In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.

Le sujet principal de cette thèse est de proposer de nouvelles méthodes d'extractions de signaux avec applications en finance. Par signaux, nous entendons soit un signal sur lequel repose une stratégie d'investissement; soit un signal perturbé par un bruit, que nous souhaitons retrouver. Ainsi, la première partie de la thèse étudie la contagion en volatilité historique autours des annonces de résultats des entreprises du Nasdaq. Nous trouvons qu'autours de l'annonce, l'entreprise reportant ses résultats, génère une contagion persistante en volatilité à l’encontre des entreprises appartenant au même secteur. Par ailleurs, nous trouvons que la contagion en volatilité varie, selon le type de nouvelles reportées, l'effet de surprise, ou encore par le sentiment de marché à l'égard de l'annonceur. La deuxième partie de cette thèse adapte des techniques de dé-bruitage venant de l'imagerie, à des formes de bruits présentent en finance. Ainsi, un premier article, co-écrit avec Matthieu Garcin, propose une technique de dé-bruitage innovante, permettant de retrouver un signal perturbé par un bruit à variance non-constante. Cet algorithme est appliqué en finance à la modélisation de la volatilité. Un second travail s'intéresse au dé-bruitage d'un signal perturbé par un bruit asymétrique et leptokurtique. En effet, nous adaptons un modèle de Maximum A Posteriori, couramment employé en imagerie, à des bruits suivant des lois de probabilité de Student, Gaussienne asymétrique et Student asymétrique. Cet algorithme est appliqué au dé-bruitage de prix d'actions haute-fréquences. L'objectif étant d'appliquer un algorithme de reconnaissance de formes sur les extrema locaux du signal dé-bruité. / The main objective of this PhD dissertation is to set up new signal extraction techniques with applications in Finance. In our setting, a signal is defined in two ways. In the framework of investement strategies, a signal is a function which generates buy/sell orders. In denoising theory, a signal, is a function disrupted by some noise, that we want to recover. A first part of this PhD studies historical volatility spillovers around corporate earning announcements. Notably, we study whether a move by one point in the announcer historical volatility in time t will generate a move by beta percents in time t+1. We find evidences of volatility spillovers and we study their intensity across variables such as : the announcement outcome, the surprise effect, the announcer capitalization, the market sentiment regarding the announcer, and other variables. We illustrate our finding by a volatility arbitrage strategy. The second part of the dissertation adapts denoising techniques coming from imagery : wavelets and total variation methods, to forms of noise observed in finance. A first paper proposes an denoising algorithm for a signal disrupted by a noise with a spatially varying standard-deviation. A financial application to volatility modelling is proposed. A second paper adapts the Bayesian representation of the Rudin, Osher and Fatemi approach to asymmetric and leptokurtic noises. A financial application is proposed to the denoising of intra-day stock prices in order to implement a pattern recognition trading strategy.

Este estudo têm como objetivo identificar qual o comportamento de empresas brasileiras de capital aberto com relação à aplicação dos recursos financeiros de seus fluxos de caixa (recursos internos) em investimentos e não investimentos (em fins que não se configuram como um projeto real de investimento) no curto e longo prazo e mostrar como essa questão está relacionado com o grau de restrições financeiras enfrentado pelas empresas. Para alcançar esse objetivo foram estimadas quatro regressões pelo método OLS (Ordinary Least Square / Mínimos Quadrados Ordinários), cada uma delas com uma das variáveis resposta correspondentes aos principais usos de caixa, ou seja, retenção de caixa, investimentos, dividendos e redução do financiamento externo e com as variáveis explicativas dadas pelo fluxo de caixa nos períodos t, t-1 e t-2 e algumas variáveis de controle específicas da firma. Os resultados sugerem que empresas brasileiras restritas e irrestritas se comportam de forma diferente ao receberem um choque positivo em seus fluxos de caixa e que o comportamento das mesmas também difere no curto e no longo prazo. Empresas restritas e irrestritas ao receberem um choque positivo em seus fluxos de caixa, retêm caixa no período contemporâneo e alocam tais recursos intertemporalmente. Empresas restritas investem mais no curto prazo enquanto as irrestritas investem mais no longo prazo. No curto prazo, empresas irrestritas distribuem mais dividendos do que empresas irrestritas e no longo prazo, os coeficientes dos fluxos de caixa não são significativos para nenhum dos grupos. No curto prazo empresas irrestritas reduzem o financiamento externo, enquanto empresas restritas levantam mais financiamentos externos e no longo prazo, esse comportamento se inverte. Dessa forma, fica clara a importância de se considerar o longo prazo bem como as restrições financeiras enfrentadas pelas empresas. / This study aim to identify what is the behaviour of Brazilian public companies regarding the use of financial resources of cash flows (internal resources) in investments and not investments (for purposes that are not configured as a real investment project) in the short and long term and show how this is related to the degree of financial constraints faced by firms. To achieve this aim, four regressions were estimated by OLS ( Ordinary Least Square), each with one of the response variables corresponding to the main uses of cash, ie , cash holding, investments, dividends and external finance reduction and the explanatory variables given by the cash flow in periods t , t - 1 and t - 2 and some control variables specific of the firm. The results suggest that restricted and unrestricted Brazilian companies behave differently when they receive a positive shock on cash flows and their behavior also differs in the short and long term. When constrained and unconstrained firms receive a positive impact on cash flows, they retain cash in the contemporary period and intertemporally allocate such resources. Constrained firms invest more in the short term while the unrestricted invest more in the long run. In the short term, unconstrained firms distribute more dividends than unconstrained firms and in the long run, the coefficients of cash flows are not significant for either groups. In the short term unconstrained firms reduce external finance, while constrained firms raise more external finance and in the long term, this behavior is reversed. Thus, it is clear that it matters to consider the long term as well as financial constraints faced by firms.

