A pesquisa procurou levantar a relação entre concentração acionária e risco de expropriação de riqueza dos credores no Brasil. O universo amostral compreendeu as empresas de capital aberto listadas na Bovespa no período de 1997 a 2011. Foram traçados dois objetivos na pesquisa: (i) verificar se empresas com a presença de controle acionário definido apresentam maior percepção de risco de expropriação de riqueza dos credores do que aquelas que não apresentam concentração acionária; e (ii) verificar entre as empresas com a presença de controle acionário definido se maior participação no controle gera maior percepção de risco de expropriação de riqueza de terceiros. O suporte teórico do trabalho se deu em estudos sobre estrutura de capital, controle de capital, mercado de crédito e custo de capital de terceiros no Brasil. As variáveis estudadas foram o percentual de ações ON pelos principais acionistas e o custo da dívida medido pelo Ki. Os procedimentos estatísticos se deram pelos testes não paramétricos U de Man-Whitney e Kruskal-Wallis com comparações múltiplas entre grupos. A primeira resposta apresentou indícios, com significância estatística de 5%, que empresas com controle acionário definido tendem a apresentar maior risco de expropriação de riqueza de terceiros do que as demais. Entretanto, quando o controle é exercido por um único acionista que possui 50% ou mais das ações com direito a voto, as empresas tendem a apresentar menor risco de expropriação de riqueza dos credores do que as demais. A segunda resposta encontrada, também com significância estatística de 5%, apontou que, em empresas com a presença de um único acionista na posse de 50% ou mais das ações ON, à medida que esse principal acionista aumenta a participação no controle, o custo da dívida, variável explicativa de risco de expropriação de riqueza de terceiros, tende a diminuir. Portanto, acredita-se que o presente estudo cumpre a proposta de investigação apresentada ao não encontrar evidências que permitam descartar a ideia de que existe relação entre controle acionário definido e risco de expropriação de riqueza dos credores.Palavras-chave: Apreçamento de opções, Modelo HJM Gaussiano, Regressão não paramétrica. / The survey tried to raise the relationship between ownership concentration and risk of expropriation of creditors\' wealth in Brazil. The sample universe consisted of publicly traded companies listed on Bovespa in the period 1997-2011. Two main objectives were outlined: (i) verify if companies with the presence of defined shareholder control have a higher perception of risk of expropriation of creditors\' wealth than those who do not have shareholder control, and (ii) check between companies with defined shareholder control set if greater participation in the control creates higher perception of risk of expropriation of third parties\' wealth. The theoretical basis of the work was in studies on capital structure, capital controls, credit market and cost of third party capital in Brazil. The variables studied were the percentage of ON shares by principal shareholders and the cost of debt measured by Ki. Statistical procedures were given by nonparametric tests U of Mann Whitney and Kruskal-Wallis with multiple comparisons between groups. The first response, with statistical significance of 5%, showed that companies with defined shareholder control set tend to have a higher risk of expropriation of third parties\' wealth than others. However, when the control is exercised by a single shareholder who holds 50% or more of voting shares, companies tend to have lower risk of expropriation of creditors\' wealth than others. The second one, also with a statistical significance of 5%, pointed out that in companies with a single shareholder who holds 50% or more of ON shares, as this principal shareholder increases his participation in the control, the cost of debt, explanatory variable risk of expropriation of third parties\' wealth, tends to decrease. Therefore, it is believed that this study fulfils the investigation proposal presented to find no evidence to discard the idea that there is a relationship between defined shareholder control and risk of expropriation of creditors\' wealth.

