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 Market for borrowing securities in Brazil

We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

The Illinois long-term care and chronic disease facilities plan [Chapter 3B] /

"Approved and adopted by the Illinois Health Facilities Planning Board"--T.p.

Children with special health care needs: Comparison of the effects of home care setting, prescribed pediatric extended care setting, and long-term care setting on child and family health outcomes and health care service use

Technological advances during the past 30 years have dramatically improved survival rates for children with life-threatening conditions (preterm births, congenital anomalies, disease, or injury) resulting in children with special health care needs (CSHCN), children who have or are at increased risk for a chronic physical, developmental, behavioral, or emotional condition and who require health and related services beyond that required by children generally. There are approximately 10.2 million of these children in the United States or one in five households with a child with special health care needs. Care for these children is limited to home care, medical day care (Prescribed Pediatric Extended Care; P-PEC) or a long term care (LTC) facility. There is very limited research examining health outcomes of CSHCN and their families. The purpose of this research was to compare the effects of home care settings, P-PEC settings, and LTC settings on child health and functioning, family health and function, and health care service use of families with CSHCN. Eighty four CSHCN ages 2 to 21 years having a medically fragile or complex medical condition that required continual monitoring were enrolled with their parents/guardians. Interviews were conducted monthly for five months using the PedsQL™ Generic Core Module for child health and functioning, PedsQL™ Family Impact Module for family health and functioning, and Access to Care from the NS-CSHCN survey for health care services. Descriptive statistics, chi square, and ANCOVA were conducted to determine differences across care settings. Children in the P-PEC settings had a highest health care quality of life (HRQL) overall including physical and psychosocial functioning. Parents/guardians with CSHCN in LTC had the highest HRQL including having time and energy for a social life and employment. Parents/guardians with CSHCN in home care settings had the poorest HRQL including physical and psychosocial functioning with cognitive difficulties, difficulties with worry, communication, and daily activities. They had the fewest hours of employment and the most hours providing direct care for their children. Overall health care service use was the same across the care settings.

Children with Special Health Care Needs: Comparison of the Effects of Home Care Setting, Prescribed Pediatric Extended Care Setting, and Long-Term Care Setting on Child and Family Health Outcomes and Health Care Service Use

Technological advances during the past 30 years have dramatically improved survival rates for children with life-threatening conditions (preterm births, congenital anomalies, disease, or injury) resulting in children with special health care needs (CSHCN), children who have or are at increased risk for a chronic physical, developmental, behavioral, or emotional condition and who require health and related services beyond that required by children generally. There are approximately 10.2 million of these children in the United States or one in five households with a child with special health care needs. Care for these children is limited to home care, medical day care (Prescribed Pediatric Extended Care; P-PEC) or a long term care (LTC) facility. There is very limited research examining health outcomes of CSHCN and their families. The purpose of this research was to compare the effects of home care settings, P-PEC settings, and LTC settings on child health and functioning, family health and function, and health care service use of families with CSHCN. Eighty four CSHCN ages 2 to 21 years having a medically fragile or complex medical condition that required continual monitoring were enrolled with their parents/guardians. Interviews were conducted monthly for five months using the PedsQL TM Generic Core Module for child health and functioning, PedsQL TM Family Impact Module for family health and functioning, and Access to Care from the NS-CSHCN survey for health care services. Descriptive statistics, chi square, and ANCOVA were conducted to determine differences across care settings. Children in the P-PEC settings had a highest health care quality of life (HRQL) overall including physical and psychosocial functioning. Parents/guardians with CSHCN in LTC had the highest HRQL including having time and energy for a social life and employment. Parents/guardians with CSHCN in home care settings had the poorest HRQL including physical and psychosocial functioning with cognitive difficulties, difficulties with worry, communication, and daily activities. They had the fewest hours of employment and the most hours providing direct care for their children. Overall health care service use was the same across the care settings.

The Multiple Facets of ETF Investing: A World-Wide Analysis

The global ETF industry provides more complicated investment vehicles than low-cost index trackers. Instead, we find that the real investments of ETFs that do not fully replicate their benchmarks may deviate from their benchmarks to leverage informational advantages (which leads to a surprising stock-selection ability), to benefit from the securities lending market, to support ETF-affiliated banks’ stock prices, and to help affiliated OEFs through cross-trading. These effects are more prevalent in ETFs domiciled in Europe. Market awareness of such additional risk is reflected in ETF outflows. These results have important normative implications for consumer protection and financial stability.

