Microfinance has attracted, since its inception at the end of the seventies, the attention of many people and institutions, both at academic and donor levels. However, evidence is mixed so far and no definitive conclusion has yet emerged with respect to the positive effects of microfinance, in part because of the great differences among the different microfinance schemes but also because of methodological issues. This work aims to add some further evidence to the impact debate, with three studies in two different rural areas from Bangladesh and India. The first study is based on the second round of a survey in Bangladesh undertaken by the World Bank. A Propensity Score Matching approach was chosen to study the impact of borrowing on household income and expenditures per capita. In this case positive impact can only be seen in extraordinary expenditures, in particular in house extensions and investments in houses and land, but not in current expenditures or food expenditures. The second and third studies analyse a dataset collected in five districts of Andhra Pradesh, India. The former tries to answer the question of whether borrowing from Self- Help groups (SHGs) has any effect on income and income per capita at household level. Pooled ordinary least squares and difference in differences approaches are used to that end. A significant impact is found in this study on income and income per capita. In the last empirical work the main interest is focused on the distributional impact, on the understanding that anti-poverty measures should be focused on households at the bottom tail of income and income per capita distributions. Its analysis is based on quantile regression, with cross sectional and panel data approaches. Distributional impact shows, however, that the poorest might not be benefitting from these interventions as much as better-off or not-so-poor households.

Este trabalho procura descrever e analisar a importância dos formadores de mercado e os objetivos das empresas que contratam os marketmakers na Bolsa de Valores de São Paulo (BOVESPA). Ele apresentará algumas características da legislação brasileira e informações a respeito deste mercado no Brasil para, através de ferramental estatístico, analisar se um formador de mercado pode trazer aumento de valor para os ativos bem como diminuição de volatilidade. Através de busca no sítio da BOVESPA de janeiro de 2002 a janeiro de 2010, foram analisadas 98 empresas de capital aberto na BOVESPA e após exclusões por falta de dados para montar a janela de eventos ou insignificância dos coeficientes, a análise se concentrou em 57 ativos. Foram elaboradas duas janelas de eventos (2 dias e 11 dias) e os resultados apontaram que há uma diminuição da amplitude diária, sugerindo a diminuição de volatilidade, e dessa forma, redução de riscos ao investidor, mas por outro lado, não há estatisticamente uma evidência de que há retornos anormais significativamente diferentes de zero quando da entrada de um formador de mercado tampouco quando da saída do marketmaker, exceto no retorno acumulado quando da saída do formador mercado da janela de eventos de 11 dias, com resultado positivo em 4.79%. Entretanto, mesmo com pouca significância estatística, todos os resultados podem estar indicando um eventual aumento (diminuição) da assimetria informacional quando da entrada (saída) do formador mercado. / This dissertation wants to analyze the importance of the marketmakers and describe the companies‟ goals when they decide to hire marketmakers in Brazilian stock Market Exchange (BOVESPA). After presenting the Brazilian legal environment and available data, the analysis focus on an event-study looking for changes in volatility using the daily amplitude as a proxy and the positive(negative) abnormal returns when hiring(rescinding) marketmakers. From January 2002 to January 2010, 98 enterprises were analyzed and after exclusions due to lack of data for event-study window estimation or coefficient non-significance , the analysis was concentrated on 57 assets. Two event-windows were created for this work (2 and 11 days) and results suggest volatility reduction when marketmaker services are being provided. However, there are no statistical evidence of abnormal returns due to the marketmaker, except for the 11-day-event-study when marketmakers stop providing the service, with a positive result of 4.79%. However, results tend to show with little significance an increase (decrease) of information asymmetry when marketmakers starts(stops) providing their services.

