Cette thèse a pour vocation principale d’expliquer l’énigme de la prime de risque en évaluant l’impact de la crise financière récente des Subprimes aux Etats-Unis sur la prime de risque. Etant donné que le coefficient du risque systématique demeure le facteur majeur de la prime de risque, nous avons recouru à une version conditionnelle du MEDAF afin d’étudier l’impact de la crise sur le bêta conditionnelle en utilisant comme spécification économétrique le GARCH multivarié (BEKK) d’Engel et Kroner (1995). La crise des subprimes qui a débuté à la fin de l’année 2007 avec l’effondrement du marché immobilier américain, a d'abord eu des conséquences sur la sphère financière locale. Mais elle a pris de l'ampleur, diffusant aux autres grandes places financières. Depuis longtemps, l’aversion au risque n’avait pas été aussi élevée et la faillite de la banque d’affaires Lehman Brothers en mi-septembre, a constitué le point d’orgue de la crise. Dans ce travail, nous nous sommes basé sur le marché boursier français et nous avons essayé de détecter l’impact de la crise financière sur la prime de risque des indices sectoriels. Pour ce faire, nous avons essayé de montrer l’effet de la crise sur le risque systématique bêta des indices. D’abord, nous avons créé des bêtas journaliers par le modèle GARCH bivarié (BEKK) d’Engel et Kroner sur la période allant de 01 Janvier 2007 au 31 Décembre 2014. Ensuite, nous avons régressé le bêta en introduisant comme variables explicatives la variance conditionnelle de l’indice et la variance conditionnelle du marché. Des variables Dummy y sont introduites pour détecter l’effet de la crise sur le bêta à partir du 15 Septembre 2008.Nos résultats ont montré que la crise financière a provoqué une hausse de volatilité des indices sectoriels. Cette hausse a eu un impact direct sur le risque systématique bêta ( positif significatif). Celle-ci a augmenté pour la majorité des secteurs durant la période après crise. / This thesis aims primarily to explain the enigma of the risk premium by assessing the impact of the recent financial subprime crisis in the United States on the risk premium. Since the systematic risk factor remains the major factor in the risk premium, we used a conditional version of the CAPM to study the impact of the crisis on the conditional beta using econometric specification as the multivariate GARCH ( BEKK) Engel and Kroner (1995). The subprime crisis that started in late 2007 with the collapse of the US housing market, first had an impact on the local financial sector. But it gained momentum, spreading to other major financial centers. Long time, risk aversion was not as high and the bankruptcy of investment bank Lehman Brothers in mid-September, was the organ of the crisis developed. In this work, we based on the French stock market and we tried to detect the impact of the financial crisis on the risk premium sector indices. To do this, we tried to show the effect of the crisis on the systematic risk beta indices. First, we created daily by the beta bivariate GARCH (BEKK) Engel and Kroner on the period from January 1, 2007 to December 31, 2014. Then we dropped the beta introducing explanatory variables variance conditional index and the conditional variance of the

