/probit were not satisfactory. There is need to compare the estimation and prediction ability of logit and probit link functions.

A theoretical study on cytosine tautomers in aqueous media by using continuum models

B3LYP/6-31 + + G** and MP2/6-31 + + G** calculations have been carried out to study six tautomers of the nucleic acid base cytosine in aqueous media. Solvent effects have been analyzed using the self-consistent reaction field theory with two continuum methods. Relative stabilities and optimized geometries have been calculated for the tautomers and compared with experimental data. The present results show the importance of electrostatic solvent effects in determining observable properties of the cytosine tautomers. The amino-oxo form (C1) is the most abundant tautomer in aqueous media while the other amino-oxo form (C4) is the most energetically favored when solvent effects are included. These results can be justified by the larger values of the dipole moments for both C1 and C4 tautomers. Theoretical and experimental results of the harmonic vibrational frequencies and rotational constants show good agreement. (C) 2000 Elsevier B.V. B.V. All rights reserved.

Comparison between univariate and bivariate geostatistical models for estimating catch per unit of effort (cpue): A simulation study

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Models Hosts for the Study of Oral Candidiasis

Oral candidiasis is an opportunistic infection caused by yeast of the Candida genus, primarily Candida albicans. It is generally associated with predisposing factors such as the use of immunosuppressive agents, antibiotics, prostheses, and xerostomia. The development of research in animal models is extremely important for understanding the nature of the fungal pathogenicity, host interactions, and treatment of oral mucosa! Candida infections. Many oral candidiasis models in rats and mice have been developed with antibiotic administration, induction of xerostomia, treatment with immunosuppressive agents, or the use of germ-free animals, and all these models has both benefits and limitations. Over the past decade, invertebrate model hosts, including Galleria mellonella, Caenorhanditis elegans, and Drosophila melanogaster, have been used for the study of Candida pathogenesis. These invertebrate systems offer a number of advantages over mammalian vertebrate models, predominantly because they allow the study of strain collections without the ethical considerations associated with studies in mammals. Thus, the invertebrate models may be useful to understanding of pathogenicity of Candida isolates from the oral cavity, interactions of oral microorganisms, and study of new antifungal compounds for oral candidiasis.

Mini-implant and Nance button for initial retraction of maxillary canines: a prospective study in cast models

OBJETIVO: a ancoragem óssea é fundamental para o sucesso do tratamento de algumas más oclusões, pois permite a aplicação de forças contínuas, diminui o tempo de tratamento e independe da colaboração do paciente. MÉTODOS: o propósito desse trabalho foi comparar, por meio de modelos dentários, a perda de ancoragem após a retração inicial de caninos superiores entre dois grupos. O grupo A utilizou o mini-implante enquanto o grupo B utilizou o Botão de Nance. Para todos os pacientes foram realizados dois modelos (M1 e M2). Os primeiros modelos foram realizados ao início (M1), e os outros ao final da retração inicial de canino (M2). RESULTADOS: todas as medidas foram tabuladas e submetidas à análise estatística. Para verificar o erro sistemático intraexaminador foi utilizado o teste t pareado. Na determinação do erro casual utilizou-se o cálculo de erro proposto por Dahlberg. Para comparação entre as fases Início e Após, foi utilizado o teste t pareado. Para a comparação entre os grupos de mini-implante e Botão de Nance, foi utilizado o teste t de Student para medidas independentes. em todos os testes foi adotado nível de significância de 5% (p<0,05). CONCLUSÃO: ao se medir e comparar em modelos dentários a perda de ancoragem dos molares após a retração inicial de canino utilizando-se dois sistemas de ancoragem distintos (Mini-implante e Botão de Nance), pôde-se observar a inexistência de diferença estatisticamente significativa entre os dois grupos.

An ab initio study of oxygen vacancies and doping process of Nb and Cr atoms on TiO2 (110) surface models

We theoretically investigated how the formation of oxygen vacancies and the addition of niobium and chromium atoms as dopants modify the varistor properties of TiO2. The calculations were carried out at the HF level using a contracted basis set, developed by Huzinaga et al.. to represent the atomic centers on the (110) surface for the large (TiO2)(15) cluster model. The change of the values for the net atomic charges and band gap after oxygen vacancy formation and the presence of dopants in the lattice are analyzed and discussed. It is shown that the formation of oxygen vacancies decreases the band gap while an opposite effect is found when dopants are located in the reduced surface. The theoretical results are compared with available experimental data. A plausible explanation of the varistor behavior of this system is proposed. (C) 1997 John Wiley & Sons, Inc.

