Thesis (M.S. in Applied Mathematics)--Naval Postgraduate School, June 2009. / Thesis Advisor(s): Owen, Guillermo ; Borges, Carlos. "June 2009." Description based on title screen as viewed on 13 July 2009. Author(s) subject terms: Game Theory, Bimatrix, modeling, convoy routing, Nash Equilibrium, search, ambush. Includes bibliographical references (p. 39). Also available in print.

Les marchés obligataires d’État occupent une place centrale dans les sphères monétaires et financières. L’attractivité des titres d’État s’accentue en période de crise financières vu leur statut de valeurs refuges. La présente thèse se propose d’étudier l’organisation des échanges et les dynamiques des prix sur les marchés obligataires européen et chinois. Le choix du marché chinois est motivé par sa croissance soutenue. Nous avons essayé de voir si la croissance de ce marché obligataire émergent se réalise en concordance avec deux principaux marchés obligataires. Pour cela, nous avons articulé cette thèse en deux parties. Les deux 1er chapitres constituent la première partie en proposant d’étudier les particularités des marchés obligataires en Europe et en Chine en termes de microstructure et de formation des prix. La deuxième partie de la thèse, composée des deux derniers chapitres est consacrée à l’interrelation des marchés étudiés. Le 3ème chapitre propose de tester la cointégration entre ces marchés. Le dernier chapitre s’intéresse à l’explication de cette tendance commune à travers l’exploitation de la piste des chocs monétaires non anticipés. Nos résultats prouvent l’intégration du marché chinois. Cette intégration a été accompagnée par une succession de réformes visant la standardisation des échanges sur le marché chinois.L’intégration de ce marché se caractérise par son ajustement aux principales tendances communes du système de cointégration dominés par les marchés obligataires américain et allemand. Les résultats empiriques montrent que les chocs monétaires non anticipés américains et européen influencent les anticipations sur les marchés obligataires étudiés. / Government bond markets play a central role in financial and monetary spheres. The government bonds become more attractive during financial crises, when capitals migrate to sovereign debt markets. The attractiveness of government bonds can be motivated by their safety status. In this thesis, we studied market microstructure and price discovery in Chinese and European sovereign bond markets. Our interest in the emergent Chinese bond market is motivated by his rapid and important growth. We tried to study the relationship between the evolutions of this market and developed ones. To reach our purpose, we organized this research in two sections. In the first two chapters we studied the specificities of the European and Chinese government bond market regarding to the market microstructure and price formation. The second part of this thesis was reserved to study the interdependencies between bond markets. In the third chapter we tested the cointegration between US, German, Chinese and Honk Kong government bond markets. In the last chapter we tried to explain the role of monetary policy surprises in the international bond markets integration. Our results indicate the existence of international integration of the Chinese bond market. This integration may be explained by the succession of reforms in the direction of the standardization of the rules of exchanges in this emergent market. Cointegration tests results chow that the Chinese bond market is adjusting to the principal common trends dominated by the US and the German markets. Our empirical results indicate that the US and the European monetary policy surprises tend to influence anticipations on the studied bond markets.

This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. Furthermore, by exploring the pre- and post announcement window the study examines the efficiency of the CDS market. The results imply that earnings announcements provide valuable information to the CDS market, with statistically significant results on the 5 % and 10 % significant level for negative and positive news respectively. Additionally, the paper shows that the market has a rather symmetric reaction to negative and positive earnings news since there is no significant difference in effects. The paper further reveals that there is no significant difference in the response between different credit rating groups. In terms of market efficiency, the study cannot confirm that there is anticipation for earnings announcements. The study further shows that there is no post-earnings announcement drift in the CDS market and that the market, overall, is efficient in incorporating the information into the spreads. Finally, a cross-sectional regression analysis confirms that negative earnings surprises are linked to large announcement day reactions, while positive earnings surprises are not.