A família é a base da sociedade, conforme expressa disposição contida na Constituição Federal de 1988, que lhe assegura especial proteção do Estado. É o núcleo familiar a menor e mais íntima célula social, mas também o mais importante agrupamento de pessoas que têm entre si uma profunda relação afetiva e de solidariedade. Tão importantes são os laços de afetividade que unem os familiares que a lei lhes atribui valor e eficácia jurídica. Dentro do núcleo familiar, as crianças e adolescentes que contam com menos de 18 anos de idade, são consideradas mais vulneráveis e, por tal motivo, recebem proteção especial, ainda mais específica do Estado. A Constituição Federal lhes assegura vários direitos e garantias fundamentais, confirmados e reiterados no Código Civil, no Estatuto da Criança e do Adolescente e, até mesmo em leis infraconstitucionais esparsas. É dever da família, da sociedade e do Estado assegurar à criança e ao adolescente, com absoluta prioridade os direitos fundamentais estabelecidos na Constituição Federal. O Estado, por sua vez, diante da importância que os menores têm dentro da família e para nossa sociedade, impõe aos pais a autoridade familiar, delegando a eles a enorme responsabilidade de dirigir a criação e educação dos filhos, entre outras funções tão igualmente importantes. Entretanto, ao mesmo tempo que atribui a função da autoridade familiar aos pais, o Estado também lhes retira a liberdade de exercer tal autoridade com autonomia. A intervenção estatal no exercício da autoridade familiar é, por certo, legítima e devida, tendo em vista a segurança e o bem estar das crianças e dos adolescentes. Os abusos na direção da criação e educação dos filhos podem e devem ser coibidos pelo poder estatal, a quem incumbe cuidar da segurança de todos os indivíduos. A excessiva intervenção estatal, porém, é ilegítima, podendo gerar consequências desastrosas nas relações familiares e na criação dos filhos. Ao esvaziar a autoridade familiar o Estado torna mais difícil ainda a função de disciplinar e exigir obediência dos filhos. O Estado deve ser atuante e efetivamente intervir no exercício da autoridade familiar da maneira como faz atualmente, apenas para fiscalizar e coibir eventuais abusos, mas não deve retirar a autoridade dos pais, sob pena de não conseguir conter os abusos eventualmente cometidos pelos próprios menores, demasiadamente protegidos. O Projeto de lei n° 7672/2010, em trâmite na Câmara dos Deputados, que pretende alterar o Estatuto da Criança e do Adolescente, para coibir a aplicação de castigos corporais ou de tratamento cruel ou degradante pelos pais na criação e educação dos filhos, conhecido como Lei da Palmada, é um exemplo da intervenção indevida do Estado nas relações familiares. A obrigatoriedade de matricular os filhos no ensino fundamental, submetendo-os à educação formal, impedindo que os próprios pais ofereçam a educação doméstica também é outro exemplo de intervenção estatal indevida. Deve-se buscar um equilíbrio para que os pais possam livremente criar e educar seus filhos sem abusos e que o Estado possa fiscalizar o exercício da função a eles atribuída, sem intervir diretamente na autoridade familiar. / Society is founded on families. In an explicit provision of the 1988 Constitution, the law ensures that the State safeguards families. While a family may be characterized as the smallest and most intimate social cell, it is also the most important gathering of people, sharing a deep and emotional relationship, as well as solidarity. These ties of affection that bond families together are so important that the law grants them value and legal efficacy. Within the family, children and adolescents who are under 18 years old are considered to be the most vulnerable and, therefore, receive special protection, secured by specific rules. The Federal Constitution thus ensures that various fundamental rights and guarantees are provided to them, something that is reaffirmed in the Civil Code, in the Statute of Children and Adolescents, and even in sparse legislation. It is the duty of the family, the society and the State to make sure that children and adolescents come first when it comes to the fundamental rights established in the Constitution. Taking into account the importance that children have within the family and within society, the State delegates \"family authority\" to parents, the enormous responsibility to guide the upbringing and education of children, among other functions as equally important. However, while assigning such role to parents, the State also withdraws them the freedom to exercise this authority with complete autonomy. Aiming at guaranteeing the safety and welfare of children and adolescents, government intervention in the exercise of family authority is thus legitimate and appropriate. Abuses carried out by parents while raising and educating their children can and should be restrained by the State, who is ultimately responsible for caring for the safety of all individuals. Excessive state intervention, however, is illegitimate, and can generate disastrous consequences for family relationships and parenting. When the government empties family authority, it may turn the task of disciplining children into something more difficult than it already is. It is our belief that the State must actively intervene in the exercise of family authority, monitoring and curbing abuses, but it must do so in a way that does not withdraw the authority of parents, or it will fail to control abuses eventually committed by children and adolescents themselves, overly protected. Draft Law No. 7672/2010, currently awaiting approval from the House of Representatives, seeks to amend the Statute of Children and Adolescents. If passed, the Statute would forbid parents to use any kind of punishment that may be deemed cruel or degrading treatment, while upbringing and educating their children. Widely known as the \"Spanking Statute\", this is a clear example of undue state intervention in family relationships. Another provision that we question here is the obligation to enroll children in elementary school, subjecting them to formal education, and preventing home schooling. We must seek balance so that parents may freely raise and educate their children. And while the State must be allowed to scrutinize the proper exercise of parenting, it must not do so in a way that directly affects and undermines family authority.

