In this thesis, we analyze premium relationship of American depositary receipts (ADR) and their underlying shares. Several researchers have previously identified the main variables influencing the construction of ADR premium of cross-listed companies. The aim of this study is to investigate to what extent the main variables affect differently the construction of ADR premium in crisis period. For the purpose of the study, two periods are defined. The period from June 2006 to October 2007 represents the non-crisis period whereas the period from October 2007 to March 2009 represents the crisis period. Our cross-listing sample consists of companies that have level II and level III ADR listed on the NYSE and the NASDAQ over the two periods. The tested variables influencing the premium are the liquidity, the currency exchange rate, the home and US market and the volatility. The liquidity is measured according to two ratios, the Amihud ratio and the turnover ratio. The currency exchange rate is the current exchange rate denominated in US dollar. The home markets are the reference indexes of the home country to which the underlying share of the ADR belong. The S&P 500 Index is used as a proxy for the US market. Finally, the US market volatility is analyzed with the CBOE VIX volatility Index. Multiple and simple OLS regressions are used to analyze the impacts of variables on ADR premium. The T-statistic is chosen to test the explanatory power of variables. The regressions are divided in three main parts. The first one is dedicated to the liquidity variables, then the second one to the home and US market, currency exchange rate and CBOE VIX volatility Index. Finally the last part keeps only the variables with the stronger explanatory power in order to define two equations of the factor influencing mostly the premium. We have found that crisis strongly modifies the relationship between ADR premium and the main variables. In crisis period, the regressions show that liquidity becomes a factor with a greater explanatory power of ADR premium. However the other main variables experience the opposite effect with a much lower T-test in times of crisis. It seems that the currency exchange rate, the home and US market as well as the volatility lose their explanatory power in times of crisis to the benefit of liquidity variables.

ABSTRACT INFLATION TARGETING AND FISCAL DOMINANCE: EVIDENCE FROM TURKEY SEL, TUgBA M.Sc., Department of Economics Supervisor: Prof. Dr. Erdal &Ouml / zmen September 2007, 60 pages. This study investigates the significance of fiscal dominance for an inflation targeting regime in the context of the recent Turkish experience. To this end, capital flows and country risk equations are estimated for the Turkish monthly data pertaining the inflation targeting regime implementation period. The results from the capital flows models based on portfolio approach strongly suggest that the real effective exchange rates in Turkey during the period are determined by foreign interest rates and the Emerging Markets Bond Index (EMBI) but not by the domestic interest rates in the long run. This supports the view that the risk premium channel dominates the standard portfolio channel in the determination of real exchange rates in Turkey during the period. The country risk of Turkey, proxied by the EMBI spread in the long run is determined by risk appetite of foreign investors and domestic variables including real debt stock, real consolidated budget balance, international gross reserves, current account deficits and credit ratings. All these results are found to be important manifestations of the presence fiscal dominance in Turkey. Consequently, contrary to the postulations of the conventional monetary policy transmission mechanism, interest rate increases to cope with inflationary pressures may lead to an inflation acceleration, rather than the reverse.

Day-ahead spot electricity markets are the most transparent spot markets where one can find integrated supply and demand curves of the market players for each settlement period. Since it is an indicator for the market players and regulators, in this thesis we model the spot electricity prices. Logarithmic daily average spot electricity prices are modeled as a summation of a deterministic function and multi-factor stochastic process. Randomness in the spot prices is assumed to be governed by three jump processes and a Brownian motion where two of the jump processes are mean reverting. While the Brownian motion captures daily regular price movements, the pure jump process models price shocks which have long term effects and two Ornstein Uhlenbeck type jump processes with different mean reversion speeds capturing the price shocks that affect the price level for relatively shorter time periods. After removing the seasonality which is modeled as a deterministic function from price observations, an iterative threshold function is used to filter the jumps. The threshold function is constructed on volatility estimation generated by a GARCH(1,1) model. Not only the jumps but also the mean reverting returns following the jumps are filtered. Both of the filtered jump processes and residual Brownian components are estimated separately. The model is applied to Austrian, Italian, Spanish and Turkish electricity markets data and it is found that the weekly forecasts, which are generated by the estimated parameters, turn out to be able to capture the characteristics of the observations. After examining the future contracts written on electricity, we also suggest a decision technique which is built on risk premium theory. With the help of this methodology derivative market players can decide on taking whether a long or a short position for a given contract. After testing our technique, we conclude that the decision rule is promising but needs more empirical research.

