Submitted by Diego Brandão (digusmao@hotmail.com) on 2017-01-06T20:29:33Z No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-02-20T13:39:19Z (GMT) No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5) / Made available in DSpace on 2017-03-03T12:50:29Z (GMT). No. of bitstreams: 1 Tese - Versao final - Diego Brandao.pdf: 1402061 bytes, checksum: 2a9d03af25fdeae9cb4300343d707aa2 (MD5) Previous issue date: 2016-09-23 / The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA preferences when the economy is characterized by rare disasters. In the second article, we develop and test a methodology to assess misspeci fied asset pricing models by taking into account the smallest probability distortion necessary to assign correct prices. In the final paper, we estimate an approximate long run risks model using Brazilian data. / Esta tese consiste em três artigos sobre a estimação de modelos de apreçamento de ativos. No primeiro artigo, analisamos as propriedades de amostra pequena dos estimadores da classe Generalized Empirical Likelihood para o coeficiente de aversão ao risco de preferências CRRA quando a economia é suscetível a desastres. No segundo artigo, apresentamos e testamos uma metodologia de avaliação de modelos de apreçamento mal especificados que leva em conta a menor distorção de probabilidade necessária sobre a medida real para que modelo aprece corretamente ativos. No terceiro artigo, estimamos uma versão aproximada do modelo de riscos de longo prazo utilizando dados brasileiros.

Made available in DSpace on 2010-04-20T21:00:02Z (GMT). No. of bitstreams: 4 Sebastian Arbeleche.pdf.jpg: 18559 bytes, checksum: 9896e50946c488c842d22c7b00fbebd5 (MD5) Sebastian Arbeleche.pdf.txt: 114868 bytes, checksum: 72378c6543b7688b7e5f5d678290ac91 (MD5) Sebastian Arbeleche.pdf: 727086 bytes, checksum: 52168b50a9d358b209c62df383370b90 (MD5) license.txt: 4886 bytes, checksum: 0e234dd3d7b4053a4b0187f8fc733d03 (MD5) Previous issue date: 2008-12-03T00:00:00Z / Esta dissertação analisa o desempenho de longo prazo (36 meses após o evento)das fusões e aquisições em países latino-americanos. O estudo abrange um total de 429 eventos de fusão e aquisição anunciados entre os anos de 1994 a 2005, em sete países da América Latina (Brasil, México, Chile, Argentina, Peru, Colômbia e Venezuela), onde os mercados de capitais estão relativamente mais desenvolvidos. É utilizada uma abordagem em tempo calendário baseada no modelo de mercado CAPM, através do qual se calcula o alfa de Jensen, para estimar os retornos anormais de longo prazo. Há evidências claras de retornos anormais de longo prazo negativos e significativos para México e Argentina, enquanto para Chile observam-se retornos anormais de longo prazo positivos e significativos. Os demais países da região (Brasil, Peru, Colômbia e Venezuela) não apresentam retornos anormais de longo prazo significativamente diferentes de zero. Procura-se também analisar as amostras de eventos a partir de diferentes pontos de vista com o intuito de entender quais os possíveis determinantes do desempenho de longo prazo: forma de pagamento, atitude do comprador, transações locais versus internacionais, especialização versus diversificação, e ocorrência da transação dentro ou fora de uma onda de fusões e aquisições. Observam-se evidências de retornos anormais de longo prazo para as subamostras, mas não se registra um comportamento uniforme na amostra de países. / This dissertation analyzes the long-run performance (36 months post-event period) of Latin American mergers and acquisitions. This work covers a total of 429 merger & acquisition events announced during the period comprehended between the years 1994 and 2005, in 7 Latin American countries (Brazil, Mexico, Chile, Argentina, Peru, Colombia and Venezuela), where capital markets are relatively more developed. A CAPM based calendar-time approach is used to estimate Jensen’s α, a measure of long-run abnormal returns. On the one hand, Mexico and Argentina present hard evidence on the existence of significant negative abnormal returns. On the other hand, Chile shows evidence of significant positive long-run abnormal returns. There is no proof of abnormal performance for acquiring companies in the rest of the analyzed countries (Brazil, Peru, Colombia and Venezuela). The mergers and acquisitions sample is also studied from different points of view in order to establish possible long-run performance determinants, such as: mode of payment, deal attitude, country of transaction (cross-border or non-cross-border), type of activity (related or non-related) and timing relative to M&A wave (in-wave or out-of-wave). This sub-sample analysis offers some evidence on the existence of abnormal performance as well, but there is no unique results pattern through the sample of studied countries.

