A stochastic discount factor approach to asset pricing using panel data asymptotics

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences. The techniques discussed in this paper were applied to two relevant issues in macroeconomics and finance: the first asks what type of parametric preference-representation could be validated by asset-return data, and the second asks whether or not our SDF estimator can price returns in an out-of-sample forecasting exercise. In formal testing, we cannot reject standard preference specifications used in the macro/finance literature. Estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically equal to unity. We also show that our SDF proxy can price reasonably well the returns of stocks with a higher capitalization level, whereas it shows some difficulty in pricing stocks with a lower level of capitalization.

Asset pricing when risk sharing is limited by default: a theoretical framework

We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy constraints are such as to prevent default -at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, alld compare it with the one for economies without participation constraints : interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.

A pricing model for sovereign bonde

Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. The results show a fundamental pricing model for sovereign bond and an optimum relation between the debt size, term, mix between floating and fixed interest payments, and size of reserves. The model is tested with a Brazilian BradyBond.

Do equity and foreign currency risk premiums display common patterns?

In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing I\Iodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

A influência da alavancagem financeira na construção do custo de capital próprio: um estudo voltado para o mercado brasileiro

No contexto do Capital Asset Pricing Model (CAPM), este trabalho investiga a significância da alavancagem financeira na construção do risco sistemático. Testamos com dados brasileiros o procedimento de desalavancagem e realavancagem do beta comumente realizado por analistas financeiros para a construção do custo de capital próprio de empresas não negociadas em bolsa de valores. Os resultados apontam que a inclusão do tax shield na fórmula de desalavancagem/realavancagem e a utilização de valores de mercado produzem resultados mais robustos, ao passo que as divisões por setores possuem pouca capacidade como segmentadores de classe de risco sistemático.

An Improved Design Procedure for LCC Resonant Filter of Dimmable Electronic Ballasts for Fluorescent Lamps, Based on Lamp Model

This paper presents an improved design methodology for determining the parameters used in the classical Series-Parallel Loaded Resonant (SPLR) filter employed in the switching frequency controlled dimmable electronic ballasts. According to the analysis developed in this paper, it is possible to evaluate some characteristics of the resonant filter during the dimming process, such as: range of switching frequency, phase shift and rms value of the current drained by the resonant filter + fluorescent lamp set.

An improved design procedure for LCC resonant filter of dimmable electronic ballasts for fluorescent lamps, based on lamp model

This paper presents an improved design methodology for the determination of the parameters used in the classical series-resonant parallel-loaded (SRPL) filter employed in the switching frequency controlled dimmable electronic ballasts. According to the analysis developed in this paper, it is possible to evaluate some important characteristics of the resonant filter during the dimming operation, such as: range of switching frequency, phase shift, and rms value of the current drained by the resonant filter + fluorescent lamp set. Experimental results are presented in order to validate the analyses developed in this paper. © 2005 IEEE.

Estimativa do custo médio ponderado de capital em produtos agrícolas

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Atlas-Based Segmentation of Brain Tumor Images Using a Markov Random Field-Based Tumor Growth Model and Non-Rigid Registration

We propose a new and clinically oriented approach to perform atlas-based segmentation of brain tumor images. A mesh-free method is used to model tumor-induced soft tissue deformations in a healthy brain atlas image with subsequent registration of the modified atlas to a pathologic patient image. The atlas is seeded with a tumor position prior and tumor growth simulating the tumor mass effect is performed with the aim of improving the registration accuracy in case of patients with space-occupying lesions. We perform tests on 2D axial slices of five different patient data sets and show that the approach gives good results for the segmentation of white matter, grey matter, cerebrospinal fluid and the tumor.

Mesh-based vs. Image-based Statistical Appearance Model of the Human Femur: a Preliminary Comparison Study for the Creation of Finite Element Meshes

Statistical models have been recently introduced in computational orthopaedics to investigate the bone mechanical properties across several populations. A fundamental aspect for the construction of statistical models concerns the establishment of accurate anatomical correspondences among the objects of the training dataset. Various methods have been proposed to solve this problem such as mesh morphing or image registration algorithms. The objective of this study is to compare a mesh-based and an image-based statistical appearance model approaches for the creation of nite element(FE) meshes. A computer tomography (CT) dataset of 157 human left femurs was used for the comparison. For each approach, 30 finite element meshes were generated with the models. The quality of the obtained FE meshes was evaluated in terms of volume, size and shape of the elements. Results showed that the quality of the meshes obtained with the image-based approach was higher than the quality of the mesh-based approach. Future studies are required to evaluate the impact of this finding on the final mechanical simulations.

Isolated development of inner (wall) caries like lesions in a bacterial-based in vitro model

The study conducted in a bacterial-based in vitro caries model aimed to determine whether typical inner secondary caries lesions can be detected at cavity walls of restorations with selected gap widths when the development of outer lesions is inhibited. Sixty bovine tooth specimens were randomly assigned to the following groups: test group 50 (TG50; gap, 50 microm), test group 100 (TG100; gap, 100 microm), test group 250 (TG250; gap, 250 microm) and a control group (CG; gap, 250 microm). The outer tooth surface of the test group specimens was covered with an acid-resistant varnish to inhibit the development of an outer caries lesion. After incubation in the caries model, the area of demineralization at the cavity wall was determined by confocal laser scanning microscopy. All test group specimens demonstrated only wall lesions. The CG specimens developed outer and wall lesions. The TG250 specimens showed significantly less wall lesion area compared to the CG (p < 0.05). In the test groups, a statistically significant increase (p < 0.05) in lesion area could be detected in enamel between TG50 and TG250 and in dentine between TG50 and TG100. In conclusion, the inner wall lesions of secondary caries can develop without the presence of outer lesions and therefore can be regarded as an entity on their own. The extent of independently developed wall lesions increased with gap width in the present setting.