Pension funds play a large role in the UK pension system since the returns of the funds determine how large the total pension will be. The future retirees can choose between active and passive fund management where the active management often is more expensive. In this study 102 actively managed UK equity pension funds are analyzed in order to see if managers have sufficient skill to generate risk adjusted return to cover the cost imposed on the investors. The result implies that the active pension funds in aggregate, before expenses, hold a portfolio that imitates market returns during 2000 to 2012. Bootstrap simulations suggest that only eight funds out of the sample of 102 have skilled managers and six of these managers are skilled enough to produce risk adjusted excess return large enough to cover the expenses imposed on the investor.

2008 is a special year for the global financial market. The global financial tsunami ignited from the U.S sub-prime mortgage crisis has caused Wall Street financial giants to collapse. The credit crunch in turn caused a contraction in the real economy and the world paid a heavy price for this financial tsunami. Charles Dickens quote¡G "It was the best of times, it was the worst of times ". Compared to European and the United States large-scale banks, China's banks are less opened and have relatively small exposure to derivative financial products. Consequently, these barriers have led them to limit their losses and write-downs from the sub-prime mortgage crisis. This thesis studies the major China-based banks¡¦ profitability by comparing these banks¡¦ financial and operational structures, and correlations to several economic factors. At the same time, Fama-French three-factor model was used to verify the efficiency of the China¡¦s stock market. The conclusions of this study are presented as follows¡G(a) Although these Chinese banks do have economies of scale, but the relationship between scale and profitability is not proportional. (b) Chinese banks are less affected by the financial crisis as a result of the high level of protection and control of the Chinese government, coupled with the fact that most of the Chinese banks¡¦ core operations are net interest income (c) lending activity¡B net interest margin¡B and asset quality are the key drivers for Chinese banks, and these three factors are mostly negatively correlated to the economic condition. (d) Based on the regression result of the Fama-French three factors model and the result of the T test, the relation of the excess return of the Chinese banks¡¦ Shanghai-listed A-shares to both the market value and the ratio of book to market value is significant while that of the Chinese banks¡¦ Hong Kong-listed H-shares is insignificant.

This paper investigates the impact of social norms on the performance and valuation of “controversial stocks”- publicly traded companies involved in the production of Adult Entertainment, Alcohol, Gambling, Nuclear Energy, Tobacco, Uranium, and Weapons. Their performance and valuation is directly compared with compare non-controversial stocks. The paper consider an international sample of 941 controversial stocks. Employing a multi-factor performance measure, seven countries provide a significant outperformance of controversial stocks across all relevant control factors. The valuation analysis, however, provide mixed results on a country level, but on the global market-to-book ratio provide a significant overvaluation of controversial stocks compared to comparable non-controversial stocks, which contradicts the prediction of an undervaluation.JEL classification:

