This research consists of two essays. The first essay entitled” Stock Return Forecasting with Sum-of-the-Parts Methodology: Evidence from Around the World”, examines forecasting ability of stock returns by employing the sum-of-the-parts (SOP) modeling technique introduced by Ferreira and Santa-Clara (2011).This approach decomposes return into three components of growth in price-earnings ratio, earnings growth, and dividend-price ratio. Each component is forecasted separately and fitted values are used in forecast model to predict stock return. We conduct a series of one-step ahead recursive forecasts for a wide range of developed and emerging markets over the period February 1995 through November 2014. Decomposed return components are forecasted separately using a list of financial variables and the fitted values from the best estimators are used according to out-of-sample performance. Our findings show that the SOP method with financial variables outperforms the historical sample mean for the majority of countries. Second essay entitled,” Equity Premium Predictability under Regime Shifts: International Evidence”, utilizes the modified version of the dividend-price ratio that alleviates some econometric concerns in the literature regarding the non-stationary and persistent predictor when forecasting international equity premium across different regimes. We employ Markov switching technique to address the issue of non-linearity between the equity premium and the predictor. The results show different patterns of equity premium predictability over the regimes across countries by the modified ratio as predictor. In addition, transition probability analysis show the adverse effect of financial crisis on regime transition probabilities by increasing the probability of switching between regimes post-crisis 2007 implying higher risk perceived by investors as a result of uncertainty inherent in regime transitions.

Hedge fund activism announcements are associated with positive market reactions, and they introduce information asymmetry between insiders and outside investors. Target firm insiders have superior information about the campaign and play an important role in the campaign negotiation. This study examines insiders’ behavior as information asymmetry rises following the campaign announcement. Insiders increase trading in their own firms in response to the campaign announcement. These post-announcement insider trades have additional return predictability than insider trades in other times. Post-announcement insider buys predict higher probabilities of achieving successful campaign outcomes including management turnovers, increases in payout, and corporate restructurings, and higher value of these outcomes. I also find evidence that insiders use campaign resistance and trading interactively to achieve higher wealth gain.

Investment treaty arbitration has borrowed a number of elements from commercial arbitration, including confidentiality. The scope of confidentiality in investor-state arbitrations can make it hard for amicus curiaeto participate in the arbitral proceedings.    The rules regarding transparency in investor-state arbitration relates, among others, to access to information and documents, third-party participation and the publication of awards. Transparency in investor-state arbitrations is also related to changes in legislation that could affect the investor. Changes in legislation is a way of adapting to new circumstances as changes in government or an attempt to prevent health issues or fulfilling environmental goals in the interest of the public.   The possibility of amicus curiaeparticipation and submissions make it possible for the public to affect what information the tribunal have in cases where public interests are discussed. Tribunals have, when they have found that the public interest is not only general, decided to allow amicus curiaesubmissions even without the consent of the parties. They have allowed such submissions in cases where the amicus curiaecould enlighten the tribunal or provide additional information about the merits.     There is no binding case law in arbitration. Since the tribunal only have jurisdiction in the particular case, awards cannot be binding in other disputes. The lack of case law can lead to a lack of predictability for both investors and states. It has led to fewer changes in domestic regulation, the phenomenon is called the “chilling effect” and refers to states who make less changes (including changes in the interest of the public) in an attempt to avoid a violation of the FET standard.    Transparency, i.e. making the dispute public, including the party’s identities, documents and the award, can help providing predictability to investment-treaty arbitration. The outcome of the case is not binding as case law for future disputes but could provide both states and investors knowledge about how certain treaties and actions might be interpreted by a future tribunal.

