[pt] Estratégias de diversificação de riqueza têm como objetivo eliminar o risco idiossincrático. Estas estratégias não estão disponíveis para acionistas controladores em empresas como no Brasil, em que o controle tem grande valor e os controladores não querem correr o risco de abrir mão dele, como visto por Leal et al (2002). Nesse contexto, risco idiossincrático deve ser relevante para decisões de endividamento corporativo. Para testar esta hipótese, é coletada uma amostra de 329 empresas de capital aberto da B3 de 2003 a 2017. Regressões com variáveis instrumentais mostram que 1 desvio padrão de variação do risco idiossincrático impacta em uma redução de endividamento de 0,18 desvio padrão. Esta relação não é encontrada para empresas controladas pelo governo. Concentração de propriedade, portanto, magnifica problemas de financiamento e alocação de capital em empresas privadas. / [en] Wealth diversification strategies aim to eliminate idiosyncratic risk. Those strategies are not available for controlling shareholders in companies like in Brazil, where control is highly valued, and shareholders don’t want to risk losing it, as seen in Leal et al (2002). In this context, idiosyncratic risk should be relevant for capital structure decision making. To test this hypothesis, a sample of 329 private firms in B3 from 2003 to 2017 is used. Regressions with instrumental variables show that 1 standard deviation change in idiosyncratic risk impacts in a reduction in leverage of 0.18 standard deviations. This relation is not found among government-controlled firms. Thus, propriety concentration magnifies financing problems and capital allocation in private firms.

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This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations of stock prices from the random walk and greater return predictability from lagged order imbalances. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing are probably the main cause of the degradation in price efficiency, but we find no evidence supporting a direct impact from passive trading or any effect through liquidity. The second essay investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced. The third essay examines whether the upward return bias generated by Jensen's inequality could lead to better performance of equally-weighted (EW) indexes than value-weighted (VW) index when stock prices are not fully efficient. We find that, for a wide range of U.S. stock indexes, EW indexes deliver better four-factor adjusted returns than VW ones do even after deducting transaction costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide new insight into a long-term debate on causes of the outperformance of the EW indexes. / Ph. D.

Cette thèse est organisée en trois chapitres. Dans le premier chapitre, qui est co-écrit avec Ilze Kalnina, nous proposons un test statistique pour évaluer l’adéquation de la volatilité idiosyncratique comme mesure du risque idioyncratique. Nous proposons un test statistique qui est basé sur l’idée qu’un bon proxy du risque idiosyncratique devrait être non correélé à travers les actifs financiers. Nous démontrons que l’estimation de la volatililité est sujet à des erreurs qui rendent le test non standard. Nous proposons un modèle à facteurs qui permet de réduire sinon éliminer les corrélations dans la volatilité idiosyncratique, avec comme ultime but d’ aboutir à un facteur qui satisfait mieux aux critères souhaités du risque idiosyncratique. Dans le deuxième chapitre de ma thèse, qui est co-écrit avec Christian Dorion et Pierre Chaigneau, nous proposons une méthodologie pour étudier l’importance des risques d’ordres supérieurs dans la valorisation des actifs financiers. A la suite de Kraus and Litzenberger (1976) et Harvey and Siddique (2000a), beaucoup d’études ont analysé l’aversion aux risques de skewness et kurtosis de façon inconditionnelle. Dans ce chapitre, nous proposons une méthodogie qui permet de faire une analyse conditionnelle assez précise de l’aversion au risques d’ordres superieurs. Notre étude complémente la littérature dans la mesure ou nous étudions aussi la valuation des risques d’ordre plus élevé que la kurtosis à savoir l’hyperskewness et l’hyperkurtosis qui sont théoriquement valorisés dans certaines fonction d’utilité comme le CRRA. Dans le dernier chapitre de ma thése, j’étudie la structure à terme de la prime de risque pour le risque de co-skewness, un risque qui mesure l’asymmétrie systématique dans les actions individuelles. Nous y proposons une méthode assez générale qui permet de faire une analyze mutli-horizon contrairement à la plupart des études existantes. / This thesis is organized in three chapters. In the first chapter (which is co-authored with Ilze Kalnina), we propose a statistical test to assess the adequacy of the most popular measure of idiosyncratic risk, which is the idiosyncratic volatility. Our test statistic exploits the idea that a “good" measure of the idiosyncratic risk should be uncorrelated in the cross-section. Using in-fill asymptotics, we study the theoretical properties of the test and find that it has a non-standard behaviour due to various biases induced by the latency of the idiosyncratic volatility. Moreover, we propose a regression model that can be used to reduce if not eliminate the cross-sectional dependences in assets idiosyncratic volatilities. The second chapter of my thesis is the fruit of a colaboration with Christian Dorion and Pierre Chaigneau. In this chapter, we study the relevance of higher-order risk aversion in asset pricing. The evidence in Kraus and Litzenberger (1976) and Harvey and Siddique (2000a) has spurred the literature on the estimation of the risk premiums attached to skewness and kurtosis risk in addition to the standard variance risk. However, most of these studies focus on the estimation of unconditional premiums or average premiums. In this chapter, we propose a methodology that allows to accurately estimate the time-varying higher-order risk aversions using options prices. Our study complements the literature as we also study the higher-order risks beyond the kurtosis such as hyperskewness and hyperkurtosis risks which are valued by a CRRA investor. . In my third chapter, I study the term-structure of price of co-skewness risk. Co-Skewness risk captures the portion of the stock returns asymmetry that arises as a result of market returns asymmetry. I propose a general methodology that allows to study the multi-horizon pricing of this risk in contrast to many existing studies.