A família é a base da sociedade, conforme expressa disposição contida na Constituição Federal de 1988, que lhe assegura especial proteção do Estado. É o núcleo familiar a menor e mais íntima célula social, mas também o mais importante agrupamento de pessoas que têm entre si uma profunda relação afetiva e de solidariedade. Tão importantes são os laços de afetividade que unem os familiares que a lei lhes atribui valor e eficácia jurídica. Dentro do núcleo familiar, as crianças e adolescentes que contam com menos de 18 anos de idade, são consideradas mais vulneráveis e, por tal motivo, recebem proteção especial, ainda mais específica do Estado. A Constituição Federal lhes assegura vários direitos e garantias fundamentais, confirmados e reiterados no Código Civil, no Estatuto da Criança e do Adolescente e, até mesmo em leis infraconstitucionais esparsas. É dever da família, da sociedade e do Estado assegurar à criança e ao adolescente, com absoluta prioridade os direitos fundamentais estabelecidos na Constituição Federal. O Estado, por sua vez, diante da importância que os menores têm dentro da família e para nossa sociedade, impõe aos pais a autoridade familiar, delegando a eles a enorme responsabilidade de dirigir a criação e educação dos filhos, entre outras funções tão igualmente importantes. Entretanto, ao mesmo tempo que atribui a função da autoridade familiar aos pais, o Estado também lhes retira a liberdade de exercer tal autoridade com autonomia. A intervenção estatal no exercício da autoridade familiar é, por certo, legítima e devida, tendo em vista a segurança e o bem estar das crianças e dos adolescentes. Os abusos na direção da criação e educação dos filhos podem e devem ser coibidos pelo poder estatal, a quem incumbe cuidar da segurança de todos os indivíduos. A excessiva intervenção estatal, porém, é ilegítima, podendo gerar consequências desastrosas nas relações familiares e na criação dos filhos. Ao esvaziar a autoridade familiar o Estado torna mais difícil ainda a função de disciplinar e exigir obediência dos filhos. O Estado deve ser atuante e efetivamente intervir no exercício da autoridade familiar da maneira como faz atualmente, apenas para fiscalizar e coibir eventuais abusos, mas não deve retirar a autoridade dos pais, sob pena de não conseguir conter os abusos eventualmente cometidos pelos próprios menores, demasiadamente protegidos. O Projeto de lei n° 7672/2010, em trâmite na Câmara dos Deputados, que pretende alterar o Estatuto da Criança e do Adolescente, para coibir a aplicação de castigos corporais ou de tratamento cruel ou degradante pelos pais na criação e educação dos filhos, conhecido como Lei da Palmada, é um exemplo da intervenção indevida do Estado nas relações familiares. A obrigatoriedade de matricular os filhos no ensino fundamental, submetendo-os à educação formal, impedindo que os próprios pais ofereçam a educação doméstica também é outro exemplo de intervenção estatal indevida. Deve-se buscar um equilíbrio para que os pais possam livremente criar e educar seus filhos sem abusos e que o Estado possa fiscalizar o exercício da função a eles atribuída, sem intervir diretamente na autoridade familiar. / Society is founded on families. In an explicit provision of the 1988 Constitution, the law ensures that the State safeguards families. While a family may be characterized as the smallest and most intimate social cell, it is also the most important gathering of people, sharing a deep and emotional relationship, as well as solidarity. These ties of affection that bond families together are so important that the law grants them value and legal efficacy. Within the family, children and adolescents who are under 18 years old are considered to be the most vulnerable and, therefore, receive special protection, secured by specific rules. The Federal Constitution thus ensures that various fundamental rights and guarantees are provided to them, something that is reaffirmed in the Civil Code, in the Statute of Children and Adolescents, and even in sparse legislation. It is the duty of the family, the society and the State to make sure that children and adolescents come first when it comes to the fundamental rights established in the Constitution. Taking into account the importance that children have within the family and within society, the State delegates \"family authority\" to parents, the enormous responsibility to guide the upbringing and education of children, among other functions as equally important. However, while assigning such role to parents, the State also withdraws them the freedom to exercise this authority with complete autonomy. Aiming at guaranteeing the safety and welfare of children and adolescents, government intervention in the exercise of family authority is thus legitimate and appropriate. Abuses carried out by parents while raising and educating their children can and should be restrained by the State, who is ultimately responsible for caring for the safety of all individuals. Excessive state intervention, however, is illegitimate, and can generate disastrous consequences for family relationships and parenting. When the government empties family authority, it may turn the task of disciplining children into something more difficult than it already is. It is our belief that the State must actively intervene in the exercise of family authority, monitoring and curbing abuses, but it must do so in a way that does not withdraw the authority of parents, or it will fail to control abuses eventually committed by children and adolescents themselves, overly protected. Draft Law No. 7672/2010, currently awaiting approval from the House of Representatives, seeks to amend the Statute of Children and Adolescents. If passed, the Statute would forbid parents to use any kind of punishment that may be deemed cruel or degrading treatment, while upbringing and educating their children. Widely known as the \"Spanking Statute\", this is a clear example of undue state intervention in family relationships. Another provision that we question here is the obligation to enroll children in elementary school, subjecting them to formal education, and preventing home schooling. We must seek balance so that parents may freely raise and educate their children. And while the State must be allowed to scrutinize the proper exercise of parenting, it must not do so in a way that directly affects and undermines family authority.