Estudos sobre imunização do desamparo aprendido apresentam resultados contraditórios quando utilizam estímulos apetitivos na fase de imunização. Uma análise dos procedimentos utilizados nesses estudos sugere que eles diferem no grau de controle e previsibilidade da liberação do estímulo apetitivo. Além disso, foi demonstrado que quando a previsibilidade do estímulo é manipulada ela produz efeitos dependentes do sexo do sujeito. O presente estudo teve por objetivos avaliar se: 1) a previsibilidade e a controlabilidade de estímulos apetitivos na fase de imunização são variáveis críticas para imunizar ratos contra o desamparo; 2) esses efeitos são dependentes do sexo. Em paralelo, buscou-se explorar alguns efeitos das variáveis hormonais nesses comportamentos. Um Estudo Piloto demonstrou não haver diferença quanto ao desamparo em fêmeas nas fases de estro e diestro do ciclo estral. Quanto à imunização (Experimento 1), foi utilizado reforçamento positivo combinando-se as variáveis de controle (VI e VT) e previsão (com ou sem sinal antecedendo a disponibilização do reforço), utilizando-se grupos (n=16) com ratos machos e fêmeas em igual proporção. Em seguida esses animais foram submetidos a choques incontroláveis e por fim a um teste de fuga. Outro grupo de machos e fêmeas passou apenas pelas duas últimas fases e um grupo apenas pela fase final. Os resultados mostraram que o sexo dos animais não é uma variável importante para o desamparo, mas que essa é uma variável que interfere na imunização do desamparo aprendido. Fêmeas expostas a estímulos previsíveis e controláveis na fase de imunização apresentam um comportamento muito semelhante as fêmeas e machos do Grupo não choque. Por outro lado, apenas metade dos machos expostos a estímulos apetitivos previsíveis e controláveis na fase de imunização aprenderam a resposta de fuga no teste. Esses resultados sugerem que o sexo é uma variável que precisa ser mais investigada em experimentos que estudam o comportamento. No Experimento 2 as fêmeas foram distribuídas em dois grupos (castradas e sham), foram retirados os ovários dos animais do primeiro grupo, responsáveis pela produção do estrógeno, hormônio que as diferencia dos machos. Após a recuperação da cirurgia os animais de ambos os grupos foram expostos ao mesmo procedimento de imunização do Grupo imprevisível e controlável do Experimento 1, o único em que foram obsevadas diferenças estatísticas entre machos e fêmeas. Os resultados mostraram aproximadamente metade das fêmeas, de ambos os grupos, aprenderam fuga apresentando latências semelhantes entre si, sugerindo que a presença ou ausência do hormônio sexual em fêmeas não foi, aparentemente, o fator determinante da diferença de gênero na imunização. Discute-se a relevância dos estudos comportamentais entre gêneros mostrando a interação de fatores ambientais com orgânicos / Studies on immunization against learned helplessness have different results when using appetitive stimuli during immunization. An analysis of these studies procedures suggests that they differ in the degree of control and predictability of the release of appetitive stimulus. Furthermore, it was shown that when the predictability of the stimulus is manipulated it produces effects that depend of the subjects sex. The objective of the present study was to evaluate : 1) if the appetitive stimuli predictability and controllability during immunization are critical variables to immunize rats against learned helplessness; and if 2) these effects are sex dependent. In parallel, we explored t some effects of hormonal variables on these behaviors. A pilot study showed no difference regarding learned helplessness in estrus and diestrus phases of the estrous cycle. Concerning immunization (Experiment 1), positive reinforcement was used combining the variables of control (VI and VT) and predictability (with or without signal preceding the availability of reinforcement), using groups (n = 16) with equal proportion of male and female rats. Then these animals were subjected to uncontrollable shock and finally to an escape test. Another group with males and females was submitted only to the last two phases and a last group only to the final phase. The results showed that sex is not an important variable concerning learned helplessness, but it interferes with the immunization against learned helplessness. Females exposed to predictable and controllable stimuli during immunization showed similar behavior with females and males of Non Shock Group. On the other hand, only half of the males exposed to predictable and controllable appetitive stimuli during immunization phase learned the escape response during the test. These results suggest that sex is a variable that needs to be better investigated in behavior experiments. In Experiment 2, females were distributed into two groups (castrated and sham), the ovaries of the animals of the first group were removed, they are responsible for the estrogen production, a hormone that differentiates males from females. After recovery from surgery, both groups were exposed to the same immunization procedure of the unpredictable and controllable group from Experiment 1, the only group that statistical differences between males and females were observed. Females in both groups showed similar escape latencies suggesting that the presence or absence of sex hormone in females was apparently not the determining factor of gender difference in immunization. It is discussed the relevance of behavioral sex differences studies showing the interaction of environmental with organic factors

