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This study investigates the moderating role of the agency conflict between controlling and minority shareholders on the investment-risk relationship. When the ownership-control structure is concentrated, the agency theory indicates that the separation between cash-flow rights and voting rights induces the controlling shareholder to extract private benefits. To assess the effect of ownership-control divergence on the investment-risk relation, we use system generalized method of moments estimator (SYS-GMM) in longitudinal data from 412 Brazilian firms between 1997 and 2010. Our results show that investment is less sensitive to idiosyncratic risk for companies in which the largest shareholder presents high levels of ownership-control divergence. The impact of excess voting rights on the investment-risk sensitivity holds after we group firms according to distinct corporate governance and financial characteristics, such as financial constraints, family control, board independence, and the type of control-enhancing mechanism. Board independence does not affect controlling shareholders\' behavior toward risky investments. Among the control-enhancing mechanisms, the issuance of dual class shares is the main driver of the lower investment sensitivity to idiosyncratic risk. Our findings are consistent with entrenchment effects in the sense that dominant shareholders may select riskier projects when investing other people\'s money, which have both managerial and policy implications. / Este estudo investiga o papel moderador do conflito de agência entre acionistas controladores e minoritários no relacionamento investimento-risco. Quando a estrutura de propriedade e controle é concentrada, a teoria da agência indica que a separação entre direitos de fluxo de caixa e direitos de voto induz o acionista controlador a extrair benefícios privados. Para avaliar o efeito da divergência propriedade-controle na relação investimento-risco, utilizamos o estimador de método dos momentos generalizado sistêmico (MMG-SIS) em dados longitudinais de 412 empresas brasileiras entre 1997 e 2010. Nossos resultados mostram que o investimento é menos sensível ao risco idiossincrático para empresas em que o maior acionista apresenta altos níveis de divergência propriedade-controle. O impacto dos direitos de voto em excesso na sensibilidade investimento-risco mantém-se após agruparmos as empresas de acordo com características de governança corporativa e financeiras, tais como restrições financeiras, controle familiar, independência do conselho e o tipo de mecanismo para aumento do controle. A independência do conselho não afeta o comportamento dos acionistas controladores em relação a investimentos arriscados. Entre os mecanismos para aumento do controle, a emissão de duas classes de ações é a principal direcionadora da menor sensibilidade do investimento ao risco idiossincrático. Nossas descobertas são consistentes com os efeitos de entrincheiramento no sentido de que os acionistas dominantes podem selecionar projetos mais arriscados ao investirem o dinheiro de outras pessoas, o que tem implicações gerenciais e políticas.

La thèse comporte trois parties, dont l’objet d’étude est l’immobilier soit en s’intéressant directement au marché immobilier résidentiel parisien, soit indirectement en analysant les REITs dont l’actif sous-jacent est l’immobilier. La première partie porte sur l’examen des facteurs macroéconomiques et financiers qui ont influencé, au cours de la période 1996-2010, les prix résidentiels à Paris en appliquant un modèle VAR (vector autoregressive). Dans la deuxième partie, nous analysons, au cours de la période 2007-2012, l’interaction entre les rendements des REITS et les facteurs macroéconomiques/financiers dans dix pays développés (les Etats-Unis, le Canada, l’Australie, l’Europe, la Zone Euro, le Japon, Hong-Kong, la France, le Royaume-Uni et l’Allemagne) en appliquant un modèle VAR. Les REITs investissent sur l’immobilier, mais ils sont cotés sur un marché boursier. Par conséquent, ils héritent des caractéristiques à la fois de l’immobilier et des actions. Ce caractère hybride des REITs nous conduit à nous interroger sur leur risque et le rôle qu’ils peuvent jouer dans la gestion de portefeuille. C’est pourquoi dans la troisième partie nous examinons, au cours de la période 2001-2012, l’effet des deux composantes du risque (bêta et le risque idiosyncratique) et certains facteurs spécifiques aux REITs (taille, rapport Actif Net Comptable / valeur de marché et la mesure d’illiquidité) sur les rendements des REITs européens (la France, l’Allemagne, le Royaume-Uni, les Pays-Bas et l’Italie) en appliquant le modèle à trois facteurs de Fama et French et la méthodologie de Fama et MacBeth. / The thesis consists of three parts, whose purpose is the real estate market either being interested directly in the residential real estate market in Paris, or indirectly by analyzing REITs, whose underlying asset is the real estate. In the first part entitled “Which Macroeconomics and Financial Factors Affect Real Estate Prices in Paris”, we employ a vector autoregressive (VAR) model in order to examine, during the period 1996-2010, the relation between residential prices in Paris and several macroeconomic/financial factors. In the second part entitled “How Legislation, REIT System and Taxes Influence REITs Returns Sensitivity to Macroeconomic and Financial Factors? An International Perspective”, we analyze, by applying a VAR model, during the period 2007-2012, dynamic interactions among REITs returns and macroeconomic factors for ten developed countries (the United States, Canada, Australia, Europe, Eurozone, Japan, Hong Kong, France, Britain and Germany). REITs invest in real estate and they are publicly traded. Thus they inherit the characteristics of both real estate and stocks. This hybrid nature of REITs reveals the importance of their risk and the role they can play in portfolio management. Therefore, in the third part entitled “Cross-Sectional Expected European REITs Returns : does Volatility Matters ?”, we investigate, during the period 2001-2012, the effect of the two components of risk (beta and idiosyncratic risk) and some specific factors of REITs (size, Net Asset Value to Market Value and illiquidity measure) on European REITs returns (France, Germany, the UK, the Netherlands and Italy) by applying the Fama and French model and cross-sectional regressions.

