Les trois essais composant cette thèse apportent des contributions à la littérature sur les conséquences de la migration et des transferts privés sur le développement économique des pays d'origine d'Afrique Subsaharienne.Le premier essai évalue l'impact distributif des transferts internationaux et domestiques au Sénégal. Les résultats montrent que les transferts privés réduisent l'inégalité de revenu au Sénégal. Cet effet égalisateur semble principalement tiré par les transferts domestiques. Le deuxième essai examine la fonction d'assurance de la migration au Mali. Nous trouvons que la migration agit comme un mécanisme d'assurance lorsque le ménage est victime d'un choc idiosyncratique au cours de l'année. Le troisième essai étudie le lien entre le capital humain des migrants sénégalais et leur insertion sur le marché de travail de destination. Les résultats suggèrent que la probabilité d'être en emploi qualifié étant donné le niveau d'éducation est inférieure en migration par rapport au Sénégal.Bien qu'à priori distincts, ces trois essais ont en commun une approche qui mobilise des enquêtes ménages ainsi que des techniques micro-économétriques diverses au regard du caractère complexe de la migration afin d'apporter des éclairages sur les conséquences de la migration sur les économies d'origine. / The three essays composing this thesis make contributions to the literature on the consequences of migration and private transfers on the economic development of the countries of origin of sub-Saharan Africa.The first essay evaluates the distributive impact of international and domestic transfersin Senegal. The results show that private transfers reduce income inequality in Senegal. This equalizing effect is mainly driven bydomestic transfers. The second essay examines the insurance function of migration in Mali. We find that migration acts as an insurance mechanism when the household suffers an idiosyncratic shock during the year. The third essay examines the link between the human capital of Senegalese migrants and their integration into the destination labor market. The results suggest that the probability of being in skilled employment given the level of education is lower in migration compared to Senegal. Although a priori distinct, the three essays have in common an approach that mobilizes household surveys and various microeconometric techniques to deal with the complexity of migration in order to improve the understanding of the consequences of migration on the economies of origines

[pt] Desde sua proposição, na decada de 60, o modelo de apreçamento de ativos de capital e suas expansões, em particular a modelagem proposta por Fama e French entre os anos de 1992 e 2015, causou um entusiasmado debate sobre a interpretação econômica de seus fatores. Foi demonstrado na literatura acadêmica que variaveis que descrevem o conjunto das futuras oportunidades de investimento devem comandar um prêmio de risco e deveriam ser correlacionadas com os fatores de Fama e French. Uma outra questão sempre discutida é a aplicação desse tipo de modelagem à mercados emergentes. Economias mais fracas e menos estruturadas seguiriam a mesma racionalidade de mercados desenvolvidos? As expansões de Fama-French acrescentam ao modelo do CAPM fatores que representam o tamanho, o valor, a lucratividade operacional e a politica de investimento das empresas, em duas versões básicas de modelo. A primeira, proposta em 1993, acrescenta ao excesso de retorno de mercado um fator de tamanho e um fator de valor. É normalmente chamada de modelo de três fatores. A segunda, proposta em 2015, acrescenta a versão de três fatores um fator de lucratividade operacional e um fator de politica de investimentos das empresas. É normalmente chamada de modelo de cinco fatores. Com o uso desses modelos e dos conceitos financeiros envolvidos, esta tese estuda a possibilidade de que as inovações na variância média do mercado, decomposta em dois fatores, um representando a variação média do mercado e outro representando a correlação média do mercado, pudesse aumentar a capacidade explicativa do modelo de três fatores no que se refere aos excessos de retornos de portfólios de ações. Ela também estuda a capacidade do modelo de cinco fatores de melhor explicar o retornos dos portfolios de ações, em blocos econômicos de mercados emergentes, em relação ao CAPM original e ao modelo de três fatores. Finalmente, o estudo mostra que as inovações no indice de inflação e as inovações da inclinação da curva de juros são proxies para os fatores de tamanho, valor, lucratividade e investimento, e, em conjunto com o excesso de retorno do