O objetivo deste estudo foi analisar o controle postural diante da previsibilidade da carga elevada através de ação manual e da demanda atencional promovida pelo acréscimo de um alvo espacial na tarefa. Quinze sujeitos do sexo masculino (idade média 22,8+3,5 anos) realizaram a tarefa de elevação de uma caixa por meio da preensão manual, com massa variável (1, 3 e 5kg) nas condições previsível ou imprevisível. A tarefa também era executada em uma condição de maior demanda atencional promovida pela colocação de um alvo frontal, que deveria ser atingido por um facho de luz laser, cuja fonte estava fixada na caixa elevada pelo sujeito. Foram analisados o comportamento do centro de pressão (CP) e a cinemática das principais articulações e do movimento da caixa. Os resultados indicaram que a imprevisibilidade sobre a massa da caixa aumentou a oscilação do CP. Aumento da oscilação do CP também foi observado na situação de redução de massa, mesmo quando os sujeitos tinham conhecimento da mudança. A situação de pontaria em alvo induziu redução (a) do deslocamento do CP, (b) velocidade de elevação da caixa, e (c) amplitude de movimento do tornozelo e quadril. Estes resultados indicam que a previsibilidade sobre a ação de forças externas no corpo, demanda espacial da tarefa manual, e organização/feedback do movimento da tentativa anterior interagem para afetar o controle postural / The aim of this study was to analyze postural control as a function of predictability of a load lifted with the hands, and demand of spatial accuracy in the task. Fifteen males (mean age: 22.8 3.5 years) lifted boxes with variable masses (1, 3 and 5 kg), in conditions of predictable or unpredictable load. The task was performed either under lower spatial accuracy demand or aiming at a spatial target. Displacement of center of pressure (CP) and kinematics of the main joints/box motion were analyzed to access postural perturbation induced by the lifting task. Results showed that unpredictability about mass of the box enhanced CP displacement. Enhanced CP displacement was also observed in situations of decreased mass regarding the previous trial, even when participants were aware about the change. The pointing task induced decreased (a) CP displacement, (b) box lifting velocity, and (c) ankle and hip motion amplitude. These results indicate that predictability about external forces acting on the body, spatial demand of manual tasks, and movement organization/feedback of the previous trial interact to affect postural control

This thesis consists of one stock return predictability study and two international risk exposure studies. The first study shows that the statistical significance of out-of-sample predictability of market returns given by Kelly and Pruitt (2013), using a partial least squares methodology, constructed from the valuation ratios of portfolios, is overstated for two reasons. Firstly, the analysis is conducted on gross returns rather than excess returns, and this raises the apparent predictability of the equity premium due to the inclusion of predictable movements of interest rates. Secondly, the bootstrap statistics used to assess out-of-sample significance do not account for small-sample bias in the estimated coefficients. This bias is well known to affect in-sample tests of significance and I show that it is also important for out-of-sample tests of significance. Accounting for both these effects can radically change the conclusions; for example, the recursive out-of-sample R2 values for the sample period 1965-2010 are insignificant for the prediction of one-year excess returns, and one-month returns, except in the case of the book-to-market ratios of six size- and value-sorted portfolios which are significant at the 10% level. The second study examines whether U.S. common stocks are exposed to international risks, which I define as shocks to foreign markets that are orthogonal to U.S. market returns. By sorting stocks on past exposure to this risk factor I show that it is possible to create portfolios with an ex-post spread in exposure to international risk. I examine whether the international risk is priced in the cross-section of U.S. stocks, and find that for small stocks an increase in exposure to international risk results in lower returns relative to the Fama-French three-factor model. I conduct similar analysis on a measure of the international value premium and find little evidence of this risk being priced in U.S. stocks. The third study examines whether a portfolios of U.S. stocks can mimic foreign index returns, thereby providing investors with the benefits of international diversification without the need to invest directly in assets that trade abroad. I test this proposition using index data from seven developed markets and eight emerging markets over the period 1975-2013. Portfolios of U.S. stocks are constructed out-of-sample to mimic these international indices using a step-wise procedure that selects from a variety of industry portfolios, stocks of multinational corporations, country funds and American depositary receipts. I also use a partial least squares approach to form mimicking portfolios. I show that investors are able to gain considerable exposure to emerging market indices using domestically traded stocks. However, for developed market indices it is difficult to obtain home-made exposure beyond the simple exposure of foreign indices to the U.S. market factor. Using mean-variance spanning tests I find that, with few exceptions, international indices do not improve over the investment frontier provided by the domestically constructed alternative of investing in the U.S. market index and portfolios of industries and multinational corporations.

