This research focuses mainly on the evaluation of interest rates predictions (predictions of 3M PRIBOR rate) published by Czech national bank. In the first part of the thesis reasons and potential central bank's benefits of the publishing of interest rate predictions are presented, based on the current academic literature. In the next chapters econometric and non-econometric evaluation of Czech national bank forecasts is provided. Furthermore, predictions from Czech Treasury, random walk process and my own autoregressive and vector autoregressive predictions were evaluated as well. It has been concluded that Czech national bank produces and publishes the most accurate based on non-econometric and econometric evaluation of all examined predictions. Moreover during the F-test evaluation procedure, the forecasts of Czech national bank proved themselves to be unbiased for the longest time horizon of all examined predictions. Powered by TCPDF (www.tcpdf.org)

<p>This paper explores the effect of credit rating agency’s (CRA) reputation on the discretionary disclosures of corporate bond issuers. Academics, practitioners, and regulators disagree on the informational role played by major CRAs and the usefulness of credit ratings in influencing investors’ perception of the credit risk of bond issuers. Using management earnings forecasts as a measure of discretionary disclosure, I find that investors demand more (less) disclosure from bond issuers when the ratings become less (more) credible. In addition, using content analytics, I find that bond issuers disclose more qualitative information during periods of low CRA reputation to aid investors better assess credit risk. That the corporate managers alter their voluntary disclosure in response to CRA reputation shocks is consistent with credit ratings providing incremental information to investors and reducing adverse selection in lending markets. Overall, my findings suggest that managers rely on voluntary disclosure as a credible mechanism to reduce information asymmetry in bond markets.</p> / Dissertation

The thesis deals with the determination and analysis of government support for building savings in the Czech republic between 2001 and 2009. The general section describes the legal framework of building savings system and the main products offered by building societies. The application section examines the progression of government support for building savings and delas with its forecasts.

Universidade Federal do Cearà / Este estudo pretende apresentar o perfil do empreendedor e quantificar os fatores determinantes da mortalidade das micro e pequenas empresas (MPEs), cuja taxa mÃdia anual brasileira à acima de 50%. AlÃm desse foco a pesquisa procura resgatar o histÃrico das aÃÃes empreendedoras e das polÃticas de incentivo ao empreendedorismo de pequeno porte, no Brasil e em outros paÃses. Uma vez que esse segmento à de real importÃncia para o paÃs, haja vista contribuir sobremaneira para geraÃÃo de emprego e renda com participaÃÃo de 20% no PIB nacional, e consequentemente na reduÃÃo da desigualdade social, um trabalho que se propÃe a analisar as causas da elevada taxa de mortalidade se identifica como relevante. Para atingir o objetivo foi desenvolvida uma pesquisa de campo, atravÃs de uma amostra representativa junto aos sÃcios principais ou proprietÃrios de empresas ativas e extintas constituÃdas no perÃodo de 2001 a 2005 na cidade de Picos/PI. Foram coletadas informaÃÃes sobre as caracterÃsticas das empresas como tambÃm sobre os perfis dos sÃcios e, uma vez tabulados foram confrontados com os dados consolidados de uma pesquisa do SEBRAE/2005 para a cidade de SÃo Paulo, as quais mostraram conformidade, exceto quanto a variÃvel nÃvel de escolaridade. AtravÃs de um modelo de escolha binÃria foram construÃdos vÃrios cenÃrios de previsÃo, variando de situaÃÃes extremamente otimistas Ãs pessimistas quanto Ãs caracterÃsticas das empresas e perfis dos sÃcios, de onde foram estimadas probabilidades para uma empresa representativa vir a ser extinta. A justeza do modelo se deu de forma estatisticamente satisfatÃria, vez que as previsÃes dos cenÃrios pessimistas e otimistas revelaram probabilidades de 99% e 1%, respectivamente, para ocorrÃncia de insucesso de uma empresa implantada.