Liquidity, often defined as the ability of markets to absorb large transactions without much effect on prices, plays a central role in the functioning of financial markets. This dissertation aims to investigate the implications of liquidity from several different perspectives, and can help to close the gap between theoretical modeling and practice. In the first part of the thesis, we study the implication of liquidity costs for systemic risks in markets cleared by multiple central counterparties (CCPs). Recent regulatory changes are trans- forming the multi-trillion dollar swaps market from a network of bilateral contracts to one in which swaps are cleared through central counterparties (CCPs). The stability of the new framework de- pends on the resilience of CCPs. Margin requirements are a CCP’s first line of defense against the default of a counterparty. To capture liquidity costs at default, margin requirements need to increase superlinearly in position size. However, convex margin requirements create an incentive for a swaps dealer to split its positions across multiple CCPs, effectively “hiding” potential liquidation costs from each CCP. To compensate, each CCP needs to set higher margin requirements than it would in isolation. In a model with two CCPs, we define an equilibrium as a pair of margin schedules through which both CCPs collect sufficient margin under a dealer’s optimal allocation of trades. In the case of linear price impact, we show that a necessary and sufficient condition for the existence of an equilibrium is that the two CCPs agree on liquidity costs, and we characterize all equilibria when this holds. A difference in views can lead to a race to the bottom. We provide extensions of this result and discuss its implications for CCP oversight and risk management. In the second part of the thesis, we provide a framework to estimate liquidity costs at a portfolio level. Traditionally, liquidity costs are estimated by means of single-asset models. Yet such an approach ignores the fact that, fundamentally, liquidity is a portfolio problem: asset prices are correlated. We develop a model to estimate portfolio liquidity costs through a multi-dimensional generalization of the optimal execution model of Almgren and Chriss (1999). Our model allows for the trading of standardized liquid bundles of assets (e.g., ETFs or indices). We show that the benefits of hedging when trading with many assets significantly reduce cost when liquidating a large position. In a “large-universe” asymptotic limit, where the correlations across a large number of assets arise from a relatively few underlying common factors, the liquidity cost of a portfolio is essentially driven by its idiosyncratic risk. Moreover, the additional benefit from trading standardized bundles is roughly equivalent to increasing the liquidity of individual assets. Our method is tractable and can be easily calibrated from market data. In the third part of the thesis, we look at liquidity from the perspective of market microstructure, we analyze the value of limit orders at different queue positions of the limit order book. Many modern financial markets are organized as electronic limit order books operating under a price- time priority rule. In such a setup, among all resting orders awaiting trade at a given price, earlier orders are prioritized for matching with contra-side liquidity takers. In practice, this creates a technological arms race among high-frequency traders and other automated market participants to establish early (and hence advantageous) positions in the resulting first-in-first-out (FIFO) queue. We develop a model for valuing orders based on their relative queue position. Our model identifies two important components of positional value. First, there is a static component that relates to the trade-off at an instant of trade execution between earning a spread and incurring adverse selection costs, and incorporates the fact that adverse selection costs are increasing with queue position. Second, there is also a dynamic component, that captures the optionality associated with the future value that accrues by locking in a given queue position. Our model offers predictions of order value at different positions in the queue as a function of market primitives, and can be empirically calibrated. We validate our model by comparing it with estimates of queue value realized in backtesting simulations using marker-by-order data, and find the predictions to be accurate. Moreover, for some large tick-size stocks, we find that queue value can be of the same order of magnitude as the bid-ask spread. This suggests that accurate valuation of queue position is a necessary and important ingredient in considering optimal execution or market-making strategies for such assets.

Well-managed working capital plays an important role in running a sound and successful business as it has a direct influence on liquidity and profitability. Working capital management (WCM) has recently received an increased focus from businesses and been regarded as a key managerial intervention to maintain solvency, especially during the global financial crisis when external financing was less available (PwC, 2012). This thesis contains a comprehensive analysis of the determinants and consequences of WCM. For the determinants of WCM, the results suggest that the nature of a firm’s WCM is determined by a combination of firm characteristics, economic condition, and country-level variables. Sources of financing, firm size, and levels of profitability and investment in long-term assets play a vital role in the management of working capital. The financial downturn has also put increased pressure on firms to operate with a lower level of working capital. In addition, country-level variables (i.e., legal environment and culture) have a significant influence on determining a firm’s WCM as well as its determinants. For the consequences of WCM, the findings highlight the importance of higher efficiency in WCM in terms of its potential contribution in enhancing profitability. In particular, firms operating with lower accounts receivable, inventory, and accounts payable periods are associated with higher profitability. Firms can also enhance their profitability further by ensuring a proper “fit” among these components of working capital. Finally, achieving higher efficiency in inventory management can be a source of profitability improvements during the financial crisis. Overall, the thesis contributes to the accounting and finance literature in two distinct ways: research design and new findings. A more extensive data set (in terms of countries coverage and time frame), new estimation technique (i.e., dynamic panel generalised method of moments (GMM) estimation to produce more consistent and reliable results), and substantive robustness tests (conspicuous by their absence in prior studies) were applied and result in several new empirical findings. First, a firm’s WCM is influenced not only by internal factors but also external factors such as country setting, legal environment and culture. Second, a comprehensive measure of WCM (i.e., cash conversion cycle (CCC)) does not represent a useful surrogate for the effects of WCM on corporate profitability. Instead, an examination of the individual components of CCC gives more pronounced and valid results. Third, by managing working capital correctly, firms can enhance their profitability even further, at different levels, and through different components of profitability (including profit margin and asset productivity).