mercado, conseguem explicar o cross-section dos excessos de retornos dos portfólios de ações melhor do que o modelo de cinco fatores. / [en] Since its proposition in the 1960s, the capital asset pricing model and its expansions, in particular the modeling proposed by Fama and French between the years 1992 and 2015, caused an enthusiastic debate about the economic interpretation of its factors. It has been demonstrated in the academic literature that variables describing the set of future investment opportunities should command a risk premium and should be correlated with the Fama and French factors. Another issue that has always been discussed is the application of this type of modeling to emerging markets. Weaker and less structured economies would follow the same rationality of developed markets? Fama-French s expansions add to the CAPM model factors that represent size, value, operating profitability, and corporate investment policy in two basic model versions. The first, proposed in 1993, adds to the excess market return a factor of size and a factor of value. It is usually called the three-factor model. The second, proposed in 2015, adds to the three-factor version a factor of operational profitability and a factor of companies investment policy. It is usually called the five-factor model. With the use of these models and the financial concepts involved, this thesis studies the possibility that the innovations in the average market variance, decomposed into two factors, one representing the average market variation and another representing the average market correlation, could increase the explanatory capacity of the three-factor model with respect to the excess returns of stock portfolios. It also studies the ability of the five-factor model to best explain stock portfolio returns in emerging market economic blocks relative to the original CAPM and the three-factor model. Finally, the study shows that innovations in the inflation index and innovations in the slope of the interest curve are proxies for size, value, profitability, and investment factors, and, together with excess market returns, explains cross-section of excess returns on stock portfolios better than the five-factor model.

A decade of growth and wealth generation in Russia ended in 2009 with the collapse in GDP and rising unemployment. This Great Recession added new economic challenges to the ‘old’ problems facing children and families, including widening income inequalities and the phenomenon of social orphanage. One question is how the new and existing material pressures affect parent–child relationships. This research contributes to the answer by examining, in aggregate terms, the role poverty plays in the allocation of parental time in this emerging economy. Utilising a nationally representative sample of children, it explores how child interactions with parents are affected by aggregate and idiosyncratic shocks. Drawing on the rational choice paradigm and its critique, we put forward the Parental Time Equilibrium as an analytical guide to the study. This theoretical approach presents individual decisions concerning time spent with children over the long term as the product of a defined equilibrium between resources and demands for involvement. We test this approach through pooled cross-sectional and panel analyses based on the Russian Longitudinal Monitoring Survey dataset from 2007 to 2009. Children in low-income households face the double disadvantage of a lack of money and time investments at home, with both persistent and transient poverty being associated with lower than average parental time inputs in the sample. Moreover, while on average, we find that children do maintain the amount of time they spend with their parents under conditions of severe financial strain, low–income children lose out on play time with the mother. Material resources cannot be considered in isolation from structural disadvantages, of which rural location in particular is detrimental for parent–child time together. The study demonstrates that the cumulative stress of adverse macro-economic conditions and depleted material resources makes it difficult for parents to sustain their human investment in children. The evidence this study provides on the associations between economic stress and pa-rental time allocations advances our knowledge of the disparities of in the childhood experience in modern Russian society. The findings strongly support the equal importance of available resources and basic demand for involvement, thus drawing policy attention to the need to address both in the best interests of children.