Skin and pulmonary models using coated bentonite particles for the study of the inflammation evoked by Paracoccidioides brasiliensis antigens in previously immunized mice

Bentonite particles coated with polysaccharide antigen or crude soluble antigen of Paracoccidioides brasiliensis were injected intradermally or intravenously in mice. In control animals that were not pre-immunized with P. brasiliensis antigens, coated and uncoated bentonite caused minimal and nonspecific inflammation around the cutaneous injection site or around the bentonite thrombi in small lung vessels after intravenous injection. However, in mice previously immunized with P. brasiliensis antigens, the coated bentonite particles boosted the humoral and cellular immune responses to P. brasiliensis and evoked intense inflammatory reactions. Twelve days after intradermal injection, the inflammatory reaction around the bentonite was rich in neutrophils, macrophages, lymphocytes and plasma cells associated with young granulation tissue. In intravenously injected mice, the pulmonary inflammation was maximal at day 2, and was characterized by a florid neutrophilic and macrophagic cellular infiltration around bentonite thrombi; in some foci, there was incipient organization to mature granuloma. However, in both models, there was no formation of epithelioid granulomata, demonstrating that in paracoccidioidomycosis cellular immunity alone, without the presence of intact micro-organisms, may not be enough for the development of this type of granuloma.

Study of biosorption of rare earth metals (La, Nd, Eu, Gd) by Sargassum sp. biomass in batch systems: Physicochemical evaluation of kinetics and adsorption models

This work evaluated kinetic and adsorption physicochemical models for the biosorption process of lanthanum, neodymium, europium, and gadolinium by Sargassum sp. in batch systems. The results showed: (a) the pseudo-second order kinetic model was the best approximation for the experimental data with the metal adsorption initial velocity parameter in 0.042-0.055 mmol.g -1.min-1 (La < Nd < Gd < Eu); (b) the Langmuir adsorption model presented adequate correlation with maximum metal uptake at 0.60-0.70 mmol g-1 (Eu < La < Gd < Nd) and the metal-biomass affinity parameter showed distinct values (Gd < Nd < Eu < La: 183.1, 192.5, 678.3, and 837.3 L g-1, respectively); and (c) preliminarily, the kinetics and adsorption evaluation did not reveal a well-defined metal selectivity behavior for the RE biosorption in Sargassum sp., but they indicate a possible partition among RE studied. © (2009) Trans Tech Publications.

Mean surface temperature prediction models for broiler chickens-a study of sensible heat flow

Body surface temperature can be used to evaluate thermal equilibrium in animals. The bodies of broiler chickens, like those of all birds, are partially covered by feathers. Thus, the heat flow at the boundary layer between broilers' bodies and the environment differs between feathered and featherless areas. The aim of this investigation was to use linear regression models incorporating environmental parameters and age to predict the surface temperatures of the feathered and featherless areas of broiler chickens. The trial was conducted in a climate chamber, and 576 broilers were distributed in two groups. In the first trial, 288 broilers were monitored after exposure to comfortable or stressful conditions during a 6-week rearing period. Another 288 broilers were measured under the same conditions to test the predictive power of the models. Sensible heat flow was calculated, and for the regions covered by feathers, sensible heat flow was predicted based on the estimated surface temperatures. The surface temperatures of the feathered and featherless areas can be predicted based on air, black globe or operative temperatures. According to the sensible heat flow model, the broilers' ability to maintain thermal equilibrium by convection and radiation decreased during the rearing period. Sensible heat flow estimated based on estimated surface temperatures can be used to predict animal responses to comfortable and stressful conditions. © 2013 ISB.

Green-Markov models - new optimization strategies: a case study for user allocation in co-channel macro/femto networks

ABSTRACT: The femtocell concept aims to combine fixed-line broadband access with mobile telephony using the deployment of low-cost, low-power third and fourth generation base stations in the subscribers' homes. While the self-configuration of femtocells is a plus, it can limit the quality of service (QoS) for the users and reduce the efficiency of the network, based on outdated allocation parameters such as signal power level. To this end, this paper presents a proposal for optimized allocation of users on a co-channel macro-femto network, that enable self-configuration and public access, aiming to maximize the quality of service of applications and using more efficiently the available energy, seeking the concept of Green networking. Thus, when the user needs to connect to make a voice or a data call, the mobile phone has to decide which network to connect, using the information of number of connections, the QoS parameters (packet loss and throughput) and the signal power level of each network. For this purpose, the system is modeled as a Markov Decision Process, which is formulated to obtain an optimal policy that can be applied on the mobile phone. The policy created is flexible, allowing different analyzes, and adaptive to the specific characteristics defined by the telephone company. The results show that compared to traditional QoS approaches, the policy proposed here can improve energy efficiency by up to 10%.

Use of mathematical models in the study of bodily growth in GIFT strain Nile tilapia

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Hydropower recovery in water supply systems: Models and case study

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)