The objective of this paper is to examine the impact of implementing the static and dynamic volatility interruption rule on idiosyncratic volatility and stock returns in Nasdaq Stockholm. Using EGARCH and GARCH models to estimate the conditional idiosyncratic volatility, we find that the conditional idiosyncratic volatility and stock returns increase as stock prices hit the upper static or dynamic volatility interruption limits. Conversely, we find that the conditional idiosyncratic volatility and stock returns decrease as stock prices hit the lower static or dynamic volatility interruption limit. We also find that the conditional idiosyncratic volatility is higher when stock prices reach the upper dynamic limit than when they reach the upper static limit. Furthermore, we compare the conditional idiosyncratic volatility and stock returns on the limit hit days to the day before and after the limit hit events and find that the conditional idiosyncratic volatility and stock returns are more volatile on the limits hit days. To test the volatility spill-over hypothesis, we set a range of a two-day window after limit hit events and find no evidence for volatility spill-over one or two days after the limit hit event, indicating that the static and dynamic volatility interruption rule is effective in curbing the volatility. Finally, we sort stocks by their size and find that small market cap stocks gain higher returns than larger market cap stocks upon reaching the upper limits, both static and dynamic.

Emotionally disconnected employees, about 70% in the U.S., do not experience positive affect at work, are disengaged, and not creative. The purpose of this quantitative quasi-experimental study was to investigate the effects of leaders' endorsement of idiosyncratic workplace fun (independent variable) and organizational playfulness climate (independent variable) on organizational creativity (dependent variable). Complexity-based theoretical perspectives on organizational creativity framed this quantitative study. Data were collected via three survey instruments at two data points from 7 project teams, divided into two experimental groups, at 6 companies in northwestern United States. One group received an intervention for 1 month. Pearson's correlation analysis showed no significant relationships between leaders' endorsement of idiosyncratic workplace fun and organizational playfulness climate with organizational creativity. Repeated measures analysis of variance revealed that the 2 experimental groups did not differ significantly in terms of their creativity when team leaders endorsed idiosyncratic workplace fun and when project teams worked in an organizational playfulness climate. Bivariate regression analysis and multiple regression analysis showed that leaders' endorsement of idiosyncratic workplace fun and organizational playfulness climate did not predict organizational creativity, neither individually nor collectively. Although the study's findings cannot be used to affect social change, the examination of the relationships between leaders' endorsement of idiosyncratic workplace fun, organizational playfulness climate, and organizational creativity in the future might yield important insights about the mechanisms facilitating the emergence of organizational creativity at companies.