Submitted by Felipe de Jesus Macedo Silveira (felsilveira@gmail.com) on 2013-04-10T15:27:36Z No. of bitstreams: 1 Tese v4 (2).pdf: 2596279 bytes, checksum: bfac96f01e02a26b8f7f9ac30080a3ec (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-04-25T11:32:22Z (GMT) No. of bitstreams: 1 Tese v4 (2).pdf: 2596279 bytes, checksum: bfac96f01e02a26b8f7f9ac30080a3ec (MD5) / Made available in DSpace on 2013-04-25T11:32:55Z (GMT). No. of bitstreams: 1 Tese v4 (2).pdf: 2596279 bytes, checksum: bfac96f01e02a26b8f7f9ac30080a3ec (MD5) Previous issue date: 2012-06-29 / This paper investigates what happened with wage inequality in Brazil from 1981 to 2009. We used four observable characteristics: edcuation, experience, the economic activity that the individual works and the region where he lives. The e ects of these characteristics are estimated by RIF regressions. The advantage of this method is that we can divide distributional changes into a wage structure e ect and a composition e ect and further divide the two components into contribution of each explanatory variable. We nd that the wage inequality in Brazil declines signi cantly from the late 1990 and this is explained mainly by a change in the returns of education. / Esse trabalho analisa o que aconteceu com a desigualdade salarial no Brasil nos anos de 1981 a 2009. Procuramos descobrir o papel que as características observáveis e os retornos a essas desempenha nas alterações da distribuição salarial. Usamos quatro variáveis explicativas: educação, experiência, atividade econômica do trabalho e região geográ ca em que mora. A partir de RIF - regressions descobrimos o papel de cada uma dessas covariadas individualmente. Nossos resultados mostram que houve uma signi cativa queda da desigualdade salarial no Brasil a partir do nal da década de 1990, explicada principalmente por mudanças nos retornos das características.

Cette thèse contribue à l'approche économétrique de la croissance pro-pauvre. Elle présente des apports théoriques et empiriques. En premier lieu, elle présente les différentes définitions, indices et politiques de croissance pro-pauvre proposées dans la littérature théorique. Elle examine également les modèles théoriques et empiriques portant sur les interactions entre distribution du revenu et croissance. Elle montre que les mesures traditionnelles, en plus de leurs caractères partiels, peuvent conduire à des résultats contradictoires. Pour contourner ces limites, cette thèse privilégie l'approche alternative qui consiste à utiliser des modèles économétriques. Cette dernière approche, bien qu'elle présente l'avantage d'inclure l'ensemble des dimensions de la pauvreté, souffre de deux types de biais : le biais de sélection et le biais d'endogeneité. Ces derniers s'expliquent par les limitations inhérentes des données : erreurs de mesures, points aberrants. En outre, les résultats obtenus avec cette approche sont sensibles aux formes fonctionnelles choisies. Ainsi, il y'a de bonnes raisons d'utiliser la régression Gini. Malheureusement, les régressions de type Gini n'existaient qu'en coupe instantanée et en séries temporelles. Ainsi, dans un second temps, cette thèse propose d'étendre la réflexion sur la régression Gini en panel. Elle introduit les estimateurs intragroupes, intergroupes, le test d'existence de l'effet individuel et l'estimateur Aitken Gini. Enfin, cette thèse présente des applications empiriques qui illustrent de façon concrète la robustesse de nos estimateurs. Elle s'intéresse particulièrement aux conséquences de la méthode d'estimation et à la section de l'échantillon. Elle conclut que le processus de croissance favorise la réduction de la pauvreté à condition que les inégalités de revenu soient maîtrisées. Mais aussi, que l'impact de la croissance agricole sur la réduction de la pauvreté varie en fonction du niveau de développement du pays. / This thesis contributes to the econometric approach to pro-poor growth. It presents theoretical and empirical contributions. First, it presents the different definitions, indices and the policies of pro-poor growth proposed in the theoretical literature. It also examines the theoretical and empirical models on the interactions between income distribution and growth. It shows that the traditional measures, in addition to their partial characters, can lead to contradictory results. To avoid these limits this thesis emphasizes the alternative approach by using econometric models. The latter approach, although it has the advantage of including all the dimensions of poverty, suffering from two types of bias: selection bias and bias of endogeneity. These are due to the limitations of the data: measurement error, outliers. In addition, the results obtained with this approach are sensitive to selected functional forms. So, There are good reasons to use the Gini regression. Unfortunately, the Gini regressions existed only cross sectional and time series. Thus, in a second time, this thesis proposes to extend the Gini regression on the panel. It introduces within and between estimators, the individual effect test and the Gini Aitken estimator. Finally, this thesis presents empirical applications that illustrate the robustness of our estimators. She is particularly interested in the consequences of the estimation method and the sample section. It concludes that the growth process promotes poverty reduction when income inequalities are overcome. But also, the impact of agricultural growth on poverty reduction varies depending on the country's level of development.

