Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

The tight grip of a debt based global economy: A study on banking regulation and the implementation of the Basel II Accord in Portugal

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Exposure to radio-frequency electromagnetic fields from broadcast transmitters and risk of childhood cancer: a census-based cohort study.

We investigated the association between exposure to radio-frequency electromagnetic fields (RF-EMFs) from broadcast transmitters and childhood cancer. First, we conducted a time-to-event analysis including children under age 16 years living in Switzerland on December 5, 2000. Follow-up lasted until December 31, 2008. Second, all children living in Switzerland for some time between 1985 and 2008 were included in an incidence density cohort. RF-EMF exposure from broadcast transmitters was modeled. Based on 997 cancer cases, adjusted hazard ratios in the time-to-event analysis for the highest exposure category (>0.2 V/m) as compared with the reference category (<0.05 V/m) were 1.03 (95% confidence interval (CI): 0.74, 1.43) for all cancers, 0.55 (95% CI: 0.26, 1.19) for childhood leukemia, and 1.68 (95% CI: 0.98, 2.91) for childhood central nervous system (CNS) tumors. Results of the incidence density analysis, based on 4,246 cancer cases, were similar for all types of cancer and leukemia but did not indicate a CNS tumor risk (incidence rate ratio = 1.03, 95% CI: 0.73, 1.46). This large census-based cohort study did not suggest an association between predicted RF-EMF exposure from broadcasting and childhood leukemia. Results for CNS tumors were less consistent, but the most comprehensive analysis did not suggest an association.

Financial Slack and Bidding Firms’ Takeover Announcement Stock Returns – an Event Study

Despite the fact that the literature on mergers and acquisitions is extensive, relatively little effort has been made to examine the relationship between the acquiring firms’ financial slack and short-term post-takeover announcement abnormal stock returns. In this study, the case is made that the financial slack of a firm is not only an outcome of past business and financing activities but it also may affect the quality of acquisition decisions. We will hypothesize that the level of financial slack in a firm is negatively associated with the abnormal returns following acquisition announcements because slack reduces managerial discipline over the use of corporate funds and also because it may give rise to managerial self-serving behavior. In this study, financial slack is measured in terms of three financial statements ratios: leverage ratio, cash and equivalents to total assets ratio and free cash flow to total assets ratio. The data used in this paper is collected from two main sources. A list comprising 90 European acquisition announcements is retrieved from Thomson One Banker database. The stock price data and financial statements information for the respective firms is collected using Datastream. Our empirical analysis is two-fold. First, we conduct a two-sample t-test where we find that the most slack-rich firms experience lower abnormal returns than the most slack-poor firms in the event window [-1, +1], significant at 5% risk level. Second, we perform a cross sectional regression for sample firms using three financial statements ratios to explain cumulative abnormal returns (CAR). We find that leverage shows a statistically significant positive relationship with cumulative abnormal returns in event window [-1; +1] (significance 5%). Moreover, cash to total assets ratio showed a weak negative relationship with CAR (significant at 10%) in event window [-1; +1]. We conclude that our hypothesis for the inverse relationship between slack and abnormal returns receives empirical support. Based on the results of the event study we get empirical support for the hypothesis that the capital markets expect the acquisitions undertaken by slack-rich firms to more likely be driven by managerial self-serving behavior and hubris than do those undertaken by slackpoor firms, signaling possible agency problems and behavioral biases.

Statistical analysis of survey-based event history data with application to modeling of unemployment duration

Longitudinal surveys are increasingly used to collect event history data on person-specific processes such as transitions between labour market states. Surveybased event history data pose a number of challenges for statistical analysis. These challenges include survey errors due to sampling, non-response, attrition and measurement. This study deals with non-response, attrition and measurement errors in event history data and the bias caused by them in event history analysis. The study also discusses some choices faced by a researcher using longitudinal survey data for event history analysis and demonstrates their effects. These choices include, whether a design-based or a model-based approach is taken, which subset of data to use and, if a design-based approach is taken, which weights to use. The study takes advantage of the possibility to use combined longitudinal survey register data. The Finnish subset of European Community Household Panel (FI ECHP) survey for waves 1–5 were linked at person-level with longitudinal register data. Unemployment spells were used as study variables of interest. Lastly, a simulation study was conducted in order to assess the statistical properties of the Inverse Probability of Censoring Weighting (IPCW) method in a survey data context. The study shows how combined longitudinal survey register data can be used to analyse and compare the non-response and attrition processes, test the missingness mechanism type and estimate the size of bias due to non-response and attrition. In our empirical analysis, initial non-response turned out to be a more important source of bias than attrition. Reported unemployment spells were subject to seam effects, omissions, and, to a lesser extent, overreporting. The use of proxy interviews tended to cause spell omissions. An often-ignored phenomenon classification error in reported spell outcomes, was also found in the data. Neither the Missing At Random (MAR) assumption about non-response and attrition mechanisms, nor the classical assumptions about measurement errors, turned out to be valid. Both measurement errors in spell durations and spell outcomes were found to cause bias in estimates from event history models. Low measurement accuracy affected the estimates of baseline hazard most. The design-based estimates based on data from respondents to all waves of interest and weighted by the last wave weights displayed the largest bias. Using all the available data, including the spells by attriters until the time of attrition, helped to reduce attrition bias. Lastly, the simulation study showed that the IPCW correction to design weights reduces bias due to dependent censoring in design-based Kaplan-Meier and Cox proportional hazard model estimators. The study discusses implications of the results for survey organisations collecting event history data, researchers using surveys for event history analysis, and researchers who develop methods to correct for non-sampling biases in event history data.