Die Risikoprämie einer Unternehmensanleihe dient prinzipiell der wirtschaftlichen Kompensation für die Übernahme zusätzlicher Risiken gegenüber den Risiken der Benchmark. Allerdings findet sich in der bisher veröffentlichen Literatur eine Vielzahl von den praktischen Messkonzepten, die in vielen Fällen nicht fehlerfrei und problemlos zustande gekommen sind. Daher ist die präzise und quantitative Messung der Risikoprämien von Unternehmensanleihen eine betriebswirtschaftliche Notwendigkeit. In der vorliegenden Arbeit werden im Hinblick auf die Erreichbarkeit drei alternative Messkonzepte bezüglich der Risikoprämien von Unternehmensanleihen vorgestellt und miteinander verglichen. Einige bisherige Studien sind der Auffassung, dass die Risikoprämien von Unternehmensanleihen zumeist von den Nicht-Kreditkomponenten beeinflusst werden. Um diese Marktanomalien zu erklären, verwenden die vorliegenden Untersuchungen das statistische lineare Faktor-Modell. In diesem Zusammenhang wird die Untersuchung von LITTERMAN/SCHEINKMAN (1991) auf die risikobehafteten Unternehmensanleihen übertragen. Im Kern steht die Frage, welche Risikoarten bzw. wie viele Einflussfaktoren wirken sich auf die Risikoprämien von Unternehmensanleihen in wieweit aus. Das Ziel ist ein sparsames lineares Faktor-Modell mit wirtschaftlicher Bedeutung aufzubauen. Somit leistet diese Dissertationsschrift einen wesentlichen Beitrag zur Gestaltung der Anleiheanalyse bzw. zur Portfolioverwaltung.

Draudimo teisinius santykius pakankamai išsamiai reglamentuoja Lietuvos Respublikos teisės aktai, tačiau įgyvendinant draudiko ir draudėjo teises bei pareigas kyla nemažai problemų. Magistro baigiamajame darbe atskleidžiama, kaip draudiko teisė atsisakyti mokėti draudimo išmoką yra apibrėžiama draudimo sutartyje, kokie draudimo sutarties elementai yra reikšmingi šios teisės įgyvendinimui. Apibendrinus draudiko teisės atsisakyti mokėti draudimo išmoką sampratą yra išskiriami trys pagrindiniai atvejai, kuomet draudikas, vadovaudamasis teisės aktų reglamentuojamomis taisyklėmis ir patikrinęs visą su draudiminiu įvykiu susijusią informaciją, gali įgyvendinti teisę atsisakyti mokėti draudimo išmoką: draudėjas padarė draudimo sutarties pažeidimą, draudžiamasis įvykis atsitinka dėl draudėjo tyčios ar didelio neatsargumo, įvykis yra nedraudžiamasis. Atsižvelgiant į šiuos atvejus, analizuojant doktriną ir Lietuvos teismų praktiką yra atskleidžiamos ir moksliškai bei teisiškai išanalizuojamos problemos, su kuriomis susiduria draudikai, įgyvendindami teisę atsisakyti mokėti draudimo išmoką. Magistro baigiamajame darbe kritiškai vertinama Lietuvos teismų praktika, kuri draudiko teisės atsisakyti mokėti draudimo išmoką įgyvendinimo klausimais yra nevienareikšmė ir diskutuotina. Taigi pasitelkiant analitinį, lyginamąjį, sisteminį ir aprašomasis tyrimo metodus, išanalizavus magistro baigiamajame darbe iškeltą problemą, pabaigoje pateikiamos išvados ir pasiūlymai. / Insurance legal relationships seems to be detail regulated by the Republic of Lithuania law, however enforcement of the insurer and the policyholder rights and obligations raises a number of problems. The Master's thesis reveals how the insurer right to pay the insurance premium is defined in the insurance contract, which insurance contract important elements are for this right enforcement. Summarizing the conception of insurer's right to refuse to pay the insurance premium there are extracted three main cases in which the insurer, in accordance with laws and regulations governed by verifying all the insured event related information, may enforce his right to refuse to pay insurance premium: the policyholder has breached the insurance contract, prohibition event occurs on the insured's intent or gross negligence, the event is non contingency. In light of these cases, analysis of the doctrine and practice of the Lithuanian courts there are disclosed and scientifically and legally analyzed problems which face insurers enforcing the right to refuse to pay the insurance premium. The Master's thesis criticizes the Lithuanian judicial practice which is ambiguous and debatable according to the insurer's right to refuse to pay insurance premium. Therefore through an analytical, comparative, systematic and descriptive research methods, analysis of the master's thesis raised issue, master's thesis ends with conclusions and recommendations.

