Mem��ria de longo prazo nos retornos acionistas dos ��ndices de refer��ncia da euronext, implica����es para a hip��tese de mercados eficientes e contributo fractal para aperfei��oamento do capital asset pricing model

N��o existe uma defini����o ��nica de processo de mem��ria de longo prazo. Esse processo �� geralmente definido como uma s��rie que possui um correlograma decaindo lentamente ou um espectro infinito de frequ��ncia zero. Tamb��m se refere que uma s��rie com tal propriedade �� caracterizada pela depend��ncia a longo prazo e por n��o peri��dicos ciclos longos, ou que essa caracter��stica descreve a estrutura de correla����o de uma s��rie de longos desfasamentos ou que �� convencionalmente expressa em termos do decl��nio da lei-pot��ncia da fun����o auto-covari��ncia. O interesse crescente da investiga����o internacional no aprofundamento do tema �� justificado pela procura de um melhor entendimento da natureza din��mica das s��ries temporais dos pre��os dos ativos financeiros. Em primeiro lugar, a falta de consist��ncia entre os resultados reclama novos estudos e a utiliza����o de v��rias metodologias complementares. Em segundo lugar, a confirma����o de processos de mem��ria longa tem implica����es relevantes ao n��vel da (1) modela����o te��rica e econom��trica (i.e., dos modelos martingale de pre��os e das regras t��cnicas de negocia����o), (2) dos testes estat��sticos aos modelos de equil��brio e avalia����o, (3) das decis��es ��timas de consumo / poupan��a e de portef��lio e (4) da medi����o de efici��ncia e racionalidade. Em terceiro lugar, ainda permanecem quest��es cient��ficas emp��ricas sobre a identifica����o do modelo geral te��rico de mercado mais adequado para modelar a difus��o das s��ries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investiga����o da disserta����o �� duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da mem��ria de longo prazo, debru��ando-se sobre o comportamento das s��ries di��rias de retornos dos principais ��ndices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfei��oamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hip��tese de mercado eficiente EMH na presen��a de s��ries financeiras com processos sem incrementos independentes e identicamente distribu��dos (i.i.d.). O estudo emp��rico indica a possibilidade de utiliza����o alternativa das obriga����es do tesouro (OT���s) com maturidade de longo prazo no c��lculo dos retornos do mercado, dado que o seu comportamento nos mercados de d��vida soberana reflete a confian��a dos investidores nas condi����es financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difus��o de pre��os definido pelo movimento Browniano geom��trico gBm alegue proporcionar um bom ajustamento das s��ries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independ��ncia das inova����es residuais s��o adulterados pelos dados emp��ricos analisados. Por isso, na procura de evid��ncias sobre a propriedade de mem��ria longa nos mercados recorre-se �� rescaled-range analysis R/S e �� detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracion��rio fBm, para estimar o expoente Hurst H em rela����o ��s s��ries de dados completas e para calcular o expoente Hurst ���local��� H t em janelas m��veis. Complementarmente, s��o realizados testes estat��sticos de hip��teses atrav��s do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclus��o ��nica a partir de todos os m��todos sobre a natureza da depend��ncia para o mercado acionista em geral, os resultados emp��ricos s��o inconclusivos. Isso quer dizer que o grau de mem��ria de longo prazo e, assim, qualquer classifica����o, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presen��a de mem��ria longa, sob a forma de persist��ncia, nos retornos acionistas da B��lgica, Holanda e Portugal. Isto sugere que estes mercados est��o mais sujeitos a maior previsibilidade (���efeito Jos�����), mas tamb��m a tend��ncias que podem ser inesperadamente interrompidas por descontinuidades (���efeito No�����), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evid��ncia de din��mica fractal ter suporte estat��stico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hip��tese de passeio aleat��rio com incrementos i.i.d., que �� a base da EMH na sua forma fraca. Atendendo a isso, prop��em-se contributos para aperfei��oamento do CAPM, atrav��s da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de mem��ria de longo prazo nos ��ndices acionistas, quer quando as s��ries de retornos seguem um processo i.i.d. n��o correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com depend��ncia estat��stica, descrito pelo fBm(em que H �� diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML �� que a medida de mem��ria de longo prazo, definida por H, �� a refer��ncia adequada para traduzir o risco em modelos que possam ser aplicados a s��ries de dados que sigam processos i.i.d. e processos com depend��ncia n��o linear. Ent��o, estas formula����es contemplam a EMH como um caso particular poss��vel.

