Three essays on economics of predictability of stock returns

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Ratiomuuttujat ja näennäinen korrelaatio

Eri tieteenalojen tutkijat ovat kiistelleet jo yli vuosisadan ajan ratiomuodossa olevien muuttujien käytön vaikutuksista korrelaatio- ja regressioanalyysien tuloksiin ja niiden oikeaan tulkintaan. Strategiatutkimuksen piirissä aiheeseen ei ole kuitenkaan kiinnitetty suuresti huomiota. Tämä on yllättävää, sillä ratiomuuttujat ovat hyvin yleisesti käytettyjä empiirisen strategiatutkimuksen piirissä. Tässä työssä luodaan katsaus ratiomuuttujien ympärillä käytyyn debattiin. Lisäksi selvitetään artikkelikatsauksen avulla niiden käytön yleisyyttä nykypäivän strategiatutkimuksessa. Työssä tutkitaan Monte Carlo –simulaatioiden avulla ratiomuuttujien ominaisuuksien vaikutuksia korrelaatio- ja regressioanalyysin tuloksiin erityisesti yhteisen nimittäjän tapauksissa.

Produção de biomassa e composição química de adubos verdes cultivados no Vale do Ribeira

The contribution of green manure to soil improvement and crop production depends primarily on biomass production and its chemical composition, which vary depending on the species, region and growing season. The aim of this research was to evaluate the chemical composition of biomass produced by green manures in Vale do Ribeira, São Paulo, Brazil. In order to develop this research, was carried an experiment in Pariquera-Acu, in 2006/2007, in completely randomized blocks design with four treatments (three green manure and spontaneous vegetation) and five replications. At 30, 60, 90 and 120 after sowing samples were collected in 1m(2) of the shoots and determined fresh and dry, and chemical composition biomass. Sunhemp, pigeon pea and mucuna produced, in decreasing order, the largest quantities of biomass and were more efficient than the spontaneous vegetation. The biomass produced by green manure had higher quality than that produced by spontaneous vegetation. Sunhemp and pigeon pea have a higher proportion of dry matter in stems which have low N, high C/N and L/N ratio, variables indicating slow decomposition of residues. The analysis of dry matter partitioned to better indication of the chemical composition of the residues and the prevision of the availability of nutrients in the soil.

PRODUÇÃO DE BIOMASSA E COMPOSIÇÃO QUÍMICA DE ADUBOS VERDES CULTIVADOS NO VALE DO RIBEIRA

A contribuição da adubação verde com leguminosas para melhoria do solo e produção agrícola depende em primeiro lugar da produção de biomassa e da sua composição química, que variam em função da espécie, região e estação de cultivo. Objetivo do presente trabalho foi avaliar a composição química da biomassa produzida por adubos verdes no Vale do Ribeira, São Paulo, Brasil. Para tal, foi conduzido um experimento em Pariquera-Açu-SP, no ano agrícola 2006/2007, em blocos casualizados, com quatro tratamentos (três adubos verdes e vegetação espontânea) e cinco repetições. Aos 30, 60, 90 e 120 dias após a semeadura, foram coletadas amostras em 1 m² da parte aérea das plantas e determinada a matéria fresca e seca, bem como a composição da biomassa. Crotalária, guandu e mucuna produziram, em ordem decrescente, as maiores quantidades de biomassa e foram mais eficientes do que a vegetação espontânea. A biomassa produzida pelos adubos verdes apresentou qualidade superior à produzida pela vegetação espontânea. Crotalária e guandu apresentam maior proporção de matéria seca acumulada no caule que possui baixo teor de N, alta relação C/N e L/N, variáveis que tornam a decomposição dos resíduos mais lenta. A análise particionada da matéria seca permite indicação mais precisa da composição química dos resíduos e a previsão da disponibilidade dos nutrientes no solo.

One-stage (Warsaw) and two-stage (Oslo) repair of unilateral cleft lip and palate: Craniofacial outcomes

The aim of this study was to compare facial development in subjects with complete unilateral cleft lip and palate (CUCLP) treated with two different surgical protocols. Lateral cephalometric radiographs of 61 patients (42 boys, 19 girls; mean age, 10.9 years; SD, 1) treated consecutively in Warsaw with one-stage repair and 61 age-matched and sex-matched patients treated in Oslo with two-stage surgery were selected to evaluate craniofacial morphology. On each radiograph 13 angular and two ratio variables were measured in order to describe hard and soft tissues of the facial region. The analysis showed that differences between the groups were limited to hard tissues – the maxillary prominence in subjects from the Warsaw group was decreased by almost 4° in comparison with the Oslo group (sella-nasion-A-point (SNA) = 75.3° and 79.1°, respectively) and maxillo-mandibular morphology was less favorable in the Warsaw group than the Oslo group (ANB angle = 0.8° and 2.8°, respectively). The soft tissue contour was comparable in both groups. In conclusion, inter-group differences suggest a more favorable outcome in the Oslo group. However, the distinctiveness of facial morphology in background populations (ie, in Poles and Norwegians) could have contributed to the observed results.