A pesquisa procurou levantar a relação entre concentração acionária e risco de expropriação de riqueza dos credores no Brasil. O universo amostral compreendeu as empresas de capital aberto listadas na Bovespa no período de 1997 a 2011. Foram traçados dois objetivos na pesquisa: (i) verificar se empresas com a presença de controle acionário definido apresentam maior percepção de risco de expropriação de riqueza dos credores do que aquelas que não apresentam concentração acionária; e (ii) verificar entre as empresas com a presença de controle acionário definido se maior participação no controle gera maior percepção de risco de expropriação de riqueza de terceiros. O suporte teórico do trabalho se deu em estudos sobre estrutura de capital, controle de capital, mercado de crédito e custo de capital de terceiros no Brasil. As variáveis estudadas foram o percentual de ações ON pelos principais acionistas e o custo da dívida medido pelo Ki. Os procedimentos estatísticos se deram pelos testes não paramétricos U de Man-Whitney e Kruskal-Wallis com comparações múltiplas entre grupos. A primeira resposta apresentou indícios, com significância estatística de 5%, que empresas com controle acionário definido tendem a apresentar maior risco de expropriação de riqueza de terceiros do que as demais. Entretanto, quando o controle é exercido por um único acionista que possui 50% ou mais das ações com direito a voto, as empresas tendem a apresentar menor risco de expropriação de riqueza dos credores do que as demais. A segunda resposta encontrada, também com significância estatística de 5%, apontou que, em empresas com a presença de um único acionista na posse de 50% ou mais das ações ON, à medida que esse principal acionista aumenta a participação no controle, o custo da dívida, variável explicativa de risco de expropriação de riqueza de terceiros, tende a diminuir. Portanto, acredita-se que o presente estudo cumpre a proposta de investigação apresentada ao não encontrar evidências que permitam descartar a ideia de que existe relação entre controle acionário definido e risco de expropriação de riqueza dos credores.Palavras-chave: Apreçamento de opções, Modelo HJM Gaussiano, Regressão não paramétrica. / The survey tried to raise the relationship between ownership concentration and risk of expropriation of creditors\' wealth in Brazil. The sample universe consisted of publicly traded companies listed on Bovespa in the period 1997-2011. Two main objectives were outlined: (i) verify if companies with the presence of defined shareholder control have a higher perception of risk of expropriation of creditors\' wealth than those who do not have shareholder control, and (ii) check between companies with defined shareholder control set if greater participation in the control creates higher perception of risk of expropriation of third parties\' wealth. The theoretical basis of the work was in studies on capital structure, capital controls, credit market and cost of third party capital in Brazil. The variables studied were the percentage of ON shares by principal shareholders and the cost of debt measured by Ki. Statistical procedures were given by nonparametric tests U of Mann Whitney and Kruskal-Wallis with multiple comparisons between groups. The first response, with statistical significance of 5%, showed that companies with defined shareholder control set tend to have a higher risk of expropriation of third parties\' wealth than others. However, when the control is exercised by a single shareholder who holds 50% or more of voting shares, companies tend to have lower risk of expropriation of creditors\' wealth than others. The second one, also with a statistical significance of 5%, pointed out that in companies with a single shareholder who holds 50% or more of ON shares, as this principal shareholder increases his participation in the control, the cost of debt, explanatory variable risk of expropriation of third parties\' wealth, tends to decrease. Therefore, it is believed that this study fulfils the investigation proposal presented to find no evidence to discard the idea that there is a relationship between defined shareholder control and risk of expropriation of creditors\' wealth.