A key prediction of the Capital Asset Pricing Model (CAPM) is that idiosyncratic risk is not priced by investors because in the absence of frictions it can be fully diversified away. In the presence of constraints on diversification, refinements of the CAPM conclude that the part of idiosyncratic risk that is not diversified should be priced. Recent empirical studies yielded mixed evidence with some studies finding positive correlation between idiosyncratic risk and stock returns, while other studies reported none or even negative correlation. In this thesis we revisit the problem whether idiosyncratic risk is priced by the stock market and what the probable causes for the mixed evidence produced by other studies, using monthly data for the US market covering the period from 1980 until 2013. We find that one-period volatility forecasts are not significantly correlated with stock returns. On the other hand, the mean-reverting unconditional volatility is a robust predictor of returns. Consistent with economic theory, the size of the premium depends on the degree of 'knowledge' of the security among market participants. In particular, the premium for Nasdaq-traded stocks is higher than that for NYSE and Amex stocks. We also find stronger correlation between idiosyncratic risk and returns during recessions, which may suggest interaction of risk premium with decreased risk tolerance or other investment considerations like flight to safety or liquidity requirements. The difference between the correlations between the idiosyncratic volatility estimators used by other studies and the true risk metric - the mean-reverting volatility - is the likely cause for the mixed evidence produced by other studies. Our results are robust with respect to liquidity, momentum, return reversals, unadjusted price, liquidity, credit quality, omitted factors, and hold at daily frequency.

Estudos sobre imunização do desamparo aprendido apresentam resultados contraditórios quando utilizam estímulos apetitivos na fase de imunização. Uma análise dos procedimentos utilizados nesses estudos sugere que eles diferem no grau de controle e previsibilidade da liberação do estímulo apetitivo. Além disso, foi demonstrado que quando a previsibilidade do estímulo é manipulada ela produz efeitos dependentes do sexo do sujeito. O presente estudo teve por objetivos avaliar se: 1) a previsibilidade e a controlabilidade de estímulos apetitivos na fase de imunização são variáveis críticas para imunizar ratos contra o desamparo; 2) esses efeitos são dependentes do sexo. Em paralelo, buscou-se explorar alguns efeitos das variáveis hormonais nesses comportamentos. Um Estudo Piloto demonstrou não haver diferença quanto ao desamparo em fêmeas nas fases de estro e diestro do ciclo estral. Quanto à imunização (Experimento 1), foi utilizado reforçamento positivo combinando-se as variáveis de controle (VI e VT) e previsão (com ou sem sinal antecedendo a disponibilização do reforço), utilizando-se grupos (n=16) com ratos machos e fêmeas em igual proporção. Em seguida esses animais foram submetidos a choques incontroláveis e por fim a um teste de fuga. Outro grupo de machos e fêmeas passou apenas pelas duas últimas fases e um grupo apenas pela fase final. Os resultados mostraram que o sexo dos animais não é uma variável importante para o desamparo, mas que essa é uma variável que interfere na imunização do desamparo aprendido. Fêmeas expostas a estímulos previsíveis e controláveis na fase de imunização apresentam um comportamento muito semelhante as fêmeas e machos do Grupo não choque. Por outro lado, apenas metade dos machos expostos a estímulos apetitivos previsíveis e controláveis na fase de imunização aprenderam a resposta de fuga no teste. Esses resultados sugerem que o sexo é uma variável que precisa ser mais investigada em experimentos que estudam o comportamento. No Experimento 2 as fêmeas foram distribuídas em dois grupos (castradas e sham), foram retirados os ovários dos animais do primeiro grupo, responsáveis pela produção do estrógeno, hormônio que as diferencia dos machos. Após a recuperação da cirurgia os animais de ambos os grupos foram expostos ao mesmo procedimento de imunização do Grupo imprevisível e controlável do Experimento 1, o único em que foram obsevadas diferenças estatísticas entre machos e fêmeas. Os resultados mostraram aproximadamente metade das fêmeas, de ambos os grupos, aprenderam fuga apresentando latências semelhantes entre si, sugerindo que a presença ou ausência do hormônio sexual em fêmeas não foi, aparentemente, o fator determinante da diferença de gênero na imunização. Discute-se a relevância dos estudos comportamentais entre gêneros mostrando a interação de fatores ambientais com orgânicos / Studies on immunization against learned helplessness have different results when using appetitive stimuli during immunization. An analysis of these studies procedures suggests that they differ in the degree of control and predictability of the release of appetitive stimulus. Furthermore, it was shown that when the predictability of the stimulus is manipulated it produces effects that depend of the subjects sex. The objective of the present study was to evaluate : 1) if the appetitive stimuli predictability and controllability during immunization are critical variables to immunize rats against learned helplessness; and if 2) these effects are sex dependent. In parallel, we explored t some effects of hormonal variables on these behaviors. A pilot study showed no difference regarding learned helplessness in estrus and diestrus phases of the estrous cycle. Concerning immunization (Experiment 1), positive reinforcement was used combining the variables of control (VI and VT) and predictability (with or without signal preceding the availability of reinforcement), using groups (n = 16) with equal proportion of male and female rats. Then these animals were subjected to uncontrollable shock and finally to an escape test. Another group with males and females was submitted only to the last two phases and a last group only to the final phase. The results showed that sex is not an important variable concerning learned helplessness, but it interferes with the immunization against learned helplessness. Females exposed to predictable and controllable stimuli during immunization showed similar behavior with females and males of Non Shock Group. On the other hand, only half of the males exposed to predictable and controllable appetitive stimuli during immunization phase learned the escape response during the test. These results suggest that sex is a variable that needs to be better investigated in behavior experiments. In Experiment 2, females were distributed into two groups (castrated and sham), the ovaries of the animals of the first group were removed, they are responsible for the estrogen production, a hormone that differentiates males from females. After recovery from surgery, both groups were exposed to the same immunization procedure of the unpredictable and controllable group from Experiment 1, the only group that statistical differences between males and females were observed. Females in both groups showed similar escape latencies suggesting that the presence or absence of sex hormone in females was apparently not the determining factor of gender difference in immunization. It is discussed the relevance of behavioral sex differences studies showing the interaction of environmental with organic factors