Produção de biomassa e composição química de adubos verdes cultivados no Vale do Ribeira

The contribution of green manure to soil improvement and crop production depends primarily on biomass production and its chemical composition, which vary depending on the species, region and growing season. The aim of this research was to evaluate the chemical composition of biomass produced by green manures in Vale do Ribeira, São Paulo, Brazil. In order to develop this research, was carried an experiment in Pariquera-Acu, in 2006/2007, in completely randomized blocks design with four treatments (three green manure and spontaneous vegetation) and five replications. At 30, 60, 90 and 120 after sowing samples were collected in 1m(2) of the shoots and determined fresh and dry, and chemical composition biomass. Sunhemp, pigeon pea and mucuna produced, in decreasing order, the largest quantities of biomass and were more efficient than the spontaneous vegetation. The biomass produced by green manure had higher quality than that produced by spontaneous vegetation. Sunhemp and pigeon pea have a higher proportion of dry matter in stems which have low N, high C/N and L/N ratio, variables indicating slow decomposition of residues. The analysis of dry matter partitioned to better indication of the chemical composition of the residues and the prevision of the availability of nutrients in the soil.

[impact Variables On The Decline In Infant Mortality In The State Of São Paulo, Brazil: 1998-2008].

This is an ecological, analytical and retrospective study comprising the 645 municipalities in the State of São Paulo, the scope of which was to determine the relationship between socioeconomic, demographic variables and the model of care in relation to infant mortality rates in the period from 1998 to 2008. The ratio of average annual change for each indicator per stratum coverage was calculated. Infant mortality was analyzed according to the model for repeated measures over time, adjusted for the following correction variables: the city's population, proportion of Family Health Programs (PSFs) deployed, proportion of Growth Acceleration Programs (PACs) deployed, per capita GDP and SPSRI (São Paulo social responsibility index). The analysis was performed by generalized linear models, considering the gamma distribution. Multiple comparisons were performed with the likelihood ratio with chi-square approximate distribution, considering a significance level of 5%. There was a decrease in infant mortality over the years (p < 0.05), with no significant difference from 2004 to 2008 (p > 0.05). The proportion of PSFs deployed (p < 0.0001) and per capita GDP (p < 0.0001) were significant in the model. The decline of infant mortality in this period was influenced by the growth of per capita GDP and PSFs.

Waist-to-height Ratio Percentiles And Cutoffs For Obesity: A Cross-sectional Study In Brazilian Adolescents.

This study aimed to describe the distribution of waist-to-height ratio (WHtR) percentiles and cutoffs for obesity in Brazilian adolescents. A cross-sectional study including adolescents aged 10 to 15 years was conducted in the city of São Paulo, Brazil; anthropometric measurements (weight, height, and waist-circumference) were taken, and WHtRs were calculated and then divided into percentiles derived by using Least Median of Squares (LMS) regression. The receiver operating characteristic (ROC) curve was used in determining cutoffs for obesity (BMI ≥ 97th percentile) and Mann-Whitney and Kruskal-Wallis tests were used for comparing variables. The study included 8,019 adolescents from 43 schools, of whom 54.5% were female, and 74.8% attended public schools. Boys had higher mean WHtR than girls (0.45 ± 0.06 vs 0.44 ± 0.05; p=0.002) and higher WHtR at the 95th percentile (0.56 vs 0.54; p<0.05). The WHtR cutoffs according to the WHO criteria ranged from 0.467 to 0.506 and 0.463 to 0.496 among girls and boys respectively, with high sensitivity (82.8-95%) and specificity (84-95.5%). The WHtR was significantly associated with body adiposity measured by BMI. Its age-specific percentiles and cutoffs may be used as additional surrogate markers of central obesity and its co-morbidities.