This thesis examines the impact of earnings announcements on the stock return performance. Most literature regarding this topic is related to the US market. We follow 40 of the largest and most liquid stocks on the virtual OMX Nordic Exchange from 2010 to 2012. In this research paper, we present the theoretical framework that gives an overview of the possible research areas, and provide empirical evidence of the repercussion of the earnings announcements on stock returns. We use the event study methodology to conduct this thesis. It is a standard approach established by Fama et al. (1969). It has been used in a variety of researches for gauging the effect of new information on the market value of a security. As we expected good news and bad news to have different reactions on the stock return performances, we have split our data in good news and bad news. To differentiate good news from bad news, we measure analysts’ forecast error. It consists in subtracting the earnings per share (EPS) of the analysts’ consensus forecast from the reported EPS of the same year. The analysis is composed of three different subdivisions: the study of the abnormal return during an event window of 17 days, the cumulative abnormal return during this event window, stock price behavior from growth stocks and from value stocks. Our findings show that stock behavior gradually responds to the earnings announcement. The stock reactions that appear within pre-event window may indicate information leakage. Our results describe most average abnormal returns as statistically insignificant during the event window. Earnings information has a lower impact on the stock market. We also find that the effect of positive earnings surprise on stock price lasts longer than that of negative earnings surprise. Stocks from OMX Nordic 40 index have a stable reaction on negative earnings surprise. As a conclusion, we highlight three points. Earning interim and annual earning information disclosure were unable to influence the stock market effectively, and therefore could not fully reflect the changes on the stock price. Investors can get the abnormal returns by using this earnings information during the whole event window.

The primary purpose of this study is to test the effects of inflation targeting in Turkey in terms of providing stability in the financial system by lowering the volatility in the Turkish stock market. Although there are many factors other than monetary policy which can affect stock market volatility, this study examines whether the volatility due to monetary policy can be reduced by increasing the accuracy of investors&rsquo / expectations about the central bank&rsquo / s future actions. In the first part, a &ldquo / Volatility Analysis&rdquo / is conducted for three sub-periods including the pre- and post-periods of the implementation of inflation targeting in order to see whether the volatility in the Istanbul Stock Exchange changed over time. Second, an &ldquo / Announcement Effect Analysis&rdquo / is carried out by using the central bank&rsquo / s interest rate and inflation rate announcement dates in order to evaluate how investors&rsquo / expectations react to a change in these rates during period from 2002 to 2007. Finally, a &ldquo / Combined Analysis&rdquo / is done in order to examine the relationship between the returns in the Turkish stock market and the surprise caused by the realized interest and inflation rates being different from their expected values. The empirical findings about the level of volatility indicate that there is a decline in volatility of the Istanbul Stock Exchange returns when volatility is compared on a pre- and post-policy period basis. Also, it is found that the announcement effect was present, meaning interest rate announcements generally came as a surprise to stock market participants. However, this announcement effect has a notably decreasing trend from 2002 to 2007 which is another evidence of the inflation targeting regime&rsquo / s success at reducing stock market volatility. Finally, the &ldquo / combined analysis&rdquo / shows that CBT&rsquo / s power to effect stock returns and to direct investors&rsquo / expectations increases from 2002 to 2007.

Aim: To investigate how the University of Gävle conducts relationship with graduate students and retains graduate students and creates loyalty. This study explores the importance of relationship marketing theories that intends to be applied in higher education through alumni programs and services. University of Gävle and Stockholm University will be compared in benchmarking to determine in what ways the alumni offices create relationships to retain and create loyalty to alumni students.  Method: A qualitative research was conducted on the University of Gävle and Stockholm University in Sweden for this study, which included interviews with the relation officers on this subject. Result & Conclusions: It was evident that the University of Gävle alumni actually exist as titles, and there is no certain relationship strategy, however, only they are NOT actively operational. The study identified that the University of Gävle was not using a certain strategy to create lasting relationship, loyalty and increase prospective students. The study revealed the importance of relationship marketing strategy to effectively administrate the progress in establishing relationship with the alumni, to increase the prospective international students, to keep a regular track and communications with alumni. Suggestions for future research: This study focused on two universities, further research could be conducted to examine the relationship marketing with alumni students and investigate students’ relationship with university in other countries and institutions.

<p>This thesis consists of three papers on the economics and structure of Swedish families.</p><p>Paper [I] examines the determinants of children’s educational achievement in Sweden. Special attention is given to the labour market work by mothers and fa-thers in terms of its influence on the educational outcome of their children, measured as grade point average (GPA) in compulsory as well as upper secon-dary school. The results show that there is a positive relationship between paren-tal income and GPA. Regarding the number of hours worked in the labour mar-ket, the results differ between mothers and fathers. Having a mother that works less than full time has positive effects on the child’s grades throughout the schooling of the child, whereas significant effects of the hours of work that the father puts in are found during upper secondary school only.</p><p>Paper [II] explores the role of financial surprises and match quality in the disso-lution of relationships. The analysis is carried out both for surprises in the short term earnings and surprises in the long-run earnings capacity. It is found that positive surprises in short term earnings have a destabilizing effect for a rela-tionship. Generally, a negative surprise in long-run earnings capacity for males has a destabilizing effect. However, if it is combined with a female positive sur-prise, the effect is stabilizing. Commitments become more stable the older the spouses are at the start, and if young children are present.</p><p>Paper [III] studies the role of unemployment in the dissolution of relationships by applying a two-step estimation method to an extensive data set, which con-tains information about young Swedish males and females. Unemployment is recognized as endogenous in the separation decision, and the results show that the effect of unemployment on separation is biased when unemployment is as-sumed to be exogenous in the separation equation. The probability of separation is found to be increasing with male unemployment, while female unemployment decreases the probability of dissolution.</p>