Corporations may experience lower earnings on assets due to the underinvestment of excess cash. Specifically, leaders of nonfinancial firms hold small amounts of cash in mutual fund investments. The primary benefit to understanding mutual funds is the potential to use them to manage excess corporate cash. Using the efficient market hypothesis as a framework for the study, the purpose of this correlational study was to examine the relationship among mutual fund expenses including 12b-1 fees, sales load at purchase, management fees, total capitalization, and performance. Secondary research databases were used, including the Steele Mutual Fund Expert and the U.S. Securities and Exchange Commission, to create a sample of 96 actively managed mutual funds for the years 2010 to 2014. Multiple regression analysis revealed that 12b-1 fees, sales load at purchase, management fees, and total capitalization were not significant predictors of mutual fund performance. Further, in most years, actively managed mutual funds were not able to outpace the benchmark index. However, a small cluster of successful mutual funds (30) exceeded the performance of the S&P 500 by 5.99%. The implications for positive social change include the potential to devise a strategy to invest excess cash, as additional earnings could offset increasing operational costs and ease shareholder concern. Additionally, legislators could use the results of this study to create regulations to promote stable financial markets.

With more functionality added to safety-critical avionics systems, new platforms are required to offer the computational capacity needed. Multi-core platforms offer a potential that is now being explored, but they pose significant challenges with respect to predictability due to shared resources (such as memory) being accessed from several cores in parallel. Multi-core processors also suffer from higher sensitivity to permanent and transient faults due to shrinking transistor sizes. This thesis addresses several of these challenges. First, we review major contributions that assess the impact of fault tolerance on worst-case execution time of processes running on a multi-core platform. In particular, works that evaluate the timing effects using fault injection methods. We conclude that there are few works that address the intricate timing effects that appear when inter-core interferences due to simultaneous accesses of shared resources are combined with the fault tolerance techniques. We assess the applicability of the methods to COTS multi-core processors used in avionics. We identify dark spots on the research map of the joint problem of hardware reliability and timing predictability for multi-core avionics systems. Next, we argue that the memory requests issued by the real-time operating systems (RTOS) must be considered in resource-monitoring systems to ensure proper execution on all cores. We also adapt and extend an existing method for worst-case response time analysis to fulfill the specific requirements of avionics systems. We relax the requirement of private memory banks to also allow cores to share memory banks.