This study analyses the causes of error in the written english of black senior secondary pupils and teacher trainees. Using Error Analysis and Contrastive Analysis in a form known as Interference Analysis and covering a full range of grammatical, syntactical and lexical issues! erroneous items in English are compared with the same items in the learners' first language in order to isolate an identify such errors. Analysis of these errors shows which are due to direct interlingual transfer which are not completely attributable to direct transfer, and which are intralingual, the result of idiosyncratic language usage or merely mistakes rather than errors. While recognizing the degree to which Black learners' language habits have become fossilized and the extent to which standerdized errors form part of the English used by Bantu-speaking students, this study sets out to improve proficiency in English by explaining the the causes of error and by suggesting possible remedial approaches. / English Studies / M.A. (English)

本研究透過聯合系統與獨特風險綜合評估違約的強度，假設市場上經濟變數或資訊影響系統之違約強度，然若直接考慮所有經濟變數到模型中將可能會有共線性或維度過高之疑慮，因此透過狀態空間模型來設定狀態變數以及經濟變數之關係並將萃取三大狀態變數分別用以描述市場實質活動面、通貨膨脹以及信用環境。另外，將透過結構式模型來計算獨特性風險大小，當個別潛在的變數低於一定數值將導致個別的違約事件發生。而因布朗運動可能無法描述或校準市場上違約之鋒態以及偏態，將進一步考慮Variance Gamma過程用以更準確描述真實違約狀況。最後透過結合以上兩個風險綜合評估下，考慮一個聯合違約模型來評價信用違約交換之信用價差。 / Systematic and idiosyncratic risks are supposed to jointly trigger the default events. This paper identifies three fundamental risks to capture the systematic movement: real activity, inflation, and credit environment. Since most macroeconomic variables fluctuate together, the state-space model is imposed to extract the three variables from macroeconomic data series. In the idiosyncratic part, the structural model is applied. That is, idiosyncratic default is triggered by the crossing of a barrier. For improvement of the underlying lognormal distribution, we assume the process for the potential variable of the firm follows a Variance Gamma process, sufficient dimensions of which can fit the skewed and leptokurtic distributions. Under the specific setting of combinations of the two risks (the so-called joint default model), we price credit default swaps.

Faroese is known to lie grammatically between Icelandic and the Mainland Scandinavian languages and dialects. One example of this is that, on the one hand, Faroese is like Icelandic in having a basically intact morphological four case system. On the other hand case-marking in Faroese is linked to clause function to a greater degree than in Icelandic – but to a lesser degree than in the Mainland Scandinavian standard languages. In Scandinavian Linguistics, it has long been an axiom that in the longer term the aforementioned four case system will be reduced in all varieties of the Scandinavian languages. The present thesis investigates if, and if so how, this expected development manifests itself in Senior High School graduation essays in Faroese from the period 1940–1999. A quantitative study forms the core of the thesis. The choice between the dative and other cases is related to eight syntactic variables whose effect on the choice of case is compared using methods from the variationist framework, among others. The results are partly surprising: the dative did not reduce in frequency from the 1940s to 1990s. There certainly is a tendency, however not a statistically significant one, that the dative is more often replaced by another case in contexts where the norm is to use the dative. On the other hand it also seems to become more common for the dative to be used hypercorrectly. Furthermore, the development is not linear, in that around the middle of the investigation period, the dative is used far more according to norms than otherwise. As expected, clause function is an important variable, but by the end of the period under investigation the placement of the nominal phrase within the clause becomes a surprisingly strong factor. It also becomes more important if the phrase takes the form of a first/second-person pronominal or not. The results are theoretically interpreted in the light of, firstly, Generative Grammar, and secondly Construction Grammar. The modification of certain terms is discussed, such as lexical case in Generative Grammar or usage-based model in Construction Grammar. The conclusion is that the linguistic descriptive models of these theories can only partly cover the tendencies to change that are observed. Other parts of the results are best explained using aspects of sociolinguistics. The conclusion is that case studies on a micro-level are valuable in order to evaluate and develop theories of linguistic variation and change at a macro-level.