本研究主要在研究上市（櫃）公司上半年公告強制性財務預測的達成率與下半年盈餘管理之間的關係。當公司在上半年度公告的財務預測過份樂觀，公司在公告預測的下半年擬現金增資時，則公司會以盈餘管理的方式來令原始（上次更新）預測達到準確的目的。即探討公司上半年度財務預測達成率過高或過低之的情境下，公司是否從事盈餘管理活動以避免於下半年度更新財務預測。 本研究以盈餘達成率作為衡量篩選樣本的指標，以無母數統計MANN-WHITNEY U TEST與單因子變異數(1-WAY ANOVA)分析資料。 本研究的實證結果顯示： 一、上市（櫃）公司於上半年度未更新財務預測，其上半年財務預測達成率低者，公司有傾向以盈餘管理方式操縱應計項目以避免於下半年更新財務預測。 二、上市（櫃）公司於上半年度更新一次財務預測，其上半年財務預測達成率仍未達20﹪者，公司有傾向以盈餘管理方式操縱應計項目以避免於下半年更新財務預測，但幅度不是很顯著，可能盈餘管理並非管理當局達成財務預測的主要方式。 三、不論上市（櫃）公司於上半年度是否更新過財務預測，其上半年財務預測達成率低者，公司皆有傾向以盈餘管理方式操縱應計項目以避免於下半年更新財務預測。而上半年度未更新財務預測者又較上半年度更新一次財務預測者傾向以盈餘管理方式操縱應計項目以避免在下半年更新財務預測。

<p>This thesis attempts to describe the essential systems features of a complex real-world domain of operational risk (OR) in banking, by employing general systems theory (GST) as the guiding method. An implementational framework (SAFOR) is presented for operational risk management (ORM), the target of which is to manage and mitigate the risk-around-loss causes. Since reasoning about OR is often scenario based, the framework also includes methods for decision making in addition to Value at Risk (VaR) and Conditional Value at Risk (CVaR). Other computational models that yield prediction intervals are discussed as well. Because the banking industry is one of the most mature sectors when it comes to OR, and contains the most data points, the discussion in this thesis evolves around such institutions. The present state-of-the-art in OR management for banking is surveyed using a systemic-holistic approach and the model framework is presented against this discussion. Tools and concepts from systems theory and systems thinking are employed for assessing systems properties and gaining insights into the interaction of various components. This brings about a number of advantages. This is not in disagreement with current suggestions such as those of the Basle Committee (Basel II), which is doing an excellent job in proving the state-of-the-art in best practice for banking institutions. Rather, this thesis offers a complementary perspective, looking at essentially the same problems but in a broader context and with a differing view.</p><p>OR data has been hard to come by in banking. Confidentiality and difficulties in quantifying OR as well as the short time data has been gathered in a consistent way are some of the reasons for this. Therefore, no case study has been done. Instead, we have chosen to look into a published bank application of an advanced OR model. The application shows that the technique holds as validation of the SAFOR modules.</p>

This thesis attempts to describe the essential systems features of a complex real-world domain of operational risk (OR) in banking, by employing general systems theory (GST) as the guiding method. An implementational framework (SAFOR) is presented for operational risk management (ORM), the target of which is to manage and mitigate the risk-around-loss causes. Since reasoning about OR is often scenario based, the framework also includes methods for decision making in addition to Value at Risk (VaR) and Conditional Value at Risk (CVaR). Other computational models that yield prediction intervals are discussed as well. Because the banking industry is one of the most mature sectors when it comes to OR, and contains the most data points, the discussion in this thesis evolves around such institutions. The present state-of-the-art in OR management for banking is surveyed using a systemic-holistic approach and the model framework is presented against this discussion. Tools and concepts from systems theory and systems thinking are employed for assessing systems properties and gaining insights into the interaction of various components. This brings about a number of advantages. This is not in disagreement with current suggestions such as those of the Basle Committee (Basel II), which is doing an excellent job in proving the state-of-the-art in best practice for banking institutions. Rather, this thesis offers a complementary perspective, looking at essentially the same problems but in a broader context and with a differing view. OR data has been hard to come by in banking. Confidentiality and difficulties in quantifying OR as well as the short time data has been gathered in a consistent way are some of the reasons for this. Therefore, no case study has been done. Instead, we have chosen to look into a published bank application of an advanced OR model. The application shows that the technique holds as validation of the SAFOR modules.

Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables in simultaneously achieving these two goals under affine models. To this end, I incorporate a liquidity demand theory via a measure of the velocity of money into affine models. I find that this considerably reduces the statistical tension between matching the first and second moments of interest rates. In terms of forecasting yields, the models with the velocity of money outperform among the ATSMs examined, including those with inflation and real activity. My result is robust across maturities, forecasting horizons, risk price specifications, and the number of latent factors. Next, I incorporate latent macro factors and the spread factor between the short-term Treasury yield and the federal funds rate into an affine term structure model by imposing cross-equation restrictions from no-arbitrage using daily data. In doing so, I identify the highfrequency monetary policy rule that describes the central bank's reaction to expected inflation and real activity at daily frequency. I find that my affine model with macro factors and the spread factor shows better forecasting performance.

Information transparency enhances corporate governance. In an attempt to reduce the information asymmetry between business insiders and outsiders and to allow outsiders to have more information for decision making by disclosing more corporate information voluntarily, the Taiwan Stock Exchange Corporation (TSEC) and Over-The-Counter Securities Exchange (OTCE) requested the Securities & Futures Institute (SFI) to implement an information disclosure and evaluation system for all publicly traded and OTC companies listed in TSEC. This study investigates the effects of the system on decision behavior of the investors, analysts, and auditors. Empirical results indicate that investors¡¦ ability of future earnings evaluation increases, analysts¡¦ earnings forecasts are more accurate, and the earnings forecasts dispersion among the analysts decreases after the system has been implemented. However, the implementation of the system has no effects on the types of audit opinion issued by auditors. Besides, the analysts¡¦ earnings forecasts are more accurate for the ¡§more transparent¡¨ companies. However, the differences of future earnings evaluation, earnings forecasts dispersion among the analysts and types of audit opinion between ¡§more transparent¡¨ and ¡§less transparent¡¨ companies are not significant. These results may provide implication to authorities for making related policies.

This thesis investigates the predictability of trading strategies in the European and American stock market from 2001 to 2013. More specific, we examine the indices CAC40, DAX, FTSE100, NASDAQ and S&P500 first with the simple moving averages, then with trading rules based on the forecasts of time – series models and finally with the combination of the technical trading rules and time –series models. The significance of the examined trading rules tested with standard t – tests. The standard tests results show that technical trading rules are the most profitable strategy, second follows the combined and then the time – series rules as the least profitable trading strategy related to buy – and – hold strategy. / Σκοπός της παρούσας εργασίας είναι η διερεύνηση της προβλεπτικής δυνατότητας στρατηγικών επενδύσεων που εφαρμόζονται στην Ευρωπαϊκή και Αμερικάνικη χρηματιστηριακή αγορά, για τη χρονική περίοδο 2001-2013. Πιο συγκεκριμένα θα εξετασθούν οι δείκτες CAC 40, DAX, FTSE 100, NASDAQ και S&P 500, με κανόνες κινητών μέσων όρων, με κανόνες που βασίζονται σε μοντέλα πρόβλεψης χρονολογικών σειρών και με κανόνες συνδυαστικών των δύο ανωτέρω. Οι παραπάνω στρατηγικές θα συγκριθούν με την στρατηγική διακράτησης (Buy-and-Hold), που έχει ορισθεί ως benchmark στρατηγική και η σημαντικότητα των αποτελεσμάτων θα εξετασθεί με στατιστικούς ελέγχους t-statistics.