Este estudo têm como objetivo identificar qual o comportamento de empresas brasileiras de capital aberto com relação à aplicação dos recursos financeiros de seus fluxos de caixa (recursos internos) em investimentos e não investimentos (em fins que não se configuram como um projeto real de investimento) no curto e longo prazo e mostrar como essa questão está relacionado com o grau de restrições financeiras enfrentado pelas empresas. Para alcançar esse objetivo foram estimadas quatro regressões pelo método OLS (Ordinary Least Square / Mínimos Quadrados Ordinários), cada uma delas com uma das variáveis resposta correspondentes aos principais usos de caixa, ou seja, retenção de caixa, investimentos, dividendos e redução do financiamento externo e com as variáveis explicativas dadas pelo fluxo de caixa nos períodos t, t-1 e t-2 e algumas variáveis de controle específicas da firma. Os resultados sugerem que empresas brasileiras restritas e irrestritas se comportam de forma diferente ao receberem um choque positivo em seus fluxos de caixa e que o comportamento das mesmas também difere no curto e no longo prazo. Empresas restritas e irrestritas ao receberem um choque positivo em seus fluxos de caixa, retêm caixa no período contemporâneo e alocam tais recursos intertemporalmente. Empresas restritas investem mais no curto prazo enquanto as irrestritas investem mais no longo prazo. No curto prazo, empresas irrestritas distribuem mais dividendos do que empresas irrestritas e no longo prazo, os coeficientes dos fluxos de caixa não são significativos para nenhum dos grupos. No curto prazo empresas irrestritas reduzem o financiamento externo, enquanto empresas restritas levantam mais financiamentos externos e no longo prazo, esse comportamento se inverte. Dessa forma, fica clara a importância de se considerar o longo prazo bem como as restrições financeiras enfrentadas pelas empresas. / This study aim to identify what is the behaviour of Brazilian public companies regarding the use of financial resources of cash flows (internal resources) in investments and not investments (for purposes that are not configured as a real investment project) in the short and long term and show how this is related to the degree of financial constraints faced by firms. To achieve this aim, four regressions were estimated by OLS ( Ordinary Least Square), each with one of the response variables corresponding to the main uses of cash, ie , cash holding, investments, dividends and external finance reduction and the explanatory variables given by the cash flow in periods t , t - 1 and t - 2 and some control variables specific of the firm. The results suggest that restricted and unrestricted Brazilian companies behave differently when they receive a positive shock on cash flows and their behavior also differs in the short and long term. When constrained and unconstrained firms receive a positive impact on cash flows, they retain cash in the contemporary period and intertemporally allocate such resources. Constrained firms invest more in the short term while the unrestricted invest more in the long run. In the short term, unconstrained firms distribute more dividends than unconstrained firms and in the long run, the coefficients of cash flows are not significant for either groups. In the short term unconstrained firms reduce external finance, while constrained firms raise more external finance and in the long term, this behavior is reversed. Thus, it is clear that it matters to consider the long term as well as financial constraints faced by firms.