AGREED-UPON PROCEDURES REPORT ON CONTRACT FOR PURCHASE OF NURSING CARE SERVICES WITH STATE OF SOUTH CAROLINA DEPARTMENT OF HEALTH AND HUMAN SERVICES

The Medicaid Audits Section of the South Carolina Office of the State Auditor performs audits and reviews of cost reports filed by institutional providers of Medicaid services. These cost reports are used by the Health and Human Services Finance Commission to establish amounts to be paid to these providers for services provided to qualified Medicaid recipients. This report deals with A. Sam Karesh Long Term Care Nursing Facility in North Augusta, S.C.

Determinantes do nível de caixa das empresas: análise de amostra de países da América Latina

Neste estudo são analisados, através de técnicas de dados em painel, os fatores determinantes dos níveis de ativos líquidos de empresas abertas do Brasil, Argentina, Chile, México e Peru no período de 1995 a 2009. O índice utilizado nas modelagens é denominado de ativo líquido (ou simplesmente caixa), o qual inclui os recursos disponíveis em caixa e as aplicações financeiras de curto prazo, divididos pelo total de ativos da firma. É possível identificar uma tendência crescente de acúmulo de ativos líquidos como proporção do total de ativos ao longo dos anos em praticamente todos os países. São encontradas evidências de que empresas com maiores oportunidades de crescimento, maior tamanho (medido pelo total de ativos), maior nível de pagamento de dividendos e maior nível de lucratividade, acumulam mais caixa na maior parte dos países analisados. Da mesma forma, empresas com maiores níveis de investimento em ativo imobilizado, maior geração de caixa, maior volatilidade do fluxo de caixa, maior alavancagem e maior nível de capital de giro, apresentam menor nível de acúmulo de ativos líquidos. São identificadas semelhanças de fatores determinantes de liquidez em relação a estudos empíricos com empresas de países desenvolvidos, bem como diferenças devido a fenômenos particulares de países emergentes, como por exemplo elevadas taxas de juros internas, diferentes graus de acessibilidade ao mercado de crédito internacional e a linhas de crédito de agências de fomento, equity kicking, entre outros. Em teste para a base de dados das maiores firmas do Brasil, é identificada a presença de níveis-alvo de caixa através de modelo auto-regressivo de primeira ordem (AR1). Variáveis presentes em estudos mais recentes com empresas de países desenvolvidos como aquisições, abertura recente de capital e nível de governança corporativa também são testadas para a base de dados do Brasil.

Prospective run theory for multinomial outcomes

The focus of this study was to generalize the theory of runs to multinomial outcomes using the generating function approach. Detailed discussion is provided for determining the probability distributions for all runs of length i in a sequence of n trials for the binomial and trinomial cases. The generalization to multinomial case is also presented. Application to data for patients from a long term disability care facility is presented to illustrate the use of Run Theory in determining the probability of a dominant state of treatment associated with a patient during his/her hospitalization. ^

L'expérience d'être parent d'un enfant polyhandicapé hébergé

L'hébergement d'un enfant polyhandicapé, c'est-à-dire un enfant présentant une association de déficience motrice et intellectuelle sévère et profonde, est existant au Québec et peu connu de la population. Jusqu’à maintenant, les savoirs sur l’hébergement pédiatrique et l’expérience des parents sont peu nombreux et ne permettent pas de guider le développement d’interventions infirmières adaptées aux besoins des parents. Pour pallier cette situation, une étude d’inspiration phénoménologique a été effectuée afin d’explorer la signification de l’expérience d’être parent d’un enfant polyhandicapé hébergé en établissement de longue durée pédiatrique. Sept entretiens semi-structurés individuels ont été réalisés avec le parent d’un enfant polyhandicapé hébergé dans un établissement pédiatrique de la grande région montréalaise. Afin d’adopter une vision systémique et contextuelle au domaine des sciences infirmières, l’approche systémique familiale selon le modèle de Calgary (Wright & Leahey, 2013) a été utilisée comme cadre de référence. Cette étude d’inspiration phénoménologique a permis de faire émerger trois thèmes quant au phénomène à l’étude, soit : a) héberger son enfant : une décision difficile à accepter, b) la signification de l’hébergement : une expérience tant positive que négative et c) la réappropriation du rôle de parent. Cette étude novatrice permet de fournir des résultats inédits sur l’expérience d’être parent d’un enfant gravement handicapé hébergé. Ils permettent aussi de mettre en évidence les sentiments des parents, leurs impressions et l’adaptation de leur rôle parental lorsque leur enfant est hébergé. Ces résultats pourront influencer ou guider les infirmières dans l’application quotidienne d’interventions familiales adaptées et personnalisées au besoin des parents vivant une situation semblable.