Investor sentiment and the cross-section of stock returns in the French stock market

Dissertação de mestrado em Finanças

Comparative advantage and the cross-section of business cycles

Business cycles are both less volatile and more synchronized with the world cycle in rich countries than in poor ones. We develop two alternative explanations based on the idea that comparative advantage causes rich countries to specialize in industries that use new technologies operated by skilled workers, while poor countries specialize in industries that use traditional technologies operated by unskilled workers. Since new technologies are difficult to imitate, the industries of rich countries enjoy more market power and face more inelastic product demands than those of poor countries. Since skilled workers are less likely to exit employment as a result of changes in economic conditions, industries in rich countries face more inelastic labour supplies than those of poor countries. We show that either asymmetry in industry characteristics can generate cross-country differences in business cycles that resemble those we observe in the data.

Commodity risks and the cross-section of equity returns

The article examines whether commodity risk is priced in the cross-section of global equity returns. We employ a long-only equally-weighted portfolio of commodity futures and a term structure portfolio that captures phases of backwardation and contango as mimicking portfolios for commodity risk. We find that equity-sorted portfolios with greater sensitivities to the excess returns of the backwardation and contango portfolio command higher average excess returns, suggesting that when measured appropriately, commodity risk is pervasive in stocks. Our conclusions are robust to the addition to the pricing model of financial, macroeconomic and business cycle-based risk factors.

Controlling the absorption and emission properties of polyparaphenylenevinylene films

In this work we used the conversion process of a precursor polymer into polyparaphenylenevinylene (PPV) at low temperatures in order to control the effective conjugation degree of spin-casted PPV films. The absorption and emission spectra of the films were studied by following a partial substitution of chloride counterions from poly(xylylidene tetrahydrothiophenium chloride) (PTHT), used as a precursor, by sodium acid dodecyl benzenesulfonate (DBS), added as a surfactant salt. Upon controlling the DBS amount and conversion temperature (T-c) of PTHT/DBS to PPV films, the band gap of PPV changed from 409 to 506 nm, and 505 to 532 nm, values obtained from absorbance and emission measurements, respectively. Based on these experimental data, we proposed a physical model which represents the chemical structure of PPV as a distribution of conjugated chain segments (like oligomers) alternated by non-conjugated segments (structural defects and/or from the precursor polymer). (C) 2008 Elsevier B.V. All rights reserved.

Absorption and emission properties of LBL PPV films deposited on ITO electrodes

In this work we studied the properties of absorption and emission line shape of layer-by-layer (LBL) poly(p-phenylene vinylene) (PPV) on indium-tin oxide (ITO) electrode. To minimize the PPV thermal conversion effects during the polymer processing, we used a less aggressive leaving group in the precursor polymer; minimizing electrode degradation. LBL ITO/PPV films showed the same absorption and emission line shape compared with LBL PPV films deposited on non-metallic substrates (glass). With this analysis we indirectly observe the decrease in the ITO degradation. Atomic force microscopy (AFM) technique was used to analyze quantitatively the microscopic morphology of the film surface. Results indicated that the substrate topology is not affected, to a large extent, by the use of dodecylbenzensulfonate (DBS) ion. (C) 2008 Elsevier B.V. All rights reserved.

Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Absorption and emission spectroscopic parameters of Nd3+ and Eu3+ ions in their hexamethylphosphoramide complexes

Syntheses of the following complexes are reported: LnX3·6L, LnX′3·4L, LnX″3·3L and Eu(NCS)3·3L, where Ln = Nd3+, Eu3+; L = hexamethylphosphoramide (hmpa); X = ClO4 -, PF6 -; X′ = NCS-, NO3 -, Br-, ClO4 -; X″=Cl-. Spectra of the complexes of Nd3+ (absorption) and Eu3+ (emission) in dichloromethane solutions were measured. The oscillator strengths of the Nd3+ f-f absorption bands within the 11 000-30 000 cm-1 region were determined and the τλ intensity parameters were obtained according to the Judd-Ofelt formalism. Covalency parameters were also determined for the Nd3+ complexes. The intensities relationship η21 of the 5D0→7F2 and 5D0→7F1 transitions of the Eu3+ was calculated. A good correlation between τ2 and the oscillator strength of the hypersensitive band of Nd3+ was found, as well as a correlation between τ2 and η21. There are only qualitative relations between τ2 and the covalency parameter. © 1991.

Characterization of Buriti (Mauritia flexuosa L.) oil by absorption and emission spectroscopies

Amostras de óleo obtido do fruto do Buriti (Mauritia flexuosa L.) foram caracterizadas por espectroscopia de absorção e emissão. O espectro de absorção foi obtido no intervalo de 300 a 2000 nm, enquanto o espectro de emissão foi analisado entre 400 e 800 nm, onde observamos várias bandas. Para melhor entender a complexidade destes espectros, também obtivemos os espectros de absorção e emissão dos componentes majoritários do óleo de Buriti. Correlacionando estes dados, apresentamos uma discussão sobre a origem das bandas observadas.

Bibliography of low energy electron and photon cross section data (through December 1974) /

Includes index.

Bibliography of low energy electron and photon cross section data, (January 1975 through December 1977) /

Includes indexes.

Index and annotated bibliography of range and stopping cross section data /

Includes bibliographical references (p. 43-68).

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

Consumption Risk and the Cross-Section of Government Bond Returns

Peer reviewed

Compositional influence on spectroscopic properties of Yb3+ doped tellurite glasses

Spectroscopic properties of ytterbium-doped tellurile glasses with different compositions are reported. Results of linear refractive index, absorption and emission spectra, and fluorescence lifetimes are presented. The studied samples present high refractive index (∼2.0) and large transmission window (380-6000nm). Absorption and emission cross-sections are calculated as well as the minimum pump laser intensity. The results are compared with the values of other laser materials, in order to investigate applications as laser media in the infrared region.