In certain areas such as Pharmacokinetic(PK) and Pharmacodynamic(PD), the hazard rate function, denoted by ??, plays a central role in modeling the instantaneous risk of failure time data. In the context of assessing the appropriateness of a given parametric hazard rate model, Huh and Hutmacher [22] showed that their hazard-based visual predictive check is as good as a visual predictive check based on the survival function. Even though Huh and Hutmacher’s visual method is simple to implement and interpret, the final decision reached there depends on the personal experience of the user. In this thesis, our primary aim is to develop nonparametric goodness-ofit tests for hazard rate functions to help bring objectivity in hazard rate model selections or to augment subjective procedures like Huh and Hutmacher’s visual predictive check. Toward that aim two nonparametric goodnessofit (g-o) test statistics are proposed and they are referred to as chi-square g-o test and kernel-based nonparametric goodness-ofit test for hazard rate functions, respectively. On one hand, the asymptotic distribution of the chi-square goodness-ofit test for hazard rate functions is derived under the null hypothesis ??0 : ??(??) = ??0(??) ??? ? R + as well as under the fixed alternative hypothesis ??1 : ??(??) = ??1(??) ??? ? R +. The results as expected are asymptotically similar to those of the usual Pearson chi-square test. That is, under the null hypothesis the proposed test converges to a chi-square distribution and under the fixed alternative hypothesis it converges to a non-central chi-square distribution. On the other hand, we showed that the power properties of the kernel-based nonparametric goodness-ofit test for hazard rate functions are equivalent to those of the Bickel and Rosenblatt test, meaning the proposed kernel-based nonparametric goodness-ofit test can detect alternatives converging to the null at the rate of ???? , ?? < 1/2, where ?? is the sample size. Unlike the latter, the convergence rate of the kernel-base nonparametric g-o test is much greater; that is, one does not need a very large sample size for able to use the asymptotic distribution of the test in practice.

La exposición de las contribuciones al análisis estocástico de la eficiencia técnica de este trabajo de investigación, requiere que: en el primer capítulo se definan los conceptos básicos para la comprensión de los capítulos dos y tres. Además y para la formulación de los problemas que han dado origen a este trabajo, se presenta también en este capítulo una breve revisión de las técnicas de estimación de la eficiencia técnica y de la productividad.Dentro de estas técnicas y debido a la gran flexibilidad funcional que proporciona, nos hemos centrado en la estimación no paramétrica y más en concreto en mejorar la inferencia estadística de sus estimaciones. Es por ello que el segundo de los aspectos que se trata es la inferencia estadística que se debería de efectuar en el análisis de la envolvente de datos, habitualmente denominado con el acrónimo DEA. El análisis estadístico es sistemáticamente "olvidado" en casi todos los trabajos que aplican esta técnica, y tal y como mostramos en este apartado, según se incorpore o no inferencia estadística al DEA la interpretación de los resultados es diferente. En el tercer apartado y continuando en la línea de mejorar las herramientas de inferencia estadística en el ámbito no paramétrico, presentamos un nuevo contraste basado en simetría condicional para evaluar consistentemente la ineficiencia técnica de cada uno de los productores. Este contraste relaja algunos de los supuestos funcionales de otros contrastes anteriores y a diferencia de los contrastes basados en los momentos, es consistente con todo tipo de distribuciones de la ineficiencia. / This thesis provides in the first chapter a brief review of efficiency and productivity methods. Secondly we examine how to analyze efficiency and productivity by DEA and we apply the method for the Spanish airports in the period 1992-94. Although the time period analyzed is fairly short, we study the impact of the crisis in the productivity of Spanish airports. We apply the Malmquist index since among its other advantages this ratio allows for the decomposition of total productivity changes into different sources of variation. We also use resampling methods to gain statistical precision and the bootstrap analysis yields further evidence given that for many airports efficiency and productivity is not statistically significant.In standard deterministic frontier analysis, either DEA or FDH techniques allowed to determinate inefficient units just but taking some measure between the estimated frontier and the related output. Unfortunately, when we assume that some symmetric noise is present in the data, then the previous task becomes much harder. The problem is that in this setting noise and efficiency are not identified and therefore, without an statistical tool it is impossible to decide whether a firm is efficient or not. In the third chapter we propose a test for efficiency in a stochastic nonparametric frontier analysis. Under weak conditions on the specification of the production frontier, and the null hypothesis of efficiency, we provide the asymptotic distribution of the test statistic. Furthermore we show the test is consistent against a broad set of alternatives of inefficiency. Evidence of the good properties of the test is given by a simulation study.