Diese Dissertation befasst sich mit Arbeitsmarkterfolg und Konsum sozioökonomischer Gruppen. Die ersten zwei Kapitel untersuchen konjunkturelle Auswirkungen auf Arbeitsmärkten für Hoch- und Niedrigqualifizierte. Zunächst wird ein qualifikationsspezifisches Konjunkturmodell mit Suchkosten entworfen. Es zeigt, dass imperfekte Substitution zwischen hoch- und niedrigqualifizierter Arbeit ein Grund für Veränderungen auf den Teilmärkten ist. Gemeinsam mit qualifikationsneutralen und -verzerrten Technologieschocks ist das Modell in der Lage, fallende Beveridge-Kurven zu generieren. Das zweite Kapitel erweitert diesen Ansatz um eine Verbindung zwischen qualifikationsabhängigen Arbeitsmärkten mit endogenen Investitionen in Humankapital. Idiosynkratische Schocks wirken auf den Anteil qualifizierter Arbeit und verändern die Arbeitsmarktdichte auf den Teilmärkten. Neutrale Schocks wirken zweistufig auf die Gesamtarbeitslosigkeit: Zuerst reduzieren sie geringqualifizierte Arbeitslosigkeit, und dann verringern sie rapide hochqualifizierte Arbeitslosigkeit. Eine hohe Substitutions-Elastizität zwischen den beiden Qualifikationen führt zu einer höheren Volatilität und einer höheren Korrelation zwischen Arbeitslosigkeit und freien Stellen. Das dritte Kapitel untersucht die Verbindung zwischen Gruppen-Konsumwachstum und dessen Volatilität, wenn die Agenten heterogen sind und eine Konsumexternalität vorliegt. Die Präferenzen der Haushalte hängen mit der Konsumwachstumsvolatilität insofern zusammen, als diese Vermögensentscheidungen treffen müssen: Die Volatilität verringert sich mit der Geduld und steigt mit dem Wunsch, das Konsumniveau der Vergleichsgruppe zu halten. Darüber hinaus sollten Konsumwachstum und dessen Volatilität positiv korrelieren. Diese letzte Hypothese wird mit Daten aus dem Sozio-oekonomischen Panel und der Einkommens- und Verbrauchsstichprobe überprüft, wobei sich ein U-förmiger Zusammenhang zwischen Konsumwachstum kurzlebiger Güter und dessen Volatilität ergibt. / This dissertation addresses the labor market performance and consumption dynamics of different socioeconomic groups. The first part examines the connection between cyclical variations in skilled and unskilled labor markets. Using a business cycle model with search frictions in skill-specific markets, I find that imperfect substitution between skilled and unskilled labor creates an important channel for variations in the skill-specific markets. Together with a skill-neutral or -biased technology shock, the model generates downward-sloping Beveridge curves in aggregate and skill-specific labor markets. I extend the study to allow for a dynamic link between the skill-specific labor markets. Human capital investment is determined endogenously and idiosyncratic shocks shift the skilled labor share and change tightness in both skilled and unskilled markets. Upon a neutral shock, the decrease of total unemployment is two-staged: Firstly with a reduction in unskilled unemployment, and then with a sharp decline of skilled unemployment when skill substitution dominates. A larger elasticity of substitution between the two types of labor leads to higher volatility of the model variables and higher correlation between unemployment and vacancies. The second part studies the link between group-specific consumption growth and its volatility in a framework of heterogeneous agents, under the assumption of a consumption externality. Household preferences are related to the consumption growth volatility through asset holding decisions: The volatility decreases with groups'' patience, and increases with the eagerness to keep up with the group average. Moreover, consumption growth is expected to be positively related to its volatility. This last hypothesis is tested using household data imputed from the German Socio-Economic Panel and the German Income and Expenditure Survey, where a U-shaped relationship is found between nondurable consumption growth and its volatility.

Cette thèse examine la responsabilité sociale des entreprises (RSE) par les entreprises de secteurs controverses. Dans le premier chapitre, on évalue les stratégies en RSE pour 565 entreprises de secteurs controverses de 1991 à 2013 en estimant la relation compensatoire entre Irresponsabilité Sociale des Entreprises (ISE) et RSE. On montre que ces entreprises tendent à compenser pour leur ISE en s'engageant dans des domaines stratégiques de RSE tels que la protection de l'environnement et le respect des communautés locales avec un manque d'engagement dans d'autres activités telles la gouvernance d'entreprise. Dans le deuxième chapitre, on examine si l'engagement RSE de 499 entreprises de secteurs controverses est susceptible de diminuer leur risque financier. Nos résultats montrent qu'un engagement RSE stratégique réduit le risque idiosyncratique et total pour certaines industries controversées et que le manque d'engagement dans les activités de gouvernance