This thesis consists of three papers on the economics and structure of Swedish families. Paper [I] examines the determinants of children’s educational achievement in Sweden. Special attention is given to the labour market work by mothers and fa-thers in terms of its influence on the educational outcome of their children, measured as grade point average (GPA) in compulsory as well as upper secon-dary school. The results show that there is a positive relationship between paren-tal income and GPA. Regarding the number of hours worked in the labour mar-ket, the results differ between mothers and fathers. Having a mother that works less than full time has positive effects on the child’s grades throughout the schooling of the child, whereas significant effects of the hours of work that the father puts in are found during upper secondary school only. Paper [II] explores the role of financial surprises and match quality in the disso-lution of relationships. The analysis is carried out both for surprises in the short term earnings and surprises in the long-run earnings capacity. It is found that positive surprises in short term earnings have a destabilizing effect for a rela-tionship. Generally, a negative surprise in long-run earnings capacity for males has a destabilizing effect. However, if it is combined with a female positive sur-prise, the effect is stabilizing. Commitments become more stable the older the spouses are at the start, and if young children are present. Paper [III] studies the role of unemployment in the dissolution of relationships by applying a two-step estimation method to an extensive data set, which con-tains information about young Swedish males and females. Unemployment is recognized as endogenous in the separation decision, and the results show that the effect of unemployment on separation is biased when unemployment is as-sumed to be exogenous in the separation equation. The probability of separation is found to be increasing with male unemployment, while female unemployment decreases the probability of dissolution.

Made available in DSpace on 2010-04-20T20:51:59Z (GMT). No. of bitstreams: 3 166824.pdf.jpg: 25508 bytes, checksum: 7d47965b9f53d91ab09900832926aa2e (MD5) 166824.pdf: 384241 bytes, checksum: 305e171c0f8cbad3495087d7dc29dc1e (MD5) 166824.pdf.txt: 156488 bytes, checksum: 102a381280ca93c3ac30a4448a9d9d1d (MD5) Previous issue date: 2007-02-08T00:00:00Z / Este trabalho avalia os efeitos que as ações de política monetária exercem sobre o mercado acionário brasileiro. Através da definição de medidas para estimar a surpresa causada neste mercado pelas decisões do Comitê de Política Monetária do Banco Central do Brasil (COPOM), constatou-se que a um aumento hipotético de 1% não previsto na taxa básica de juro está associada uma queda de aproximadamente 1,3% no Índice Bovespa. Testes adicionais mostraram que o mercado não reage diferentemente em função da direção tomada pelas decisões e que importantes eventos econômicos recentes ou mesmo o contexto das decisões tomadas não influenciaram as respostas à surpresa; as evidências mostraram também que a surpresa é composta de dois efeitos significativos: os permanentes e os devidos ao timing da mudança. Por fim, aplicando-se a metodologia individualmente aos mais importantes papéis que compõem o Índice Bovespa, constatou-se significância na resposta da maioria deles às surpresas na política monetária, bem como consistência destas respostas a um padrão previsto pelo modelo CAPM. / This article evaluates the effects that monetary policy actions exert on Brazilian stock market. By the measures defined to estimate the surprise caused by Comitê de Política Monetária do Banco Central do Brasil (COPOM) decisions, it was verified that to a hypothetic unexpected 1% increase in the target rate is associated an 1.3% average fall of Bovespa Index. Additional tests did not show distinct reactions caused by direction decisions, neither evidences from relevant recent economic events or decision contexts having influences on the surprise responses; evidences have showed, as well, that the surprises consist of two significant effects: the permanent, and timing ones. Applying the same methodology individually to the most important stocks that compose Bovespa Index, it was verified a significant response of the majority of them to monetary policy, as well as their consistency to a pattern foreseen by CAPM model.