本研究目的為透過實證分析研究2005年至2008年台灣上市櫃公司股票流動性與企業價值兩者之關係，企圖瞭解當考慮其他已證實會影響企業價值之因素，如：公司治理、資訊揭露程度、公司特有風險等因素後，股票流動性是否依然對企業價值存在影響力，即本研究將在控制公司治理程度、資訊揭露程度及公司特有風險等因素下，以周轉率作為股票流動性之代理變數、以Tobin’s Q作為企業價值之代理變數，分別使用普通最小平方法與兩階段最小平方法，檢視股票流動性是否依然影響企業價值。除此之外，亦參考Vivian W. Fang, Thomas H. Noe, Sheri Tice[2009]的研究方法，將代表企業價值之Tobin’s Q拆解成其他三個變數：營業利益對股價比、權益佔資產比及資產報酬率，取代企業價值成為應變數，再以相同研究模型對股票流動性進行實證分析，以求瞭解股票流動性影響企業價值之背後原因。最後，將研究樣本分別依照不同程度之公司治理、不同程度之資訊透明度、不同程度之公司特有風險分成低、中、高三組，以普通最小平方法分析在不同程度之控制變數下，股票流動性對企業價值之影響是否不同。本研究結果如下：第一、股票流動性越高之企業，其企業價值亦越高。第二、股票流動性高的企業，擁有較低之負債比與較高之資產報酬率，是企業價值高的中間影響因子。第三、在不同的董監持股比率、董監質押比率、法人持股比率、獨立董監比率、資訊揭露程度及公司特有風險下，流動性對企業價值的影響力是不同的。公司治理越差、資訊揭露程度越低、公司特有風險越高的公司，其流動性對企業價值越具顯著影響力。 / This paper investigates the relationship between stock liquidity and firm performance in Taiwan by using both of Ordinary Least Squares method and two-stage least squares method. To access whether stock liquidity improves, harms, or has no effect on firm performance, a proxy for Tobin’s Q is regressed on the liquidity measure, stock turnover, and several control variables, for example, corporate governance, information transparency, idiosyncratic risk, etc. Next, In order to gain further insight into the source of higher firm performance for stocks with high liquidity, based on Vivian W. Fang, Thomas H. Noe, Sheri Tice (2009), I break Tobin’s Q into three components: price-to-operating earnings, financial leverage, and operating profitability and then use these three variables as dependent variables to be regressed respectively on the liquidity measure in the same regression model. Besides, I also examine whether the effect of high liquidity on firm performance is different for firms with different level of each control variable. At last, this study shows that liquidity positively affects firm performance and proves that stocks with high liquidity not only have better firm performance, but also have more equity in their capital structure and higher operating profitability levels. This study also finds that the effect of stock liquidity on firm performance is significantly different for firms with different level of control variables.

違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型，該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。 本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化，另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配，以更貼近真實的市場訊息。 與縮減試模型相較之下，本模型無需參考信評機構的信用評等資訊，僅依賴市場上公開且透明的資訊，並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失，進而利用本模型評價出個別公司信用違約交換的價格。 關鍵字：信用違約交換；系統風險；獨特性風險；狀態空間模型；Variance Gamma 過程 / Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model.

This study analyses the causes of error in the written english of black senior secondary pupils and teacher trainees. Using Error Analysis and Contrastive Analysis in a form known as Interference Analysis and covering a full range of grammatical, syntactical and lexical issues! erroneous items in English are compared with the same items in the learners' first language in order to isolate an identify such errors. Analysis of these errors shows which are due to direct interlingual transfer which are not completely attributable to direct transfer, and which are intralingual, the result of idiosyncratic language usage or merely mistakes rather than errors. While recognizing the degree to which Black learners' language habits have become fossilized and the extent to which standerdized errors form part of the English used by Bantu-speaking students, this study sets out to improve proficiency in English by explaining the the causes of error and by suggesting possible remedial approaches. / English Studies / M.A. (English)