Submitted by Mauro Mendes (maurorjbr@gmail.com) on 2013-09-03T03:25:01Z No. of bitstreams: 1 TESE - MAURO MENDES.pdf: 437308 bytes, checksum: eef5b6f9e8edb11b57b922f9f150863c (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2013-10-07T18:46:13Z (GMT) No. of bitstreams: 1 TESE - MAURO MENDES.pdf: 437308 bytes, checksum: eef5b6f9e8edb11b57b922f9f150863c (MD5) / Made available in DSpace on 2013-10-09T13:48:30Z (GMT). No. of bitstreams: 1 TESE - MAURO MENDES.pdf: 437308 bytes, checksum: eef5b6f9e8edb11b57b922f9f150863c (MD5) Previous issue date: 2013-05-24 / O objetivo dessa dissertação é analisar o impacto dos movimentos inesperados de variáveis macroeconômicas nos retornos das ações de empresas de diferentes setores. As variáveis macroeconômicas estudadas serão: produto, juros, inflação e preço de commodities. Estudam-se alguns modelos através de diferentes técnicas de regressão para se chegar àquele que tem a melhor especificação. Com o objetivo de melhorar o poder de explicação dos modelos são utilizados os três fatores de Fama e French como variáveis explicativas e outro modelo que além dos fatores de Fama e French incluiu também momentum. Procura-se analisar a magnitude do impacto dos movimentos inesperados das variáveis macroeconômicas e suas relevâncias estatísticas a cada setor. / The central purpose of this essay is to analyze the impact of unanticipated macroeconomic variables on companies returns in different sectors. The macroeconomic variables studied was: product, interest rates, inflation and commodity price. We study some models through different regression techniques to achieve the one with best specification. Aiming to improve the explanatory power of the models we used the three factors of Fama and French model as independent variables and another model that used in addition to the three factors of Fama and French the momentum factor. I pretended to analyze the magnitude of the impact of unanticipated macroeconomic variables and their relevance statistic to each sector.

In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. This resulted in new models being developed, such as the Fama and French three-factor model which takes the size of a company into consideration (Fama & French, 1992). However, since the discovering of the size effect, several researchers have started to question its existence. (Asgharian & Hansson, 2008) Moreover, short after Banz findings, a study by Keim (1983) introduced results that complements the size effect. Keims study suggests that the size effect is present due to the fact that small-cap firms outperform large- cap firms during the month of January. This seasonal anomaly is called the “January effect” and could possibly be the reason for the existence of the size effect. The purpose of this study is to investigate if there is a size effect and/or a January effect present on the Swedish stock market (OMX) when using Enterprise Value as the measure for size. Enterprise Value has been chosen in order to consider the full capital structure of companies, hence, not solely the equity value. In order to answer these research questions, a quantitative study has been conducted on companies being listen on the OMX during the time period 2000-2019. The findings of the research are that there is no size effect present on the OMX. Furthermore, the research has found that there is a January effect present on the OMX. This paper suggests that the January effect might have been the reason for the presence of the size effect in history, but as of now, the size effect has diminished but the January effect still remains.

Magister Commercii - MCom / This study analyses the extent to which stock returns provide forecasts of changes in interest rates and inflation for the South African market. The period under investigation, January 1966 - February 1989, is characterised by structural changes in the South African economy, especially in the financial markets. The earnings yield on shares is used as a measure of the return on stocks. Stock returns of 10 specific industries are used in addition to the overall market return. Monthly inflation series were constructed by employing both the Consumer Price Index (CPI) and the Producer Price Index (PPI). Before examining that relationship, tests were done to examine the relationship between nominal stock returns and expected inflation. The relation between the stock market and expected inflation is estimated by using three measures of expected inflation. The results appear to suggest that the stock market reacted positively to expected inflation during the 1966 - 1982 period. Two proxies of expected inflation. Best results inflation are used to were obtained with measure future the Fama-Gibbons measure. In addition, the results suggest that stock returns provide additional information of future inflation to that contained in the Fama-Gibbons and interest rate models. Returns for specific industries, used in this study, appear to provide marginally better forecasts of inflation than the overall market return. The results also suggest that stock returns provide forecasts of changes in interest rates and inflation. There is no evidence that the specific industries used, provide consistent better forecasts of interest rate changes than the overall market.

Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. This is because these anomalies have been established on respective studies' specific markets and time periods. Researchers that have investigated the issue argue that it is essential to further challenge anomalies by replicating them in other settings to see if the evidence still holds. Hence, the purpose of this study is to examine if the retailers' trading imbalance anomaly can be replicated on Swedish Small Cap listed firms. We have examined this by using cross-sectional regressions in the spirit of Fama and MacBeth. This thesis concludes that the retailers’ trading imbalances cannot be replicated when applied to the chosen setting. We argue that the reasons for this are that retailers’ trading imbalances are not persistent, are not compensated when providing liquidity into the markets, and that it does not contain useful information about future stock returns. In addition, we also argue that inherent differences in the US markets compared to the Swedish Small Cap listed firms are affecting our possibility to successfully replicate the anomaly.