Diese Dissertation untersucht einen möglichen Zusammenhang zwischen dem beschriebenen klinischen Verlauf bei Patienten mit konstitutiv aktivierenden TSH-Rezeptormutationen und der gemessenen in vitro Aktivität. Konstitutiv aktivierende Mutationen finden sich als somatische Mutationen in autonomen Adenomen und als Keimbahnmutationen bei Patienten mit sporadischer bzw. familiärer nicht-autoimmuner Hyperthyreose. Die in vitro Aktivität der zu Grunde liegenden TSH-Rezeptormutationen wird mit Hilfe der Linearen Regressions-Analyse bestimmt. Dies ist ein Verfahren, welches die basale Produktion des second messenger cAMP (Cyclo-Adenosinmonophosphat) misst, unter Berücksichtigung der Expression des TSH-Rezeptors. Die Analyse der Krankheitsverläufe der sporadischen nicht-autoimmunen Hyperthyreose zeigt keinen eindeutigen Bezug zur gemessenen in vitro Aktivität. Es besteht jedoch eine höhere in vitro Aktivität bei Mutationen, die sowohl bei der nicht-autoimmunen sporadischen Hyperthyreose und in autonomen Adenomen zu finden sind, im Vergleich zu ausschließlich familiären Mutationen. Dies entspricht auch dem klinischen Eindruck. Für die wenigen bekannten Fälle der sporadischen nicht-autoimmunen Hyperthyreose wurden dramatische Verläufe mit häufigen Rückfällen unter medikamentöser Therapie und zahlreichen Komplikationen (z.B. mentale Retardierung, Kraniosynostose, zerebrale Ventrikulomegalie, beschleunigte Knochenreifung) beschrieben.

<p>This dissertation investigates whether dual credit students' academic performance in subsequent university courses is comparable to that of non-dual-credit students. The study uses data from a Midwest regional public university over a ten-year period and employs propensity score matching and proportional odds ordinal logistic regression to create balanced comparison groups and analyze the results. The findings indicate that students who completed the prerequisite course as dual credit have similar grades in subsequent university courses as those who completed the prerequisite course as a university student. The study also identifies significant predictors of academic performance in subsequent university courses, such as sex, historically underserved groups status, high school GPA, and course subject, regardless of dual credit status. However, first-generation status, SAT scores, and the time between courses are not statistically significant predictors. These results suggest that dual credit students are as prepared for subsequent university courses as non-dual-credit students. Nevertheless, academic outcomes differ based on certain factors, which should be considered when designing student success initiatives and allocating resources.</p>

[pt] Este trabalho visa replicar os estudos de John Cochrane sobre previsibilidade dos retornos do mercado a partir da relação dividendo-preço para o mercado brasileiro. Utilizando os retornos do índice Bovespa, e estes mesmos retornos diminuídos da taxa Selic, como variáveis dependentes, em relação à série de Dividend Yield que o Núcleo de Estudos Financeiros da USP fornece em seu website para o período entre 2001 e 2021; calculou-se regressões para diversos prazos cumulativos de retorno. A idéia inicial seria confirmar os dois eixos principais de estudo proposto por Cochane : a organização dos apreçamentos dos ativos em torno das taxas de desconto, ou prêmios de risco, e se a previsibilidade dos retornos ganha maior dimensão à medida que se utiliza prazos de retorno crescentes. Para testar a primeira premissa, teríamos que ter obtido dados sobre os pagamentos de dividendos pelas empresas constantes no índice Bovespa ao longo do período, mas isto não foi possível. O trabalho restringiu-se a buscar confirmar se a previsibilidade aumenta conforme os prazos de retorno futuro do índice Bovespa estudados são acumulados. / [en] This work attempts to replicate the studies of John Cochrane on Return Previsibility through the Dividend-Price relationship to the Brazilian Stock Market. Using the Bovespa Stock Market Returns and the Excess Returns calculated from the Stock Market Returns less the risk-free interest in the form of Selic interest series as dependent variables, in relation to the Dividend Yield series provided by the Núcleo de Estudos Financeiros , from Universidade de São Paulo, from 2001 to 2021 as independent variable, a series of regression were calculated, using serveral different periods of future returns. The initial idea would be to confirm the main two propositions in Cochrane s work : the organization of asset pricing around discount- rates and if forecastability gains power as the return periods studied grow in size. In order to study the first idea, data should have been obtained on dividend payment from every Brazilian company that was part of the Brazilian Index, and that proved an impossible task at the moment. The work was restricted in its goal to verify if forecastability increases along increasing return timeframes.

This research paper studies the Day-of-the-week effect in the cryptocurrency market. Using multiple regression, we analyze the effect using 12 counterfactual optimized portfolios of the cryptocurrencies, as well as the 10 cryptocurrencies alone. Our findings show that well-optimized cryptocurrency portfolios are not subject to Day-of-the-week effects. A positive Monday and a negative Thursday effect were confirmed in Bitcoin, Ethereum, and Ripple, as well as a negative Sunday effect for Ripple.