Existing theoretical literature fails to explain satisfactorily the differences between the pay of workers that are covered by collective agreements and others who are not. This study aims at providing a model framework which is amenable for an analysis of this issue. Our general-equilibrium approach integrates a dual labor market and a two-sector product market. The results suggest that the so-called 'union wage gap' is largely determined by the degree of centralization of the bargains, and, to a somewhat lesser extent, by the expenditure share of the unionized sector's goods.

In order to assure a livelihood for the working population after retirement, the national retirement pension was developed. The system is based on 18.5% of each tax-paying worker’s annual salary. The national retirement pension system in Sweden consist of two parts. The first and largest part contributing with 16 percentage points, of the 18.5%, is a defined benefit plan, named the income pension. The second part contributing with 2.5 percentage points, of the 18.5%, is the premium pension, which is a defined contribution plan. The premium pension is the sole part of the national retirement pension controlled by the individual employee, with the opportunity to actively invest in a broad selection of domestic and international funds. Investors not making a choice will be transferred into the governments default fund, named the seventh AP fund. By investing in funds, the premium pension is partly based on each worker’s annual salary but also on the development of the financial market. This thesis has two purposes, the first is to investigate if the default alternative, the seventh AP fund has had a superior risk-adjusted return compared to fifty of the most commonly selected equity funds available in the premium pension selection. The second purpose is to construct portfolios for active investors with different risk-tolerance in order to compare the risk-adjusted return between an investor that has made an active investment in comparison to an investor that has not made an active choice. To conclude, this thesis shows that there are superior funds to select, with regard to risk-adjusted return and risk-exposure, as an alternative to the seventh AP fund. In addition to this, the portfolio construction included in this thesis has proven that active participants can achieve results that are more compatible with their risk preferences in comparison to remaining in the default fund option. However, it is important for investors to remain active and alter their fund selections throughout the years, in order to attain the preferable outcome.