The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies

The aim of this work is to check the effect of granting tag-along rights to stockholders by analyzing the behavior of the return of the stock. To do so we carried out event studies for a group of 21 company stocks, divided into service provider companies and others, who granted this right to their stockholders after Law 10,303 was passed in October, 2001. In the test we used two models for estimating abnormal returns: adjusted to the market and adjusted to the risk and market. The results of the tests we carried out based on these models did not capture abnormal returns (surpluses), telling us that the tag-along rights did not affect the pattern of daily returns of the stocks of companies traded on BOVESPA (The Sao Paulo Stock Exchange). We did not expect this result because of the new corporate governance practices adopted by companies in Brazil.

The Effect of the Japan 2011 Disaster on Nuclear and Alternative Energy Stocks Worldwide: An Event Study

This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of French, German, Japanese, and U.S. nuclear utility and alternative energy firms. Hypotheses regarding the (cumulative) abnormal returns based on a three-factor model are analyzed through joint tests by multivariate regression models and bootstrapping. Our results show significant abnormal returns for Japanese nuclear utility firms during the one-week event window and the subsequent four-week post-event window. Furthermore, while French and German nuclear utility and alternative energy stocks exhibit significant abnormal returns during the event window, we cannot confirm abnormal returns for U.S. stocks.

Exposure to Radio-Frequency Electromagnetic Fields From Broadcast Transmitters and Risk of Childhood Cancer: A Census-based Cohort Study

We investigated the association between exposure to radio-frequency electromagnetic fields (RF-EMFs) from broadcast transmitters and childhood cancer. First, we conducted a time-to-event analysis including children under age 16 years living in Switzerland on December 5, 2000. Follow-up lasted until December 31, 2008. Second, all children living in Switzerland for some time between 1985 and 2008 were included in an incidence density cohort. RF-EMF exposure from broadcast transmitters was modeled. Based on 997 cancer cases, adjusted hazard ratios in the time-to-event analysis for the highest exposure category (>0.2 V/m) as compared with the reference category (<0.05 V/m) were 1.03 (95% confidence interval (CI): 0.74, 1.43) for all cancers, 0.55 (95% CI: 0.26, 1.19) for childhood leukemia, and 1.68 (95% CI: 0.98, 2.91) for childhood central nervous system (CNS) tumors. Results of the incidence density analysis, based on 4,246 cancer cases, were similar for all types of cancer and leukemia but did not indicate a CNS tumor risk (incidence rate ratio = 1.03, 95% CI: 0.73, 1.46). This large census-based cohort study did not suggest an association between predicted RF-EMF exposure from broadcasting and childhood leukemia. Results for CNS tumors were less consistent, but the most comprehensive analysis did not suggest an association.

How to Transfer a Coupon-Based Event into a Hedonic Shopping Experience? Retail Branding Implications Based on the Glamour Shopping Days

The paper examines the motivational drivers behind the participation of Hungarian consumers on a special shopping event, also known as Glamour Days. The study encompasses a variety of related conceptualizations such as hedonic/utilitarian shopping values, self-gifting as well as impulsive buying practices. After the introduction of relevant consumer behaviour concepts and theoretical frameworks, the paper presents a qualitative research on adult and adolescent female consumers’ shopping experiences during Glamour Days. By building on phenomenological methodology, this study also portrays the ways this shopping event has changed consumer society within an originally strongly utilitarian attitude driven Hungarian culture. The phenomenological interview results highlight differences within the motivational drivers of pleasure-oriented shopping for the two age groups. For teenagers, the main motivation was related to the utilitarian aspect due to their financial dependence and the special opportunity to stand out of their peer group by joining an event that is exclusively held for adult women. On the other hand, adult women are motivated by combined hedonic and utilitarian values manifested in self gifting and impulse buying within an effectively planned and managed shopping trip. Based on the results, retail specific strategies are provided along with future research directions.