I examine the firms with different hedging needs in their investment and financing strategy during the financial crisis in 2008. I define the hedging needs using the correlation between their cash flow and the industry Q. The firms with positive correlation between the cash flow and industry Q are defined as low hedging needs firms and the firms with negative correlation between the cash flow and industry Q are defined as high hedging needs firms. The low hedging needs firms have similar investment growth as high hedging needs firms before the crisis but significantly less investment growth during the crisis. However, the impact of financial crisis on firms with low hedging needs is smaller. Those firms efficiently respond to the decline of investment opportunity during crisis period by cutting capital expenditures since the capital expenditure in crisis are associated with lower profitability. And the empirical results support that there is a mix of supply shock and demand shock during financial crisis in 2008. / Tao, Xiaojue. / Thesis M.Phil. Chinese University of Hong Kong 2015. / Includes bibliographical references (leaves 22-24). / Title from PDF title page (viewed on 11, October, 2016). / Tao, Xiaojue.

The first chapter studies mutual funds. I model intraquarter trading and use a genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund's tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model's liquidity provision measures earns significant abnormal returns, while a similar strategy that relies on quarterly holdings does not exhibit any outperformance. The second chapter studies investment research. We find evidence that crowdsourced investment research facilitates informed trading by retail investors and improves firm liquidity. Specifically, retail order imbalances are strongly correlated with the sentiment of Seeking Alpha articles, and the ability of retail order imbalances to predict returns is roughly twice as large on research article days. In addition, firms with exogenous reductions in Seeking Alpha coverage experience increases in bid-ask spreads and price impact, with the effect being stronger for firms with high retail ownership. Our findings suggest that technological innovations have helped democratize access to investment research with important implications for firm liquidity.

El presente trabajo tiene la finalidad de analizar las ventajas y desventajas de los sistemas de trading de alta frecuencia frente a los sistemas tradicionales de trading que en la actualidad operan en el mercado de valores internacional. Para desarrollar la investigación, se realizó un proceso de recopilación y cruce de información relacionada, a partir de los mismos se identificó si es o no ético el nivel de optimización en tiempo y recursos, la rentabilidad económica y la liquidez que aportan las operaciones del trading de alta frecuencia en comparación a los sistemas tradicionales de trading. El trading de alta frecuencia en determinados casos puede tener importantes consecuencias en el funcionamiento regular del mercado, pues supone la utilización de algoritmos logrando introducir en el mercado grandes volúmenes de órdenes en función de específicos parámetros de cotización en cuestión de milisegundos. Cabe recalcar que en la actualidad el trading de alta frecuencia carece de una regulación drástica que equilibre las condiciones de juego para todos los traders del mundo. Si bien es cierto, Perú no realiza operaciones de trading de alta frecuencia y es nuevo en este tema, el país cuenta con enormes posibilidades de incorporar dicho sistema; siempre y cuando mejore su liquidez, existan mayores emisores y proveedores de tecnología de punta e infraestructura, se amplíe la capacidad de banda ancha, entre otros aspectos. En ese sentido, si el Perú incorpora y desarrolla el trading de alta frecuencia tendría mayores y mejores posibilidades de lograr competitividad en el mercado de valores internacional. / The purpose of this report is analize the advantages and disadvantages of the high frequency trading process compared to the traditional trading which nowadays operate in the international stock market. To develop this research, a process of gathering and cross-checking related information was carried out, from which it was identified if is ethical or not the level of optimization in terms of time and resources, the economic profitability and the liquidity provided by the high frequency trading operations in contrast with the traditional trading systems. The high frequency trading in certain cases can have relevant consequences in the regular operation of the market, considering the use of algorithms managing to introduce in the market large volumes of orders based on specific quotation parameters in a blink of an eye. It should be noted that currently high-frequency trading lacks a drastic regulation that balances the playing conditions for all traders in the world. It is known, Peru does not carry out high frequency trading operations and is new at it, the country has a lot of possibilities of incorporating this system; provided that its liquidity improves, there are greater issuers and suppliers of innovative technology and infrastructure, broadband capacity is expanded, among other aspects. In that sense, if Peru incorporates and develops the high frequency trading, it would have greater and better chances of achieving competitiveness in the International Stock Market. / Trabajo de Suficiencia Profesional

