This thesis considers how fiscal and monetary policy should be conducted in resourcerich economies. It consists of three papers addressing: whether governments should spend, save or invest volatile oil income; the assets they should save in; and how monetary policy should respond. The first, “Eight principles for managing resource wealth”, shows that capital-scarce countries should save relatively less against oil price volatility, and invest more in domestic capital. They also should prepare for volatility in advance, and treat savings as a source of income rather than a temporary buffer. To show this the paper develops a framework that nests a variety of existing results, which are presented in eight principles. The second, “The Elephant in the Ground: Oil extraction and asset allocation in sovereign wealth funds”, shows that governments should use sovereign wealth funds to offset oil price risk, extract oil faster if its price is pro-cyclical, and use precautionary savings to manage any residual volatility. To do this it combines three strands of literature for the first time: on continuous-time portfolio theory, oil extraction and precautionary savings. The third, “Optimal monetary responses to oil discoveries”, addresses the anticipation effects around an oil discovery. It shows that the terms of trade will need to appreciate twice: once when oil is discovered and consumers anticipate future revenues; and again when the government begins spending the revenues. Oil wealth will give the monetary authority an incentive to appreciate the terms of trade, in addition to stabilising domestic inflation and the output gap. Optimal policy is well-approximated by a standard monetary rule that also responds to expected changes in the natural level of output.

This thesis is a collection of three essays on hedge funds with contributions to the empirical understanding of their fees, and their voluntary disclosure of returns and assets under management, using a large consolidation of widely-employed publicly available hedge fund databases. First, time-series variation in reported fees is analysed using fund launches within hedge fund management companies, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differently from low fee funds, though funds with high incentive fees marginally outperform. An interval regression technique is proposed to overcome the discrete nature of reported fees. Secondly, the reliability of voluntary disclosures of financial information is analysed with a different measure of time-variation --- tracking changes to statements of historical performance recorded at different points in time. This uncovers evidence that historical returns are routinely revised. These revisions are not merely random or corrections of earlier mistakes; they are partly forecastable by fund characteristics. Moreover, funds that revise their performance histories, significantly and predictably underperform those that have never revised. Finally, the availability, and timing, of the selective disclosure of assets under management by funds is examined. More than a third of funds have asset records falling short of returns published. There is evidence of strategic disclosure by funds --- asset reporting drying up after times of fund stress, such as poor performance or outflows. Furthermore, investors should take heed of the greater propensity for shortfall funds to trigger fraud performance flags. These results suggest that unreliable disclosures: constitute a valuable source of information for current and potential investors; have implications for researchers; and, exhort market regulators to include assets, not just returns, in the debate around mandatory disclosure by financial institutions.

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal.

The efficient market hypothesis has been around since 1962, the theory based on a simple rule that states the price of any asset must fully reflect all available information. Yet there is empirical evidence suggesting that markets are too volatile to be efficient. In essence, this evidence seems to suggest that the reaction of the market participants to the information or events that is the crucial factor, rather than the actual information. This highlights the need to include the behavioural finance theory in the pricing of assets. Essentially, the research aims to analyse the efficiency of six key sovereign debt markets during a period of changing volatility including the recent global financial and sovereign debt crises. We analyse the markets in the pre-crisis period and during the financial and sovereign debt crises to determine the impact of the crises on the efficiency of these financial markets. We use two GARCH-based variance bound tests to test the null hypothesis of the market being too volatile to be efficient. Proposing a GJR-GARCH variant of the variance bound test to account for variation in the asymmetrical effect. This leads to an analysis of the changing behaviour of price volatility to identify what makes the market efficient or inefficient. In general, our EMH tests resulted in mixed results, hinting at the acceptance of the null hypothesis of the market being too volatile to be efficient. However, interestingly a number of 2017 observations under both models seem to be hinting at the rejection of the null hypothesis. Furthermore, our proposed GJR-GARCH variant of the variance bound test seems to be more likely to accept the EMH than the GARCH variant of the test.

This paper analyzes two main frameworks that challenge the “mainstream” finance theory and the random walk hypothesis. The first framework is based on investor irrationality and is called Behavioural Finance. The second framework views the financial market as a chaotic system and is called Fractal Theory of a financial market. Behavioural Finance attacks the assumption of investor rationality, thus challenging the conventional finance theories on the micro level. Fractal Theory challenges the EMH and the “macroeconomics” of finance. This paper presents a step towards unifying the frameworks of Behavioural Finance and Fractal Theory. After a review of the relevant literature, a model of the financial market is suggested that rests on the predictions of both Behavioural Finance and Fractal Theory. As a next step, a mathematical algorithm is described that allows to test the financial market for consistency with the presented model. The mathematical algorithm is applied to 10 years of daily S&P500 price quotes, and consistent statistical evidence shows that the predicted fractal pattern reveals itself in the S&P500 prices. The new model outperforms the random walk in out-of-sample forecasting.