augmente leur risque. Le troisième chapitre examine la divulgation sociétale en tant que mécanisme de reddition de comptes dans le contexte d'un incident environnemental majeur. L'étude de cas des stratégies RSE utilisées par l'entreprise Canadienne En bridge, durant sa réponse a l'incident de déversement de parole en 2010 révèle que ses rapports RSE sont souvent optimistes et ne réussissent pas a décrire son incapacité à faire face aux problèmes de sécurité ayant entrainé l'incident; et ont aussi sous-estime le volume du déversement et la difficulté du nettoyage, ainsi mettant en question l'effet des activités RSE compare à l'effet de facteurs contextuels dans la protection de l'entreprise durant la crise. / This thesis is composed of three chapters that examine corporate social responsibility (CSR) within firms in controversial sectors. In the first chapter, we evaluate patterns of investment in CSR for 565 US publicly traded companies in eight controversial sectors between 1991 and 2013 by assessing the relationship between CSR and Corporate Social Irresponsibility (CSI). We show that firms in controversial sectors compensate for their CSI by engaging in strategic CSR areas such as environmental protection and community development with a lack of engagement towards other areas, such as corporate governance. In the second chapter, we determine whether engagement in specific CSR activities for 499 US companies in controversial sectors decreases their financial risk. We show that engaging in specific CSR activities considered as strategic reduces idiosyncratic and total risk for some controversial industries; and that poor engagement in corporate governance activities increases firm risk. In the third chapter, we investigate CSR reporting as an important mechanism for stakeholder accountability in the context of an environmental crisis. We perform a case study analysis of the CSR strategies used by the Canadian oil company Enbridge in its response to the July 2010 Kalamazoo spill and revealed that Enbridge's CSR reports were frequently optimistic and failed to describe the company's inability to deal with known safety problems that led to spill; and underestimated both the volume of the spill and the difficulty of the cleanup, thus making it difficult to distinguish the effects of the CSR efforts from the effects of other contextual and external factors.

Abstracts in English, Afrikaans and Sesotho / As one of the renowned anomalies in modern investment theory, the low idiosyncratic volatility anomaly may be the most bewildering and captivating of them all. The anomaly defies the traditional asset pricing theories of modern portfolio theory, which state the fundamental principle that high-risk portfolios are compensated for with higher expected returns. This study determined if the low idiosyncratic volatility premium is present on the cross-section of share returns of the JSE. 12-, 36- and 60-month volatility estimation periods were used in this study to determine if this has any significant effect on share returns. A relevant 26-year sample period from January 1994 to December 2019 was employed. In examining the CAPM OLS regression results utilising the 60-month idiosyncratic volatility estimation period, statistically significant evidence was found to support the alternative hypothesis of a low idiosyncratic volatility anomaly on the cross-sectional returns on the JSE. These findings are supported by a statistically significant alpha for five of the six portfolios examined and clearly indicate the superior performance of the low volatility portfolio in contrast to the high idiosyncratic volatility portfolios. These findings of the 60-month CAPM regression analysis provide clear evidence of a low idiosyncratic volatility anomaly and reject the null hypothesis that there is no statistically significant evidence in favour of a low idiosyncratic volatility anomaly on the cross-section of share returns on the JSE after estimating volatility utilising a 60-month volatility estimation period. / As een van die bekendste anomalieë in moderne beleggingsteorie, is die lae idiosinkratiese gestadigheidsanomalie moontlik die mees verbysterende en boeiende anomalie van almal. Hierdie besondere anomalie bied ʼn uitdaging aan die tradisionele bateprysingsteorie van moderne portefeuljeteorie, die grondbeginsel waarvolgens daar vir hoërisiko-portefeuljes vergoed word deur hoër verwagte opbrengste. Die doel van hierdie studie is om te bepaal of die lae idiosinkratiese gestadigheidspremie aanwesig is by die deursnee-aandeleopbrengste op die JSE. In hierdie studie, is gestadigheidsramingstydperke van 12, 36 en 60 maande gebruik om te bepaal of dit enige beduidende uitwerking op aandeleopbrengste het. ʼn Relevante steekproeftydperk van 26 jaar van Januarie 1994 tot Desember 2019 is gebruik. Deur ondersoek van regressieresultate van die kapitaalbateprysingsmodel (KBPM) kleinste-kwadratemetode aan die hand van ʼn idiosinkratiese gestadigheidsramingstydperk van 60 maande is statisties-beduidende bewyse gevind om die alternatiewe hipotese van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-opbrengste op die JSE te ondersteun. Hierdie bevindings word ondersteun deur ʼn statisties-beduidende alfa vir vyf van die ses portefeuljes wat ondersoek is en dit dui duidelik op die superieure prestasie van die laegestadigheidsportefeulje in kontras met die hoë idiosinkratiese gestadigheidsportefeuljes. Die bevindings van die KBPM-regressie-analise van 60 maande voorsien duidelike bewyse van ʼn lae idiosinkratiese gestadigheidsanomalie en verwerp die nulhipotese dat daar nie statisties-beduidende bewyse is ten gunste van ʼn lae idiosinkratiese gestadigheidsanomalie in die deursnee-aandeleopbrengste op die JSE nie nadat gestadigheid geraam is aan die hand van ʼn gestadigheidsramingstydperk van 60 maande. / E le e nngwe ya diphoso tse tummeng kgopolong ya sejwale-jwale ya matsete, bothata bo tlase ba ho hloka botsitso e ka ba ntho e makatsang le e hohelang ka ho fetisisa. Phoso e ikgethileng ha e latele dikgopolo tsa ditheko tsa thekiso ya thepa ya sejwale-jwale, e hlalosang molao-theo wa hore dipotefoliyo tse kotsing e kgolo di lefellwa bakeng sa dikgutliso tse phahameng tse lebelletsweng. Phuputso ena e ne e ikemiseditse ho fumana hore na tefo e tlase ya botsitso e teng dikarolong tse sa tshwaneng tsa dikgutliso tsa dikabelo ho JSE. Phuputsong ena ho sebedisitswe dinako tsa tekanyetso ya ho hloka botsitso ya dikgwedi tse 12, 36 le tse 60 ho fumana hore na sena se na le phello e kgolo ho dikgutliso tsa dikabelo. Nako ya sampole e loketseng ya dilemo tse 26 ho tloha ka Pherekgong 1994 ho isa ho Tshitwe 2019 e ile ya sebediswa. Ha ho hlahlojwa sephetho sa tekanyo ya CAPM OLS ho sebediswa nako ya dikgakanyo tsa ho hloka botsitso ha dikgwedi tse 60, ho fumanwe bopaki ba bohlokwa ho tshehetsa mohopolo o mong wa phokotso dikgutlisong tsa dikarolo tse fapaneng ho JSE. Diphumano tsena di tsheheditswe ke qaleho ya dipalo bakeng sa dipotefoliyo tse hlano ho tse tsheletseng tse hlahlobilweng mme di bontsha tshebetso e phahameng ya potefolio e tlase ya ho hloka botsitso ho fapana le dipotefoliyo tse phahameng tsa ho hloka botsitso. Diphumano tsena tsa tlhahlobo ya tekanyo ya CAPM ya dikgwedi tse 60 di fana ka bopaki bo hlakileng ba phokotso e sa tlwaelehang ya ho hloka botsitso le ho hanyetsa kgopolo-taba ya hore ha ho na bopaki ba dipalo-palo bo tshehetsang boemo bo tlase ba ho hloka botsitso bo sa tlwaelehang dikarolong tse sa tshwaneng tsa dikabelo ho JSE kamora ho lekanyetsa ho hloka botsitso ho sebedisang nako ya dikgakanyo tsa ho hloka botsitso ya dikgwedi tse 60. / Business Management / M. Com. (Business Management)

This dissertation collects four essays on banks, firms and real effects of bank lending. Owing to the appliance of different econometric methods on several datasets, insights in the behav-ior of and the impacts from financial markets and market participants are generated. In the first chapter, our results uncover a so far undocumented ability of the interbank market to distinguish between banks of different quality in times of aggregate distress. We show empirical evidence that during the 2007 financial crisis the inability of some banks to roll over their interbank debt was not due to a failure of the interbank market per se but rather to bank-specific shocks affecting banks’ capital, liquidity and credit quality as well as revised bank-level risk perceptions. Relationship banking is not capable of containing these frictions, as hard information seems to dominate soft information. In detail, we explore determinants of the formation and resilience of interbank lending relationships by analyzing an extensive da-taset comprising over 1.9 million interbank relationships of more than 3,500 German banks between 2000 and 2012. The second chapter examines the relationship between central bank funding and credit risk-taking. Employing bank-firm-level data from the German credit registry during 2009:Q1-2014:Q4, we find that banks borrowing from the central bank rebalance their portfolios to-wards ex-ante riskier firms. We further establish that this effect is driven by the ECB’s maturi-ty extensions and that the risk-taking sensitivity of banks borrowing from the ECB is inde-pendent of idiosyncratic bank characteristics. Finally, we show that these shifts in bank lend-ing are associated with an increase in firm-level investment and employment, but also with a deterioration of bank balance sheet quality in the following year. Once we analyze the relationship of banks as lenders vis-à-vis banks as borrowers and banks as lenders vis-à-vis non-financial companies as borrowers, we enlarge the understand-ing of non-financial companies not only in terms of being simply borrowers, respectively sub-jects exhibiting of credit risks. Instead, we try to