Submitted by Camila Prados (camilaprados@hotmail.com) on 2015-03-29T16:56:52Z No. of bitstreams: 1 VERSAO FINAL_CAMILA DA SILVA PRADOSv3.pdf: 441218 bytes, checksum: 90dd2a57fa8ff9ba3aef49acc55b2c4e (MD5) / Rejected by Luana Rodrigues (luana.rodrigues@fgv.br), reason: Bom dia Camila, Por gentileza, faça as seguintes alterações e então poste novamente. 1) A contagem das páginas começa na primeira, porém os números só podem ser visualizados a partir da introdução. 2) A área de concentração deve ser a mesma descrita na ata, neste caso é Gestão e Competitividade Em Empresas Globais. Atenciosamente, Luana de Assis Rodrigues Cursos de Pós-Graduação – Post Graduate Program (55 11) 3799-3492 SRA - Secretaria de Registros Acadêmicos on 2015-03-30T13:37:29Z (GMT) / Submitted by Camila Prados (camilaprados@hotmail.com) on 2015-04-03T22:47:48Z No. of bitstreams: 1 VERSAO FINAL_CAMILA DA SILVA PRADOSv4.pdf: 430942 bytes, checksum: 8fb7364010fc03b87a0546dcc8bfd2dd (MD5) / Approved for entry into archive by Luana Rodrigues (luana.rodrigues@fgv.br) on 2015-04-06T12:45:20Z (GMT) No. of bitstreams: 1 VERSAO FINAL_CAMILA DA SILVA PRADOSv4.pdf: 430942 bytes, checksum: 8fb7364010fc03b87a0546dcc8bfd2dd (MD5) / Made available in DSpace on 2015-04-06T12:46:05Z (GMT). No. of bitstreams: 1 VERSAO FINAL_CAMILA DA SILVA PRADOSv4.pdf: 430942 bytes, checksum: 8fb7364010fc03b87a0546dcc8bfd2dd (MD5) Previous issue date: 2015-02-23 / Recently, emerging markets became a potential target for the beauty industry and Brazil is becoming a profitable market for premium cosmetic products (Euromonitor International, 2013). The low-income population in Brazil represents 70% of its inhabitants when considering classes C, D and E (Barki and Parente, 2010), being the class C represented by 56% of the population (Neri, 2012). This is a potential market for the multinational companies (MNCs) that face challenges to do business in there since class C choose to spend part of their income with products related to beauty (Silva and Parente, 2007) and there is still a little knowledge about the BoP consumption behavior. Therefore, the objective of this study is to investigate and describe the consumption behavior of the Brazilian women class C in the beauty sector related to premium-mass products, gaining a deeper knowledge in regards to this population and the subject proposed. To reach this objective, the author used a methodology based on a qualitative descript analysis in which 20 women from all age groups belonging to the Brazilian class C were interviewed and quotes were used to provide the confirmation of the analysis’ results. The results suggest that, over the years, there was indeed a trade up movement in the consumption of the beauty products. In addition, five main aspects were identified, which drive the class C women’s purchase decision in the beauty sector: reliability, quality, status, self-esteem and well-being. Despite of the limitations of an exploratory study, this research will be expected to increase the knowledge about the BoP market, especially in regards to the beauty industry. / Recentemente, os mercados emergentes se tornaram um alvo potencial para a indústria da beleza e o Brasil está se tornando um mercado lucrativo para os produtos cosméticos Premium (Euromonitor International, 2013). A população de baixa renda no Brasil representa 70% de seus habitantes ao considerar as classes C, D e E (Barki e Parente, 2010), sendo a classe C representada por 56% da população (Neri, 2012). Este é um mercado potencial para as empresas multinacionais (MNCs), que enfrentam desafios de fazer negócios no país, visto que a classe C opta por gastar parte de sua renda com produtos relacionados a beleza (Silva e Parente, 2007) e ainda há um pouco conhecimento sobre o comportamento de consumo na base da pirâmide. Portanto, o objetivo deste estudo é investigar e descrever o comportamento de consumo das mulheres brasileiras da classe C no setor de beleza, em relação aos produtos Mass Premium, melhorando o conhecimento no que diz respeito a essa população e ao tema proposto. Para atingir esse objetivo, o autor utilizou uma metodologia baseada em uma análise descritivas qualitativa em que foram entrevistadas 20 mulheres de todas as faixas etárias, que pertencem à classe C brasileira e citações foram usadas para fornecer a confirmação dos resultados da análise. Os resultados sugerem que, ao longo dos anos, houve de fato um movimento de trade up no consumo de produtos de beleza. Além disso, foram identificados cinco aspectos principais, que conduzem decisão de compra das mulheres de classe C, no setor de beleza: confiabilidade, qualidade, status, autoestima e bem-estar. Apesar das limitações de um estudo exploratório, espera-se que a pesquisa aumente o conhecimento sobre o mercado da base da pirâmide, especialmente no que diz respeito à indústria da beleza.