Although much is known about employee empowerment and work designs, numerous companies and management practitioners struggle to implement empowerment initiatives effectively because it is not known which approach best facilitates individual levels of psychological empowerment. Traditional job design theory focuses on the role of managers and portrays employees as passive grantees of empowerment. Employees may influence their own empowerment by taking an active role in work design. The primary purpose of this correlational study was to examine whether job crafting or idiosyncratic deals are more or less empowering than job design and how work locus of control influences these relationships. It was hypothesized that job crafting would be the strongest correlate with psychological empowerment. A quantitative cross-sectional survey was designed with measures adapted from existing instruments. A sample of 150 adults, drawn from various industries in the United States, completed a voluntary, online survey. Data analysis, which used Pearson correlations, revealed that job crafting had a stronger relationship with psychological empowerment than did idiosyncratic deals and management-driven job design for employees with high internal work locus of control. Findings from this study may help organizational leaders understand how employees with high internal tendencies are psychologically empowered when actively engaged in designing their own work. Employees may then feel empowered to advance the company's social agenda and make personalized contributions to the greater society, essentially becoming goodwill ambassadors for the organization.

This thesis contains four essays, which studies the macroeconomic effects of fiscal and monetary policy quantitatively. The first essay investigates whether Swedish postwar business cycles have been generated by domestic or foreign shocks and finds that they are about equally important. In the second essay, the effects of government budget deficits on interest rates in Sweden are studied in a small open economy framework. The empirical results, which have high power due to very large swings in deficits and interest rates, provide support that larger deficits produce higher interest rates and thus give support against the ricardian view. The third essay seeks to identify optimal social insurance and redistribution levels in Sweden and the U.S. with respect to temporary and permanent idiosyncratic productivity risks. The results indicate that Sweden should reduce the social security level while the U.S. should approximately maintain the current level. In the last essay, the small sample properties of a well-known statistical test for the Lucas critique - the super exogeneity test - is studied in a general equilibrium environment. The results indicate that the super exogeneity test do not have sufficient power in small samples. / Diss. Stockholm : Handelshögsk.

In the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the first part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inflation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inflation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of finite lived, constant relative risk averse investors who face inflation risk and can invest in cash, nominal bonds, equity, and inflation-protected bonds when the investment opportunityset is determined by the expected inflation rate. I estimate the model with nominal bond, inflation, and stock market data and show that if expected inflation increases, then investors should substitute inflation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences affects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inflation are exogenously specified and contain stochastic components thataffect their means andvolatilities. There are two classes of investors who have external habit forming preferences and different localcurvatures oftheir utility functions. The effects of time varying risk aversion and different inflation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inflation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.

Cette thèse porte sur une réflexion autour de la composition musicale arabe et les nouvelles technologies, avec comme élément central, les particularités idiosyncratiques inhérentes au langage musical.La rencontre avec les nouvelles technologies soulève plusieurs interrogations sous-jacentes. L’approche proposée consiste en la détermination d’un cadre formel avec un ensemble de structures idiomatiques selon un angle pluridisciplinaire musicologique et ethnomusicologique, mais aussi historico-acoustique et théorico-empirique à la fois.Le modèle musicologique dégagé permet de souligner : l’importance des cellules mélodiques primaires, une quantification acoustique des systèmes intervalliques, les aspects de monodie et d’hétérophonie selon le niveau individuel et collectif, une instabilité des degrés, et des aspects liés à l’interprétation musicale. Des approches originales sont envisagées concernant l’étude des mécanismes d’ornementations et trois catégories sont baptisées.La confrontation de ce modèle musicologique avec la rencontre des nouvelles technologies est établie et les conséquences de celle-ci sont soulignées. Les notions de simulation et d’émulation mettent en évidence la centralité du timbre et le recours à des échantillons audiovisuels permet d’identifier le domaine implicite de l’expérimentation. Une comparaison avec le modèle expérimental sur le plan de la musique électronique en général et l’informatique musicale en particulier est alors réalisée.Enfin, un essai de modélisation informatique dans l’environnement Csound est proposé et retrace les éléments idiosyncratiques identifiés. Des compositions électroacoustiques sont citées et une pièce est analysée. / This thesis focuses on Arabic musical composition and new technologies, with the idiosyncratic characteristics inherent in the musical language as central element.The encounter with new technologies raises several underlying questions.The approach suggested consists of a formal frame with a set of idiomatic structures according to a pluridisciplinary angle musicological and ethnomusicological, but also historical-acoustical and theorico-empirical at the same time.The musicological model revealed underlines: the importance of primary melodic cells, acoustic quantification of interval systems, monody and heterophony aspects according to individual and collective level, instability of degrees, and aspects related to musical interpretation.Original approaches are envisaged concerning the study of the mechanisms of ornamentations and three categories are baptized.The confrontation of this musicological model with new technologies’ encounter is established and the consequences of this one are underlined.Simulation and emulation concepts highlight the centrality of timbre and the use of audio-visual samples allows the identification of the implicit domain of experimentation.A comparison with the experimental model of electronic music in general and computer music in particular is therefore made.Finally, a computational modelling test in the Csound environment is proposed and traces the idiosyncratic elements identified. Electroacoustic compositions are cited and a musical work is analysed.