understand the inner working of those com-panies more generally and analyze their quality not only in terms of a bank’s risk assessment but also in terms of the overall market assessment. However, this in turn can generate infor-mation useable to assess the quality of a bank’s credit portfolio in dimensions that so far are not taken into account by the current regulatory framework. Moreover, a better understanding of banks and non-banks beyond the standard lens of the banking and corporate finance litera-ture might promote new scopes for future research connecting those discrete subjects. In this regard, the third chapter analyzes the dependence of price reactions to corporate insider trad-ing on several measures of corporate governance quality. Our results strongly support the view that first, higher corporate governance levels seem to prevent or discourage insiders from engaging in insider trading as means of opportunistic rent extraction. Second, results confirm the notion of buy and sell trades not being just two sides of the same coin. That is, a higher level of corporate governance leads to a better pre-event information environment which results in less positive abnormal returns after insider buy trades as the incremental posi-tive information revealed by the trade is smaller. In contrast, sell trades in firms with better corporate governance are perceived to convey more valuable and most importantly negative information to the capital market so that prices adjust more for companies with better govern-ance schemes. Third, we show that institutional ownership even on an aggregate level is a sufficient measure to proxy a company’s corporate governance level. Hence, as information on companies’ bylaws and on investors’ investment dedication and type for example are scarce, respectively associated with higher costs because one has to gather that information one can refrain from that and instead proxy the governance level with the aggregate measure of institutional ownership. The latter result is important for carrying out future analyses merg-ing and extending the findings of the first two chapters. Last, the fourth chapter abstracts from borrowers as subjects of credit risk, as well, and most importantly extends the analysis of banks, firms and their interactions effecting each other by a macroeconomic perspective of the real effects of bank lending. That is, as capital flows and real estate are pro-cyclical, and real estate has a substantial weight in economies’ income and wealth Chapter 4 studies the role of real estate markets in the transmission of bank flow shocks to output growth across German cities. In this regard, real sector firms play a central role in the transmission mechanism we uncover. More specifically, the empirical analysis relies on a new and unique matched data set at the city level and the bank-firm level. To measure bank flow shocks, we show that changes in sovereign spreads of Southern Eu-ropean countries (the so-called PIGS spread) can predict German cross-border bank flows. To achieve identification by geographic variation, in addition to a traditional supply-side varia-ble, we use a novel instrument that exploits a policy assigning refugee immigrants to munici-palities on an exogenous basis. We find that output growth responds more to bank flow shocks in cities that are more exposed to tightness in local real estate markets. We estimate that, during the 2009-2014 period, for every 100-basis point increase in the PIGS spread, the most exposed cities grow 15-2 basis points more than the least exposed ones. Moreover, the differential response of commercial property prices can explain most of this growth differen-tial. When we unpack the transmission mechanism by using matched bank-firm-level data on credit, employment, capital expenditure and TFP, we find that firm real estate collateral as measured by tangible fixed assets plays a critical role. In particular, bank flow shocks in-crease the credit supply to firms and sectors with more real estate collateral. Higher credit supply then leads firms to hire and invest more, without evidence of capital misallocation.

Upbringing and psychological make-up inspire individual norms for beauty and cuteness. The mannerist approach in my work is a product of the figural liberties found in cartooning, illustration and art history. By altering facial and bodily features, I relate the proportions of an infant to cuteness and innocence. However, I tailor the photographs to empower the subjects all the while mirroring trends in contemporary pop culture. I'm interested in themes of everyday life, vitality and emotion placed in obscure, imaginary or exaggerated venues. I fictionalize subjects of my reality to compel viewers to identify with and fancy emotions, circumstances, moods and relationships. The intent is to amplify, yet be truer to their existence and idiosyncrasies through figural adaptations.