Essays in higher moment asset pricing and liquidity risk

This thesis focuses on theoretical asset pricing models and their empirical applications. I aim to investigate the following noteworthy problems: i) if the relationship between asset prices and investors' propensities to gamble and to fear disaster is time varying, ii) if the conflicting evidence for the firm and market level skewness can be explained by downside risk, Hi) if costly learning drives liquidity risk. Moreover, empirical tests support the above assumptions and provide novel findings in asset pricing, investment decisions, and firms' funding liquidity. The first chapter considers a partial equilibrium model where investors have heterogeneous propensities to gamble and fear disaster. Skewness preference represents the desire to gamble, while kurtosis aversion represents fear of extreme returns. Using US data from 1988 to 2012, my model demonstrates that in bad times, risk aversion is higher, more people fear disaster, and fewer people gamble, in contrast to good times. This leads to a new empirical finding: gambling preference has a greater impact on asset prices during market downturns than during booms. The second chapter consists of two essays. The first essay introduces a foramula based on conditional CAPM for decomposing the market skewness. We find that the major market upward and downward movements can be well preadicted by the asymmetric comovement of betas, which is characterized by an indicator called "Systematic Downside Risk" (SDR). We find that SDR can efafectively forecast future stock market movements and we obtain out-of-sample R-squares (compared with a strategy using historical mean) of more than 2.27% with monthly data. The second essay reconciles a well-known empirical fact: aggregating positively skewed firm returns leads to negatively skewed market return. We reconcile this fact through firms' greater response to negative maraket news than positive market news. We also propose several market return predictors, such as downside idiosyncratic skewness. The third chapter studies the funding liquidity risk based on a general equialibrium model which features two agents: one entrepreneur and one external investor. Only the investor needs to acquire information to estimate the unobservable fundamentals driving the economic outputs. The novelty is that information acquisition is more costly in bad times than in good times, i.e. counter-cyclical information cost, as supported by previous empirical evidence. Later we show that liquidity risks are principally driven by costly learning. R��sum�� Cette th��se pr��sente des mod��les th��oriques d��valuation des actifs et leurs applications empiriques. Mon objectif est d'��tudier les probl��mes suivants: la relation entre l'��valuation des actifs et les tendances des investisseurs �� parier et �� crainadre le d��sastre varie selon le temps ; les indications contraires pour l'entreprise et l'asym��trie des niveaux de march�� peuvent ��tre expliqu��es par les risques de perte en cas de baisse; l'apprentissage co��teux augmente le risque de liquidit��. En outre, des tests empiriques confirment les suppositions ci-dessus et fournissent de nouvelles d��couvertes en ce qui concerne l'��valuation des actifs, les d��cisions relatives aux investissements et la liquidit�� de financement des entreprises. Le premier chapitre examine un mod��le d'��quilibre o�� les investisseurs ont des tendances h��t��rog��nes �� parier et �� craindre le d��sastre. La pr��f��rence asym��trique repr��sente le d��sir de parier, alors que le kurtosis d'aversion repr��sente la crainte du d��sastre. En utilisant les donn��es des Etats-Unis de 1988 �� 2012, mon mod��le d��montre que dans les mauvaises p��riodes, l'aversion du risque est plus grande, plus de gens craignent le d��sastre et moins de gens parient, conatrairement aux bonnes p��riodes. Ceci m��ne �� une nouvelle d��couverte empirique: la pr��f��rence relative au pari a un plus grand impact sur les ��valuations des actifs durant les ralentissements de march�� que durant les booms ��conomiques. Exploitant uniquement cette relation g��n��rera un revenu exc��dentaire annuel de 7,74% qui n'est pas expliqu�� par les mod��les factoriels populaires. Le second chapitre comprend deux essais. Le premier essai introduit une foramule base sur le CAPM conditionnel pour d��composer l'asym��trie du march��. Nous avons d��couvert que les mouvements de hausses et de baisses majeures du march�� peuvent ��tre pr��dits par les mouvements communs des b��tas. Un inadicateur appel�� Systematic Downside Risk, SDR (risque de ralentissement syst��matique) est cr���� pour caract��riser cette asym��trie dans les mouvements communs des b��tas. Nous avons d��couvert que le risque de ralentissement syst��matique peut pr��voir les prochains mouvements des march��s boursiers de mani��re efficace, et nous obtenons des carr��s R hors ��chantillon (compar��s avec une strat��gie utilisant des moyens historiques) de plus de 2,272% avec des donn��es mensuelles. Un investisseur qui ��value le march�� en utilisant le risque de ralentissement syst��matique aurait obtenu une forte hausse du ratio de 0,206. Le second essai fait cadrer un fait empirique bien connu dans l'asym��trie des niveaux de march et d'entreprise, le total des revenus des entreprises positiveament asym��triques conduit �� un revenu de march�� n��gativement asym��trique. Nous d��composons l'asym��trie des revenus du march�� au niveau de l'entreprise et faisons cadrer ce fait par une plus grande r��action des entreprises aux nouvelles n��gatives du march�� qu'aux nouvelles positives du march��. Cette d��composition r��v��l�� plusieurs variables de revenus de march�� efficaces tels que l'asym��trie caract��ristique pond��r��e par la volatilit�� ainsi que l'asym��trie caract��ristique de ralentissement. Le troisi��me chapitre fournit une nouvelle base th��orique pour les probl��mes de liquidit�� qui varient selon le temps au sein d'un environnement de march�� incomplet. Nous proposons un mod��le d'��quilibre g��n��ral avec deux agents: un entrepreneur et un investisseur externe. Seul l'investisseur a besoin de connaitre le v��ritable ��tat de l'entreprise, par cons��quent, les informations de paiement coutent de l'argent. La nouveaut�� est que l'acquisition de l'information coute plus cher durant les mauvaises p��riodes que durant les bonnes p��riodes, comme cela a ��t�� confirm�� par de pr��c��dentes exp��riences. Lorsque la r��cession comamence, l'apprentissage co��teux fait augmenter les primes de liquidit�� causant un probl��me d'��vaporation de liquidit��, comme cela a ��t�� aussi confirm�� par de pr��c��dentes exp��riences.

Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het��erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un��certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. R��sum�� Cette th��se se compose de quatre essais dans l'��valuation des actifs d'��quilibre. Le sujet principal est l'h��t��rog��n��it�� des investisseurs: J'��tudie les implications d'��quilibre pour les march��s financiers o�� les investisseurs ont des attitudes diff��rentes face au risque. Le premi��re chapitre ��tudie pourquoi attendus risque et la r��mun��ration sur le march�� global sont li��es n��gativement, m��me si l'intuition et la th��orie standard sugg��rent une relation positive. Je montre que le compromis n��gatif peut obtenir en ��quilibre si les croyances des investisseurs sur les fondamentaux ��conomiques sont procyclique biais��es et le ratio de Sharpe du march�� est anticyclique. Je v��rifier que ces conditions sont r��alis��es dans les march��s r��els et je trouve un appui empirique �� la dynamique risque-rendement pr��dites par le mod��le. Le deuxi��me chapitre se compose de deux essais. Le premi��re essai ��tudie com��ment h��t��rog��n��it�� dans les pr��f��rences de risque inter agit avec d'autres sources d'h��t��rog��n��it�� et comment cela affecte les prix des actifs en ��quilibre. Utili��sation de l'incertitude macro��conomique per�� comme source d'h��t��rog��n��it��, le mod��le permet d'expliquer certaines tendances de rendements financiers, m��me si l'h��t��rog��n��it�� est faible comme sugg��r�� par les donn��es d'enqu��te. Le deuxi��me essai d��termine des conditions telles que les prix d'��quilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques h��t��rog��nes et les fondamentaux macro��conomiques disposent d'incertitude latente. Cette approche fournit un ��clairage suppl��mentaire �� la litt��rature ant��rieure o�� les mod��les n��cessitent des solutions num��riques. Le troisi��me chapitre ��tudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque d��croissante avec l'horizon, mme si les mod��les standards impliquent la forme oppos��e. Je montre que les relations de travail contribue �� expliquer l'��nigme. Lorsque les travailleurs ont le pouvoir de n��gociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqu��s que dans une ��conomie standard. Risque de r��partition entre les travailleurs et les actionnaires fournit une justification �� le risque �� court terme, ce qui conduit �� des term-structures en pente descendante des primes et des risques pour les equity-claims.

Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

A unifying approach to the empirical evaluation of asset pricing models

Two main approaches are commonly used to empirically evaluate linear factor pricingmodels: regression and SDF methods, with centred and uncentred versions of the latter.We show that unlike standard two-step or iterated GMM procedures, single-step estimatorssuch as continuously updated GMM yield numerically identical values for prices of risk,pricing errors, Jensen s alphas and overidentifying restrictions tests irrespective of the modelvalidity. Therefore, there is arguably a single approach regardless of the factors being tradedor not, or the use of excess or gross returns. We illustrate our results by revisiting Lustigand Verdelhan s (2007) empirical analysis of currency returns.

Keeping up with the Joneses: An international asset pricing model

We derive an international asset pricing model that assumes local investorshave preferences of the type "keeping up with the Joneses." In aninternational setting investors compare their current wealth with that oftheir peers who live in the same country. In the process of inferring thecountry's average wealth, investors incorporate information from the domesticmarket portfolio. In equilibrium, this gives rise to a multifactor CAPMwhere, together with the world market price of risk, there existscountry-speciffic prices of risk associated with deviations from thecountry's average wealth level. The model performs signifficantly better, interms of explaining cross-section of returns, than the international CAPM.Moreover, the results are robust, both for conditional and unconditionaltests, to the inclusion of currency risk, macroeconomic sources of risk andthe Fama and French HML factor.

Asset pricing implications of benchmarking: A two-factor CAPM

In this paper we consider the equilibrium effects of an institutionalinvestor whose performance is benchmarked to an index. In a partialequilibrium setting, the objective of the institutional investor is modeledas the maximization of expected utility (an increasing and concave function,in order to accommodate risk aversion) of final wealth minus a benchmark.In equilibrium this optimal strategy gives rise to the two-beta CAPM inBrennan (1993): together with the market beta a new risk-factor (that wecall active management risk) is brought into the analysis. This new betais deffined as the normalized (to the benchmark's variance) covariancebetween the asset excess return and the excess return of the market overthe benchmark index. Different to Brennan, the empirical test supports themodel's predictions. The cross-section return on the active management riskis positive and signifficant especially after 1990, when institutionalinvestors have become the representative agent of the market.

Asset pricing with idiosyncratic risk and overlapping generations

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in these models have been difficult to distinguish from those associated with a complete markets model, the counterfactual features of which have been widely documented. This paper asks if life cycle considerations, in conjunction with persistent idiosyncratic shocks which become more volatile during aggregate downturns, can reconcile the quantitative properties of the competitive asset pricing framework with those of observed asset returns. We begin by arguing that data from the Panel Study on Income Dynamics support the plausibility of such a shock process. Our estimates suggest a high degree of persistence as well as a substantial increase in idiosyncratic conditional volatility coincident with periods of low growth in U.S. GNP. When these factors are incorporated in a stationary overlapping generations framework, the implications for the returns on risky assets are substantial. Plausible parameterizations of our economy are able to generate Sharpe ratios which match those observed in U.S. data. Our economy cannot, however, account for the level of variability of stock returns, owing in large part to the specification of its production technology.

Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.