Impact of voluntary folate fortification on plasma homocysteine and serum folate in Australia from 1995 to 2001: a population based cohort study

Study objective: To investigate the effect of the voluntary folate fortification policy in Australia on serum folate and total plasma homocysteine (tHcy) concentrations. Design: Population based cohort study. Setting: Perth, Western Australia. Participants: Men and women aged 27 to 77 years (n = 468), who were originally randomly selected from the Perth electoral roll. The cohort was surveyed in 1995/96 before widespread introduction of folate fortification of a variety of foods, and followed up on two occasions, firstly in 1998/99 and again in 2001, when a moderate number of folate fortified foods were available. Subjects with abnormal serum creatinine concentrations at baseline were excluded from this analysis. Main results: Repeated measures analysis of variance was used to determine changes in serum folate and tHcy over the three surveys and to assess whether time trends were related to age, sex, MTHFR C677T genotype, or consumption of folate fortified foods. An increase (38%) in mean serum folate (p < 0.0005) and a decrease (21%) in mean tHcy (p < 0.0005) were seen after introduction of the voluntary folate fortification policy in Australia. Serum folate was consistently higher (p = 0.032) and tHcy was consistently lower (p = 0.001) in subjects who consumed at least one folate fortified food compared with subjects who did not consume any folate fortified foods in the previous week. The time related changes in serum folate and tHcy were affected only by intake of folate fortified foods (p < 0.0005) and not by any other measured variables including age, sex, or MTHFR genotype. Conclusion: Voluntary fortification of foods with folate in Australia has been followed by a substantial increase in serum folate and decrease in tHcy in the general population.

Regional gray matter abnormalities in panic disorder: A voxel-based morphometry study

Although abnonnalities in brain structures involved in the neurobiology of fear and anxiety have been implicated in the pathophysiology of panic disorder (PD), relatively few studies have made use of voxel-based morphometry (VBM) magnetic resonance imaging (MRI) to determine structural brain abnormalities in PD. We have assessed gray matter volume in 19 PD patients and 20 healthy volunteers using VBM. Images were acquired using a 1.5 T MRI scanner, and were spatially normalized and segmented using optimized VBM. Statistical comparisons were performed using the general linear model. A relative increase in gay matter volume was found in the left insula of PD patients compared with controls. Additional structures showing differential increases were the left superior temporal gyrus, the midbrain, and the pons. A relative gray matter deficit was found in the right anterior cingulate cortex. The insula and anterior cingulate abnormalities may be relevant to the pathophysiology of PD, since these structures participate in the evaluation process that ascribes negative emotional meaning to potentially distressing cognitive and interoceptive sensory information. The abnormal brain stem structures may be involved in the generation of panic attacks. (C) 2007 Elsevier Ireland Ltd. All rights reserved.

A Voxel-Based Morphometry Study of Frontal Gray Matter Correlates of Impulsivity

Impulsivity is a personality trait exhibited by healthy individuals, but excessive impulsivity is associated with some mental disorders. Lesion and functional, neuroimaging Studies indicate that the ventromedial prefrontal region (VMPFC), including the orbitofrontal cortex (OFC), anterior cingulate cortex (ACC) and medial prefrontal cortex, and the amygdala may modulate impulsivity and aggression. However, no morphometric study has examined the association between VMPFC and impulsivity. We hypothesized that healthy subjects with high impulsivity would have smaller volumes in these brain regions compared with those with low impulsivity. Sixty-two healthy Subjects were Studied (age 35.4 +/- 12.1 years) using a 1.5-T MRI system. The Barratt impulsiveness scale (BIS) was used to assess impulsivity. Images were processed using an optimized voxel-based morphometry (VBM) protocol. We calculated the correlations between BIS scale scores and the gray matter (GM) and white matter (WM) volumes of VMPFC and amygdala. GM volumes of the left and right OFC were inversely correlated with the BIS total score (P = 0.04 and 0.02, respectively). Left ACC GM Volumes had a tendency to be inversely correlated with the BIS total score (P = 0.05. Right OFC GM Volumes were inversely correlated with BIS nonplanning impulsivity, and left OFC GM volumes were inversely correlated with motor impulsivity. There were no significant WM volume correlations with impulsivity. The results Of this morphometry Study indicate that small OFC volume relate to high impulsivity and extend the prior finding that the VMPFC is involved in the circuit modulating impulsivity. HUM Brain Mapp 30:1188-1195, 2009. (C) 2008 Wiley-Liss, Inc.