Neste trabalho estudamos a estabilidade assintótica de Lagrange para duas classes de sistemas, sob as hipóteses de detetabilidade fraca e de limitação do custo medio a longo prazo. Para sistemas lineares com saltos markovianos com rudo aditivo, a equivalência entre estabilidade e as condições mencionadas sera provada. Para sistemas dinâmicos generalizados, provaremos a estabilidade sob uma condição adicional / In this work we study Lagrange asymptotic stability for two classes of systems, under conditions of weak detectability and boundedness of the long run average cost. For Markov jump linear systems with additive noise, the equivalence between stability and the aforementioned conditions is proved. For generalized dynamical systems, we prove stability under an additional condition

[pt] O estudo faz uso de modelos reconhecidos e aplicados em estudos internacionais para o cálculo da elasticidade da demanda de passageiros, como: Log-Log, Modelo de Ajuste Parcial (PAM) e técnicas de Cointegração conjugadas com o Modelo de Correção de Erros (ECM). Para o cálculo da elasticidade da demanda de passageiros pagantes por ônibus na cidade do Rio de Janeiro no período de 2004 a 2014 foi utilizado o modelo Log-Log. A fim de distinguir a elasticidade de curto e longo prazo foram empregados e comparados os resultados dos seguintes modelos: Modelo de Ajuste Parcial (PAM) e técnicas de Cointegração conjugadas com o Modelo de Correção de Erros (ECM). O estudo sugere que os fatores mais influentes na demanda de passageiros por ônibus na cidade do Rio de Janeiro são: Produto Interno Bruto, Tarifa e Número de Viagens realizadas pela frota. Como conclusão pode-se afirmar que há pouca distinção em termos de resultados quando se compara os modelos aplicados, exceto no caso do PIB, que apresentou demanda elástica e relação positiva no curto prazo para o modelo de ajuste parcial (PAM) e demanda inelástica e relação positiva usando o modelo de correção de erros (ECM). Tarifa apontou relação negativa para ambos os períodos, embora demanda inelástica para o curto prazo e elástica para o longo prazo. Por fim, Viagens realizadas pela frota exibiu relação positiva e inelástica para o curto e para o longo prazo. / [en] This study uses acknowledged models and which were applicable in international researches to figure up passenger demand elasticity, such as: Double Log, Partial Adjustment Model (PAM) and Cointegration techniques with Error Correction Model. In order to calculate the passenger demand elasticity by bus in the Rio de Janeiro s city from 2004 to 2014 was used Double Log. So as to distinguish short and long run elasticity was employed and compared the results of such models: Partial Adjustment Model (PAM) and Cointegration techniques with Error Correction Model (ECM). This study suggests that the most influential factors of passenger demand by bus in the Rio de Janeiro s city are: gross domestic product, bus fare and number of trips conducted by the fleet. As conclusion, we can claim that there is little distinction in terms of results when compares applied models, except for gross domestic product factor, which presented elastic demand and positive relation using Partial Adjustment Model (PAM) and inelastic demand and positive relation using Error Correction Model (ECM). Bus fare pointed a negative relation for both periods, although an inelastic demand for short run and an elastic demand for long run. Finally, number of trips conducted by the fleet exhibited positive relation and inelastic demand for short and long run.

The Istanbul metropolitan area is the largest office investment made in Turkey. According to the CBRE ERIX data, the total office stock in Istanbul by the end of 2018 exceeded 7 million sqm. There is approximately 1 million sqm of pipeline figures. The biggest problem for office projects which in the hold-on status and under construction status, Turkey's economy is rapidly affecting office rents and tenants of office the selection criteria. In particular, high financing costs and construction costs increase the importance of predicting the rent figures in office investments. This degree project aims at contributing to the understanding of the Istanbul rental office market underlying mechanisms. The office market data will be analyzed between Q1 2005-Q4 2018 period. Long-term equilibrium rents will be reached for the Istanbul office market and examined sub-markets. With the econometric analysis method, the long-term causality for rent with employment, stock and vacancy will be examined. Short-term estimates will be made with an error correction model. / Istanbuls storstadsområde är den största kontorsinvesteringen i Turkiet. Enligt CBRE ERIX-data översteg det totala kontorslagret i Istanbul i slutet av 2018 7 miljoner kvm. Det finns cirka 1 miljon kvm rörledningsfigurer. Det största problemet för kontorsprojekt som i fasthållningsstatus och under byggnadsstatus, påverkar Turkiets ekonomi snabbt kontoruthyrningar och hyresgäster i urvalskriterierna. Höga finansieringskostnader och byggkostnader ökar i synnerhet vikten av att förutsäga hyrestalterna i kontorsinvesteringar. Detta examensarbete syftar till att bidra till förståelsen av de underliggande mekanismerna för hyreskontor i Istanbul. Kontorsmarknadsdata analyseras mellan F1 2005-F4 2018 perioden. Långsiktiga jämviktshyror kommer att nås för Istanbul-kontorsmarknaden och undersökta delmarknader. Med den ekonometriska analysmetoden kommer den långsiktiga orsaken till uthyrning med sysselsättning, lager och ledighet att undersökas. Kortfristiga uppskattningar kommer att göras med en felkorrigeringsmodell.