Influence of aggregates grading and water/cement ratio in workability and hardened properties of mortars

Mortar is the material responsible for the distribution of stresses in masonry structures. The knowledge about the fresh and hardened properties of mortar is fundamental to ensure a good performance of masonry walls. Water/cement ratio and aggregates grading are among several variables that influence physical and mechanical behaviour of mortars. An experimental program is presented in order to evaluate the influence of aggregates grading and water/cement ratio in workability and hardened properties of mortars. Eighteen compositions of mortar are prepared using three relations cement:lime:sand, two types of sand and three water/cement ratios. Specimens are analyzed through flow table test, compressive and flexural strength tests. Results indicate that the increase of water/cement ratio reduces the values of hardened properties and increases the workability. Besides, sands grading has no influence in compressive strength. On the other hand, significant differences in deformation capacity of mortars were verified with the variation of the type of sand. Finally, some correlations are presented among hardened properties and the compressive strength. (C) 2010 Elsevier Ltd. All rights reserved.

Effect of process variables on fluiddynamics and adhesion efficiency during spouted bed coating of hard gelatine capsules

This article presents an evaluation of the effects of the spouted bed design and operating conditions on system fluiddynamics and process performance during enteric coating of hard gelatine capsules. The design parameters studied were the column diameter (150 mm and 200 mm), the included angle of the conical base, gamma (60 degrees or 40 degrees) and the presence or absence of a Venturi inserted before the inlet air orifice. The process variables studied were the ratio between the feed flow rate of the coating suspension to the spouting gas flow rate (W(s)/W(g)), the mass of capsules loaded to the equipment (M(0)), and the ratio between the Spouting gas flow rate to the gas flow rate at minimum spouting condition (Q/Q(ms)). The response variables were the rate of increase of the capsules mass (K(1)), and the adhesion efficiency (eta). The linear regression equation for the dependent variable K, in terms of the independent variables adequately described the process with an r(2) value of 0.872. Analysis of variance (ANOVA) revealed that increasing of W(s)/W(g), Q/Q(ms) and gamma significantly increased the adhesion efficiency. Adhesion efficiencies higher than 90% were achieved by selecting precise coating conditions, indicating the feasibility of the process for coating of hard gelatine capsules. (C) 2008 Elsevier B.V. All rights reserved.

Incorporation of antigenic GPI-proteins from Leishmania amazonensis to membrane mimetic systems: Influence of DPPC/cholesterol ratio

The reconstitution of membrane proteins into liposomes is a useful tool to prepare antigenic components that induce immunity. We have investigated the influence of the dipalmitoylphosphatidylcholine (DPPC)/cholesterol molar ratio on the incorporation of a GPI-protein from Leishmania amazonensis on liposomes and Langmuir monolayers. The latter system is a well behaved and practical model, for understanding the effect of variables such as surface composition and lipid packing on protein incorporation. We have found that the DPPC/cholesterol molar ratio significantly alters the incorporation of the GPI-protein. In the absence of cholesterol, reconstitution is more difficult and proteoliposomes cannot be prepared, which we correlated with disruption of the DPPC layer. Our results provide important information that Could be employed in the development of a vaccine system for this disease or be used to produce other GPI-systems for biotechnological application. (c) 2009 Elsevier Inc. All rights reserved.

A comparison of lipid variables as predictors of cardiovascular disease in the Asia Pacific Region

PURPOSE: Many guidelines advocate measurement of total or low density lipoprotein cholesterol (LDL), high density lipoprotein cholesterol (HDL), and triglycerides (TG) to determine treatment recommendations for preventing coronary heart disease (CHD) and cardiovascular disease (CVD). This analysis is a comparison of lipid variables as predictors of cardiovascular disease. METHODS: Hazard ratios for coronary and cardiovascular deaths by fourths of total cholesterol (TC), LDL, HDL, TG, non-HDL, TC/HDL, and TG/HDL values, and for a one standard deviation change in these variables, were derived in an individual participant data meta-analysis of 32 cohort studies conducted in the Asia-Pacific region. The predictive value of each lipid variable was assessed using the likelihood ratio statistic. RESULTS: Adjusting for confounders and regression dilution, each lipid variable had a positive (negative for HDL) log-linear association with fatal CHD and CVD. Individuals in the highest fourth of each lipid variable had approximately twice the risk of CHD compared with those with lowest levels. TG and HDL were each better predictors of CHD and CVD risk compared with TC alone, with test statistics similar to TC/HDL and TG/HDL ratios. Calculated LDL was a relatively poor predictor. CONCLUSIONS: While LDL reduction remains the main target of intervention for lipid-lowering, these data support the potential use of TG or lipid ratios for CHD risk prediction. (c) 2005 Elsevier Inc. All rights reserved.