Brain structure and symptom dimension relationships in obsessive-compulsive disorder: A voxel-based morphometry study

Background: Obsessive-compulsive disorder (OCD) is a clinically heterogenous disorder characterized by temporally stable symptom dimensions. Past inconsistent results from structural neuroimaging studies of OCD may have resulted from the effects of these specific symptom dimensions as well as other socio-demographic and clinical variables upon gray matter (GM) volume. Methods: GM volume was measured in 25 adult OCD patients and 20 adult healthy controls using voxel-based morphometry (VBM), controlling for age and total brain GM volume. Univariate and multivariate regression analyses were carried out between regions of GM difference and age, age of onset, medication load, OCD severity, depression severity, and separate symptom dimension scores. Results: Significant GM volumetric differences in OCD patients relative to controls were found in dorsal cortical regions, including bilateral BA6, BA46, BA9 and right BA8 (controls > patients), and bilateral midbrain (patients > controls). Stepwise regression analyses revealed highly significant relationships between greater total OCD symptom severity and smaller GM volumes in dorsal cortical regions and larger GM volumes in bilateral midbrain. Greater age was independently associated with smaller GM volumes in right BA6, left BA9, left BA46 and larger GM volumes in right midbrain. Greater washing symptom severity was independently associated with smaller GM volume in right BA6, while there was a trend association between greater hoarding symptom severity and lower GM volume in left BA6. Limitations: The sample was relatively small to examine the relationship between symptom scores and GM volumes. Multiple patients were taking medication and had comorbid disorders. Conclusions: These analyses suggest dorsal prefrontal cortical and bilateral midbrain GM abnormalities in OCD that appear to be primarily driven by the effects of total OCD symptom severity. The results regarding the relationship between GM volumes and symptom dimension scores require examination in larger samples. (C) 2008 Elsevier B.V. All rights reserved.

The Bambuí health and ageing study (BHAS): methodological approach and preliminary results of a population-based cohort study of the elderly in Brazil

OBJECTIVE: A cohort study has been designed to identify predictors of adverse health events in the elderly. The methodology of the study and preliminary descriptive results are presented. METHODS: The study population comprises all residents of Bambuí (Minas Gerais, Brazil), aged 60 or more years (n=1.742). From these, 92.2% were interviewed and 85.9% underwent clinical examination, consisting of haematological and biochemical tests, serology for Trypanosoma cruzi, anthropometric and blood pressure measures and electrocardiogram. Aliquots of serum, plasma and DNA were stored for future investigations. The baseline interview included sociodemographic characteristics, self-referred health condition and history of selected diseases, medication use, health service use, source of medical care, physical activities, smoking, drinking and eating habits, reproductive history, physical functioning, life events, social support and mental health. Individuals are being followed up annually. RESULTS: The following characteristics predominated among participants: women (60,0%), married (48.9%) or widowed (35.4%), people living in households with up to 2 residents (73.8%), heads of family (76.7%), people with monthly income between 1.00 and 2.99 Brazilian minimum wages (62.0%) and people with up to 4 years of schooling (89.1%). The median age was 68 years. Among the cohort members, only 1.7% were lost in the first follow-up. CONCLUSIONS: In general, the characteristics of the study population were very similar to those from other epidemiological studies of the elderly based on large Brazilian cities. The small number of losses to follow-up indicates that the choice of Bambuí was adequate, assuring the feasibility of a long term cohort study.

Users’ dissatisfaction with dental care: a population-based household study

OBJECTIVE To examine whether demographic, socioeconomic conditions, oral health subjectivity and characterization of dental care are associated with users’ dissatisfaction with such are.METHODS Cross-sectional study of 781 people who required dental care in Montes Claros, MG, Southeastern Brazil, in 2012, a city with of medium-sized population situated in the North of Minas Gerais. Household interviews were conducted to assess the users’ dissatisfaction with dental care (dependent variable), demographic, socioeconomic conditions, oral health subjectivity and characterization of dental care (independent variables). Sample calculation was used for the finite population, with estimates made for proportions of dissatisfaction in 50.0% of the population, a 5.0% error margin, a non-response rate of 5.0% and a 2.0% design effect. Logistic regression was used, and the odds ratio was calculated with a 5% significance level and 95% confidence intervals.RESULTS Of the interviewed individuals, 9.0% (7.9%, with correction for design effect) were dissatisfied with the care provided. These were associated with lower educational level; negative self-assessment of oral health; perception that the care provider was unable to give dental care; negative evaluation of the way the patient was treated, the cleanliness of the rooms, based on the examination rooms and the toilets, and the size of the waiting and examination rooms.CONCLUSIONS The rate of dissatisfaction with dental care was low. This dissatisfaction was associated with socioeconomic conditions, subjectivity of oral health, skill of the health professionals relating to the professional-patient relationship and facility infrastructure. Educational interventions are suggested that aim at improving the quality of care among professionals by responsible agencies as is improving the infrastructure of the care units.