The first essay provides evidence on the origins of the size and value premiums by examining how order flow in the SMB and HML portfolios relates to economic conditions and investor sentiment. We find that buying pressure for SMB and HML is lower (increases) when economic conditions are expected to deteriorate (improve), while it is unrelated to proxies for investor sentiment and sales growth. These findings are consistent with big stock and value stocks being regarded as hedges against adverse shifts in economic conditions, and support a rational state variable interpretation of the size and value premiums. The second essay finds that the marketwide average of individual stock order flows and the difference between the average order flow for big stocks and the average order flow for small stocks (order flow differential) predict growth rates in real GDP, industrial production, and corporate earnings. The predictive significance of these two measures is robust to controls for return factors, suggesting a role for order flow in forecasting stock returns. Consistently, we show that an increase in the order flow differential forecasts higher returns for ten size-sorted portfolios and significantly greater market and size premiums in the subsequent quarter, even after accounting for a large host of variables. These findings are consistent with a world where aggregate order flow brings together dispersed information from heterogeneously informed investors. The third essay shows that stocks that are harder to value (stocks with less valuable growth options and more dispersed analyst forecasts) and stocks that attract less uninformed trading activity (small stocks, illiquid stocks, stocks not covered by analysts) have higher price impacts, greater probabilities of informed trading, and more private information in returns. In the time-series, reductions in trading activity and consumer sentiment increase the average price impact of trading and reduce the share of firm-specific information in returns. Recessions see high price impacts, low trading activity, and a smaller share of private signals in price movements. This reduction in private information seems to have an impact on the informativeness of prices for corporate managers: the sensitivity of corporate investment to the prices is significantly lower during recessions. / Finance

Thesis (Ph. D.)--Ohio State University, 2006. / Title from first page of PDF file. Includes bibliographical references (p. 124-130).

This dissertation contains four essays and is focused on evaluating, and to a lesser degree, extending, theories on monopoly and oligopoly pricing. The data in all of the essays originates from the Swedish daily newspaper markets."Pricing Contracts With Different Duration: The Role of Switching Costs" analyzes how prices of contracts with different duration are affected by the degree of "lock-in". We extend a model by Glazer and Hassin (1982) by adding switching cost. We use the daily newspaper data to test propositions from the model. The essay also analyzes the use of second-degree price discrimination, in the form of different contract durations, by newspapers, and finds that more competition yields more  discrimination. "Prices, Margins and Liquidity Constraints: Swedish Newspapers 1990-1996" analyzes an example of how the financial situation of firms may affect their product market pricing decisions. When consumers have switching costs, they are to some extent "locked in" and can be exploited. If a firm finds itself in financial distress it may have to resort to raising prices to cover short run expenses, thus sacrificing long run profits. This effect is found in subscription markets but not in advertising markets where consumers do not have switching costs. "Pricing Pre-Announcements and Price Leadership in the Swedish Daily Newspaper Industry" analyzes the publication of prices and price-setting behavior in the advertising markets. We find that large price increases and price cuts are published earlier. Duopolies exhibit publication behavior that differs from monopolies. Price leadership is prevalent in many of the duopoly markets and the price leadership observed in these markets is likely to be barometric. "Third-Degree Price Discrimination in Oligopoly: Evidence from Swedish Newspapers" addresses the question of how competition affects the use of third-degree price discrimination. We study the discounting behavior in subscription markets and find that duopolies and firms with weak market positions use more third-degree price discrimination. There is some indication that large immigration to the market and the firm being present in a large number of markets increases the use of discounts. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2001</p>