Upper trunk fat assessment and its relationship with metabolic and biochemical variables and body fat in polycystic ovary syndrome

Background: Fat accumulation in the upper region of the body is common in polycystic ovary syndrome (PCOS) and is associated with metabolic complications. The present study aimed to assess the relationship between trunk circumference, metabolic indicators, and abdominal and visceral fat in obese PCOS women. Methods: The weight, fat mass, and subcutaneous arm fat (SAF) of 30 obese PCOS women and 15 healthy controls matched for age and body mass index were evaluated by bioelectrical impedance analysis. Trunk (TrC), neck (NC) and hip circumferences were measured, and the trunk/hip (Tr/H) ratio was determined. Total abdominal fat (TAF), visceral fat (VF) and trunk fat (TrF) were determined by computed tomography. Biochemical evaluation included glycaemia, insulinaemia, testosterone and lipid profile, insulin resistance (IR) was assessed by the QUICKI index. Results: In the PCOS group, there were positive correlations between NC and TAF (r = 0.49, P < 0.0006), TrC and VF (r = 0.62, P = 0.01), and NC and VF (r = 0.70, P < 0.0002). There was good correlation between TrC and TrF (r = 0.69, P = 0.003). TrF correlated with triglycerides levels positively (r = 0.44, P = 0.02). Women with PCOS and IR had a larger quantity of VF and TrF, but a smaller amount of SAF. Within the PCOS group, women with Tr/H ratio above the median had higher basal insulin levels and lower QUICKI indices compared to women presenting a Tr/H ratio below the median. Conclusions: TrC is associated with important metabolic variables in PCOS, proving to be a valuable and innovative tool for assessment of body adiposity distribution in obese PCOS women.

BisGMA/TEGDMA ratio and filler content effects on shrinkage stress

Objective. To investigate the contributions of BisGMA:TEGDMA and filler content on polymerization stress, along with the influence of variables associated with stress development, namely, degree of conversion, reaction rate, shrinkage, elastic modulus and loss tangent for a series of experimental dental composites. Methods. Twenty formulations with BisGMA: TEGDMA ratios of 3: 7, 4: 6, 5: 5, 6: 4 and 7: 3 and barium glass filler levels of 40, 50, 60 or 70 wt% were studied. Polymerization stress was determined in a tensilometer, inserting the composite between acrylic rods fixed to clamps of a universal test machine and dividing the maximum load recorded by the rods cross-sectional area. Conversion and reaction rate were determined by infra-red spectroscopy. Shrinkage was measured by mercury dilatometer. Modulus was obtained by three-point bending. Loss tangent was determined by dynamic nanoindentation. Regression analyses were performed to estimate the effect of organic and inorganic contents on each studied variable, while a stepwise forward regression identified significant variables for polymerization stress. Results. All variables showed dependence on inorganic concentration and monomeric content. The resin matrix showed a stronger influence on polymerization stress, conversion and reaction rate, whereas filler fraction showed a stronger influence on shrinkage, modulus and loss tangent. Shrinkage and conversion were significantly related to polymerization stress. Significance. Both the inorganic filler concentration and monomeric content affect polymerization stress, but the stronger influence of the resin matrix suggests that it may be possible to reduce stress by modifying resin composition without sacrificing filler content. The main challenge is to develop formulations with low shrinkage without sacrificing degree of conversion. (C) 2011 Academy of Dental Materials. Published by Elsevier Ltd. All rights reserved.

Variables affecting the fine grinding of minerals using stirred mills

Base metal resources are becoming more fine-grained and refractory and minerals separation processes require these ores to be milled to increasingly finer sizes. To cope with very fine grinding to below a P-80 of approximately 15 mum stirred milling technology has been adopted from other industries Neither this technology, nor the basic concepts of fine grinding, are well understood by the minerals processing industry. Laboratory studies were therefore carried out in order to investigate fine milling using different types of stirred mills. The variables analysed were stirrer speed, grinding media type and size, slurry solids content as well as the feed and product size. The results of the testwork have shown that all of these variables affect the grinding efficiency. The ratio of media size to material size was found to be of particular significance. The results were also analysed using the stress intensity approach and the optimum stress intensity ranges for the most efficient grinding were determined. Application of the results for process optimisation in the industrial size units is also discussed in this paper. (C) 2003 Elsevier Science Ltd. All rights reserved.