Made available in DSpace on 2016-08-02T21:42:39Z (GMT). No. of bitstreams: 1 RafaelNapoleone.pdf: 398672 bytes, checksum: 205d94e713a895763ec8dd06adf428f4 (MD5) Previous issue date: 2014-09-24 / The market reaction related to the changes in the benchmark interest rate is relevant for the whole economy. The knowledge of the relation between monetary policy and interest rates are extremely important, since monetary surprises, in other words, mistakes in the market regarding changes Selic rate target prediction, that can affect interest rates from different maturity or maturities, directly impacting the Financial Administration. The aim of this study was to analyze the variation of the Brazilian Term Structure of Interest Rates (ETTJ) monetary surprises when checked at the time of the decision of the Brazilian Monetary Policy Committee (Copom) on the Selic rate target. For that reason, a quantitative descriptive study, which considered 88 regular meetings of the Copom in the period from January, 2004 to December, 2013 was developed. Monetary surprises were identified through two distinct ways. The first one considered rates of DI1 corresponding to the last trade on the floor of the Copom meeting s date, and the rate of the first transaction done in the next trading session. Thus 11 monetary surprises were identified. The second form averaged rates observed in the same contracts and occasions mentioned above, and thus, 10 monetary surprises were identified. For the analysis of the relation between variations of the yield curve and monetary surprises were considered maturities of 2, 3, 6, 9, 12, 15, 18 and 24 months. As a result it was observed that monetary surprises and changes in the yield curve are directly proportional, moving on in the same direction for the two distinct forms of monetary surprises identified in this study. Furthermore, it was used in the analysis of unanimity in the decision of the Copom to test their informational content, and it was observed, as a result, a smaller variation of ETTJ when the Copom decision was unanimous. In summary, it is meant that the results of this study are in line those presented by other authors, it is possible to prove the correlation between the variation of the yield curve and monetary surprises as well as verify that the magnitude of the variations decreases throughout ETTJ, a fact that may be related to the transparency of monetary policy and national experience in term of the inflation targeting system. / A reação dos mercados às alterações na taxa básica de juros é relevante para toda a economia. O entendimento da relação entre a política monetária e as taxas de juros é de extrema importância, uma vez que surpresas monetárias, ou seja, os erros de previsão do mercado a respeito das alterações da meta da Taxa Selic, podem afetar as taxas de juros de diferentes maturidades ou vencimentos, impactando diretamente a Administração Financeira. O objetivo deste estudo foi analisar a variação da Estrutura a Termo da Taxa de Juros (ETTJ) quando verificadas surpresas monetárias na ocasião da decisão do Comitê de Política Monetária (Copom) a respeito da meta da Taxa Selic. Para isso, foi desenvolvido um estudo descritivo quantitativo, que considerou as 88 reuniões ordinárias do Copom realizadas no período de janeiro de 2004 a dezembro de 2013. As surpresas monetárias foram identificadas através de duas formas distintas. Na primeira forma foram consideradas as taxas do contrato de DI1 referente ao último negócio realizado no pregão da data da reunião do Copom, e a taxa do primeiro negócio realizado no pregão seguinte. Desta maneira foram identificadas 11 surpresas monetárias. Na segunda forma foram consideradas as taxas médias verificadas nos mesmos contratos e ocasiões citados anteriormente, sendo assim identificadas 10 surpresas monetárias. Já para a análise da relação entre as variações da ETTJ e as surpresas monetárias foram considerados os vencimentos de 2, 3, 6, 9, 12, 15, 18 e 24 meses. Como resultado foi possível observar que as surpresas monetárias e as variações na ETTJ são diretamente proporcionais, movendo-se na mesma direção, para as duas formas distintas de surpresas monetárias identificadas neste estudo. Além disso, foi empregada nas análises a questão da unanimidade na decisão do Copom, com o objetivo testar o seu conteúdo informacional, e observou-se como resultado uma menor variação da ETTJ em ocasiões em que a decisão do Copom foi unânime. Em resumo, entende-se que os resultados encontrados no presente estudo estão em linha aos apresentados por outros autores, sendo possível comprovar a correlação existente entre as variações da ETTJ e as surpresas monetárias, bem como verificar que a magnitude das variações diminui ao longo da ETTJ, fato este que pode ser relacionado à transparência da política monetária nacional e à experiência na vigência do sistema de metas para a inflação.