Submitted by Laércio Fernandes Pereira Neto (laercio_fene@hotmail.com) on 2016-02-10T17:04:16Z No. of bitstreams: 1 MPFE_Dissertacao_Laercio Neto.pdf: 920392 bytes, checksum: 0cdf978b48230f22a7a4597db4311e21 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Laércio, boa tarde Referente ao título de sua dissertação, houve alguma alteração? Conforme o protocolo e ata entregue na secretaria, o título é: ANÁLISE DOS RISCOS SISTEMÁTICOS E IDIOSSINCRÁTICOS, REPRESENTADOS PELO CAPM, PARA PORTFOLIOS DE DIFERENTES SETORES EM CONDIÇÕES ECONÔMICAS DISTINTAS A alteração do mesmo, só deve ser realizada mediante solicitação do orientador e não possuímos esta solicitação em Ata. Por gentileza, verificar. Att on 2016-02-11T17:52:21Z (GMT) / Submitted by Laércio Fernandes Pereira Neto (laercio_fene@hotmail.com) on 2016-02-12T19:38:57Z No. of bitstreams: 1 MPFE_Dissertacao_Laercio Neto.pdf: 920804 bytes, checksum: 4bb1317851e085d3c4542b6e2caec6eb (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-02-12T19:40:58Z (GMT) No. of bitstreams: 1 MPFE_Dissertacao_Laercio Neto.pdf: 920804 bytes, checksum: 4bb1317851e085d3c4542b6e2caec6eb (MD5) / Made available in DSpace on 2016-02-15T11:45:46Z (GMT). No. of bitstreams: 1 MPFE_Dissertacao_Laercio Neto.pdf: 920804 bytes, checksum: 4bb1317851e085d3c4542b6e2caec6eb (MD5) Previous issue date: 2016-02-04 / Esse estudo busca analisar os impactos causados pelo Ciclo Monetário, o Ciclo Econômico, o Nível da Indústria e a Condição do Mercado de Ações nas variáveis do CAPM para portfólios de ações de diferentes setores da indústria no Brasil. O banco de dados utilizado compreende séries temporais mensais, do retorno de ações de 17 setores da economia, no período de Janeiro de 2008 à Dezembro de 2014. Foi observado que existem relações estatisticamente relevantes entre variáveis macroeconômicas e o excesso de retorno dos portfólios de ações analisados. Além disso, foi possível notar que essas relações tem efeitos distintos sobre os riscos sistemáticos e idiossincráticos dos portfólios. A maior parte dos resultados obtidos não se mostraram estatisticamente relevantes, o que sugere que existem outras variáveis explicativas que se relacionam com as variáveis dependentes de forma mais robusta, assim como já apontado pela literatura existente, no caso do Brasil. No entanto, foi possível observar que há efeitos indiretos das variáveis macroeconômicas sobre o retorno dos ativos através do canal de retorno do mercado. / This study investigates the impacts caused by the Monetary Cycle, the Business Cycle, the Industry Level and the Condition of the Stock Market on CAPM variables for stock portfolios of different industry sectors in Brazil. The database used comprises monthly time series of stock returns of 17 sectors of the economy in the period from January 2008 to December 2014. It was observed that there are statistically significant relationships between macroeconomic variables and the excess return of the stock portfolios analyzed. Furthermore, it was noticeable that these relationships have different effects on systematic and idiosyncratic risk of portfolios. Most of the results were not statistically relevant, which suggests that there are other explanatory variables that relate to the dependent variables in a more robust manner, as already pointed out by the literature in the case of Brazil. However, it was observed that there are indirect effects of macroeconomic variables on the return of assets through the market return channel.