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

Made available in DSpace on 2016-06-02T20:00:29Z (GMT). No. of bitstreams: 1 2474.pdf: 4397371 bytes, checksum: 2de24dd78d3c917c67e2006145da6ce4 (MD5) Previous issue date: 2009-02-27 / Water, which is needed by all living beings, is considered an economic and environmental possession of invaluable value to the life of the planet. It is found in Brazil as a possession of public domain, according to the Federal Constitution of 1988 and Law 11.445, of January 5 of 2007, which establishes the guidelines for the federal policy of sanitation. There is, therefore, the concept of ownership of management relevant to the State, with participation by the society. Wanting to demonstrate that it is possible to attain economic sustainability of a S.A.E, through the appropriate management, the case of the city of São José do Rio Preto will be studied, where the delivery of water supply and sanitation is done by a municipal authority created in August 21 of 2001, called SeMAE (Serviço Municipal Autônomo de Água e Esgoto). In the last decades it was verified, in a national territory level, trends for greater participation of private enterprises in the industry of sanitation, which contradicts the predominance, in most of the world, of public and local management. Referencing certain features of sanitation services, such as the essentiality and natural monopoly, there is a pressing need for social control. But the lacks of resources, ridiculous charges, practices of welfarism, and political interference, combined with poor management, have led to a scenario where the privatization appeared as salvation. With the introduction of National Sanitation Policy in 2007 and increased participation of the Federal Government, through the provision of programs and funding for the sector, an other reality is shown. The State, now defined as owner of sanitation services, walks in a path full of obligations and duties, in search of quality, efficiency and universal provision of the service. During the conception of this work, through the observation of the existing structures, institutional, physical, and operational of the Water and Sewer Service (W.S.S.) analysed, using data collected and carefully selected, were prepared initial diagnosis and procedures which corroborated with the evolution of this system. The comparative data used, coming mostly from the SNIS National Information of Sanitation System. The analysis and developmente of this work is permeated by the economic perspective. It avaliates, in the period from 2001 to 2008, the system of water supply and sewerage of São José do Rio Preto by means of measurable parameters and values, demonstrating its sustainability. / A água, necessidade de todos os seres vivos, é tida como bem econômico e ambiental de valor incalculável para a vida do planeta. Apresenta-se no Brasil como bem de domínio público, segundo a Constituição Federal de 1988 e a Lei n° 11.445, de 5 de janeiro de 2007, que estabelece as diretrizes para a política federal de saneamento básico. Têm se, portanto, a concepção da titularidade da gestão pertinente ao poder público, com participação da sociedade civil. Objetivando demonstrar que é possível atingir a sustentabilidade econômica de um Serviço de Água e Esgoto (S.A.E), por meio de gestão adequada, estudamos o caso da cidade de São José do Rio Preto, cuja prestação dos serviços de abastecimento de água e de esgotamento sanitário é realizada por uma autarquia municipal, criada em 21 de agosto de 2001, denominada Serviço Municipal Autônomo de Água e Esgoto (SeMAE).. Nas últimas décadas verificou-se, em todo território nacional, a tendência por uma maior participação da iniciativa privada na indústria de saneamento, o que contraria a predominância, em boa parte do mundo, da organização por gestão pública e local. Referenciando-se certas características dos serviços de saneamento, como a essencialidade e monopólio natural, constata-se a premente necessidade de controle social. Mas a falta de recursos, tarifas irrisórias, prática de assistencialismo e ingerências políticas, aliados à má gestão, conduziram a um cenário onde a privatização figurava como salvação. Com a instituição da Política Nacional de Saneamento em 2007 e a maior participação do Governo Federal, por meio da disponibilização de programas e financiamentos para o setor, desenha-se outra realidade. O poder público, agora definido como titular dos serviços de saneamento, passa a trilhar um caminho repleto de obrigações e deveres, na busca da qualidade, eficiência e universalização da prestação. Durante a concepção deste trabalho, por meio de observações das estruturas existentes, institucionais, físicas e operacionais do S.A.E. analisado, utilizando dados coletados e selecionados de forma criteriosa, foram elaborados diagnósticos inicial e de procedimentos, que corroboraram com a evolução desse sistema. Os dados comparativos utilizados originaram-se em grande maioria, do Sistema Nacional de Informação de Saneamento (SNIS). A análise e desenvolvimento deste trabalho permearam-se na esfera econômica. Avaliamos, no período de 2001 a 2008, o sistema de abastecimento de água e esgoto do município de São José do Rio Preto, por meio de parâmetros e valores mensuráveis, demonstrando a sua sustentabilidade.

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This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.