Submitted by Guilherme Kira (guilhermekira@gmail.com) on 2016-04-19T16:30:44Z No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2016-04-26T13:25:13Z (GMT) No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-04-27T18:01:53Z (GMT) No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Made available in DSpace on 2016-04-27T18:06:34Z (GMT). No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) Previous issue date: 2016-03-15 / As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lançado por Mehra and Prescott (1985)? É essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in uência desse viés em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hipótese, sejam preci cados de acordo com o fator estocástico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia será gerada via simulação de Monte Carlo, de forma que iremos construir um índice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rentáveis. Adota-se tal metodologia em paralelo à forma como os reais benchmarks são construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que são, comumente, as empresas historicamente mais rentáveis da economia. Em sequência, iremos realizar a estimação via GMM (Generalized Method of Moments) de um dos parâmetros de interesse de uma economia CCAPM: o coe ciente de aversão relativa ao risco (CRRA). Finalmente, os resultados obtidos são comparados e analisados quanto ao viés de estimação.

Made available in DSpace on 2010-04-20T20:54:48Z (GMT). No. of bitstreams: 0 Previous issue date: 2002-09-16T00:00:00Z / The aim of this paper is to test whether the correction of the interest parity conditions by market expectancy (uncovered parity) and by risk premium (covered and uncovered parity) results in a (close) econometric validation of the non-arbitrage relationship. In order to accomplish this goal, we combined domestic and non-domestic fixed rate instruments and applied time series econometrics. To start with, we tested the traditional interest parity condition (covered and uncovered). In the next step, we tested again but with risk premium incorporated. In the case of UIP (uncovered interest parity), we didn't obtain satisfactory results, even adjusting for risk premium. This adjustment led to correct coefficient signals, but the magnitude of the exchange devaluation coefficient got too high. Even though we had obtained CIP (covered interest parity) validity, this result was not expected, as this would imply that the country risk premium was null along this period. After adjusting the CIP for default risk premium, the series don't cointegrate any longer, i.e., the default risk premium would have a behavior independent from future premium and interest differential. The possible reasons for the non-expected results are: sample intervalless than 3 years, data measurement error or simuItaneous control of exchange rate and interest rate by monetary policy authorities. / O objetivo deste trabalho é verificar se o ajustamento das condições de paridade de juros por expectativa do mercado (paridade descoberta) e por prêmios de risco (paridades coberta e descoberta) leva à validação da relação de não-arbitragem subjacente, ou pelo menos a resultados econométricos mais próximos de sua validação. Para isso, combinamos taxas de retornos de instrumentos de renda fixa domésticos e norte-americanos e aplicamos o arcabouço econométrico de séries de tempo. Como primeiro passo de investigação, aplicamos a paridade de juros (descoberta e coberta) na sua forma tradicional. No passo seguinte aplicamos os testes econométricos às condições de paridade ajustadas por um prêmio de risco. No caso da PDJ, não obtivemos resultados satisfatórios, mesmo ajustando pelos prêmios de risco. Esse ajuste propiciou uma mudança nos sinais dos coeficientes na direção correta, mas a magnitude do coeficiente da desvalorização cambial efetiva passou a destoar bastante da magnitude das outras séries. Apesar de termos obtido a validade da PCJ na forma tradicional, não esperaríamos este resultado, pois isso implicaria que o prêmio de risco país seria nulo para este período. Ajustando a PCJ pelo prêmio de risco de não-pagamento passa-se a não obter co integração entre as séries, ou seja, o prêmio de risco de não-pagamento teria um comportamento independente do prêmio futuro e do diferencial de juros. As possíveis causas para a não obtenção dos resultados esperados são: intervalo amostraI menor que 3 anos, erro de medida dos dados de survey ou tentativa do Banco Central de controlar a taxa de câmbio nominal e as taxas de juros domésticas simultaneamente.