[pt] A literatura existente sobre os efeitos da Covid nos retornos das ações concentra-se em mudanças endógenas na tolerância ao risco e na modelagem de eventos raros. Até agora, essas tentativas não foram capazes de corresponder aos dados. Neste artigo, proponho uma abordagem alternativa para explicar os efeitos da Covid nos retornos de ativos em todo o mundo: separar os efeitos de longo prazo dos efeitos de curto prazo. Intuitivamente, os efeitos de longo prazo da Covid incluem disrupções nas cadeias produtivas e padrões educacionais, que, concebivelmente, levarão tempo para serem eliminados. Exatamente como acontece com os choques persistentes dos modelos de risco de longo prazo! Um modelo que permite flutuações de curto prazo e risco de longo prazo mostra que choques persistentes desempenham um papel na explicação dos retornos do mercado de ações e das taxas de câmbio em um período de tempo que começa em Janeiro de 2018 e termina em Novembro de 2021. / [en] The existing literature on the effects of Covid on stock returns focuses on endogenous changes in risk tolerance and on the modeling of rare events. So far, these attempts have not been able to match the data. In this paper, I propose an alternative approach to explaining the Covid effects on stock returns worldwide: disentangling the long-run effects from the short-run effects. Intuitively, Covid s long-run effects include disruptions of supply chains and educational patterns, which, conceivably, will take time to phase out. Exactly as it happens with the persistent shocks of long-run risks models! A model that allows for short-run fluctuations and long-run risk shows that persistent shocks play a role in explaining stock market returns and exchange rates in a time span that starts in January 2018 and ends in November 2021.

No description available.

<p>Traditional and cont emporary studies of spatial administrative systems are reviewed. Economic, political and historical factors are related to patterns of administrative areas. The hypothesized relationships are tested using data for the Ontario Hydro-Electric Power Commission. Linear and quadratic models relating functional costs to workload of the administrative areas are offered. The quadratic models incorporate the concept of the long-run average cost curve. A theoretical relationship between the shape of an administrative area and the level of economic efficiency is tested. Linear programming is used to simulate administrative patterns. Four indices are used to describe and compare the patterns. One of the indices, the weighted mean, is used to operationalise Pred's Behavioural Matrix . Recommendations are made for future work. </p> / Thesis / Doctor of Philosophy (PhD)

Finding the optimal capital structure has been a relevant subject for many decades. Therehas for a long time been a discrepancy between observed leverage ratio and those proposedby theory, with many different theories suggested and developed throughout time. One ofthose theories is the Contingent Claims Analysis (CCA). Based initially on Black &amp; Scholes’option-pricing theory and formulas, and pioneered by Merton, the CCA-methodology hasthroughout the years been developed further and moved from pricing liabilities todetermining capital structures. The research and development on CCA-models have for thepast years mostly been on a theoretical level and less about its practical applicability. Thosefew applications that have been made were based on the U.S. market and companies.Ju and Ou-Yang developed one of the most recent CCA-methodologies in 2006,abbreviated as the JOY-model in this study. What distinguishes this model is its ability toshow the non-monotone relation of debt maturity and debt face amount through the morecomplex tradeoffs between tax benefits, bankruptcy costs and transactions cost. With a fewchanges made to it, and with almost all data from the Swedish market and companies, theJOY-model yields higher leverage ratios than what the 5 analyzed companies have today.The optimal leverage ratio, defined as debt value/firm value ranges from 10 – 40% and theoptimal debt maturity period is at 4 – 6 years. Out of all the model parameters, the long-runmean of the stochastic risk-free interest rate has the biggest impact on the final results. TheJOY-model and CCA in general are complex and resource intense models that need certainimprovements. Nonetheless, its overall potential is still promising.

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