TESIS PARA OPTAR AL GRADO DE MAGÍSTER EN ADMINISTRACIÓN / Alvaro J. Vera Martínez [Parte I], Juan Carlos Alvarez Rodríguez [Parte II] / San Andrés de Pica es una localidad perteneciente a la Provincia del Tamarugal en la región de Tarapacá, cuyo nombre deriva de la palabra “Piqai” que en lengua quechua significa “Flor en la arena”, y que ha sido lugar de encuentro de múltiples culturas antiguas, las que han dejado su legado tanto en la tierra como en su gente. La localidad presenta las características de un oasis en medio de la planicie del desierto, debido a la particular formación geográfica y características de sus placas subterráneas, todas estas condiciones hacen emerger desde las profundidades de la tierra un agua de inigualable riqueza y pureza, lo que genera una frondosa vegetación y el cultivo de exquisitas frutas características sólo de esta zona, como son el limón y el mango de Pica. Se cuenta con un predio en la zona, el cual cuenta con las características necesarias para poder extraer agua de extrema pureza, filtrada en el mismo subsuelo. El concepto del negocio consiste en poner en valor este recurso y generar un agua de tipo Premium, que sea procesada y envasada en la localidad y que concentre todos los atributos de este lugar único y exótico del planeta. Industria altamente atractiva El consumo de agua en el mundo ya ha superado al de bebidas carbonatadas, lo cual ha puesto en alerta a compañías como Coca-Cola, quienes han visto en el mercado del agua embotellada una excelente proyección de futuro, lo mismo que grandes transnacionales como Nestlé y Danone, quienes ya se han posicionado en el mercado mundial, adquiriendo marcas de aguas embotelladas de renombre, provenientes de varios países, especialmente aquellas con características de pureza, es decir, provenientes de lugares pristinos como glaciares, manantiales y zonas alejadas del planeta, en los cuales la mano del hombre aún no impacta esos ecosistemas, junto con ello también han optado por adquirir aquellas fuentes de agua disponibles en estos lugares para su control y producción directa ante este recurso cada vez más escaso. Zonas como Asia presentan tasas anuales de crecimiento en el consumo que rondan el 20%, más del doble del crecimiento previsto para el resto del mundo. Chile no se queda atrás, con un mercado del agua embotellada de MMUS$415, con tasas de consumo que se dirigen rápidamente a los 30 litros de agua embotellada per cápita, con tasas de crecimiento anual cercanas al 18%, a esto se suma la creciente popularidad del consumo de productos asociados a la vida saludable y al aire libre, en donde el agua ocupa un lugar privilegiado. Dentro de este mercado es el de las aguas de tipo Premium y Gourmet, las cuales están dirigidas a un segmento más exclusivo de personas, que buscan un alto nivel de diferenciación a través de productos exóticos, tal es el caso de marcas nacionales como Ice Swan y Aonni, las cuales con elevadas propuestas de calidad y concepto de producto apuestan a un concepto similar al del vino en cuanto a temas como proveniencia del producto, sabor y tipos de comidas con las cuales se pueda combinar. El producto se divide en cuatro versiones, Desert Flower, Premium Oasis Water of Pica, en su envase de 750 ml de vidrio, en su presentación exclusiva, envase de 500 ml para su distribución en supermercados, en su presentación de 350 ml, Gourmet Oasis Water of Pica, y en sus presentaciones Desert Flower Lemon Essence y Mango Essence de 500 ml para su distribución en supermercados. Los principales conceptos en los cuales se refuerza el valor del producto son sus características de pureza y naturalidad, su origen lejano y exótico, su valor funcional a través de sus propiedades hidratantes para el buen funcionamiento del organismo y su cualidad de provenir desde las profundidades de la tierra “The Deepest Water”. El modelo de negocios contempla la extracción del agua desde la planta que se ubicará en un predio de Pica, la cual será embotellada y enviada a tres grandes ciudades del País, Arica, Iquique, Calama, Antofagasta, Copiapó, La Serena y Coquimbo. En las ciudades se planea su distribución en restoranes (versión de 330 ml) y en hoteles (versión de 750 ml), lo mismo. La inversión de este proyecto contempla un monto de MM$252,3 en un período de 5 años, con un VAN de MM$65,6, una TIR de 25,5% y un ROI de 26%. El EBITDA como Valor Terminal de MM $555,4 considerando la liquidación de la empresa vendiendo todos sus activos a valor libro. Cabe mencionar que en una etapa futura, cuarto y quinto año del proyecto, se piensa en la alternativa de exportación y en el lanzamiento de la línea Desert Flower Essence, poniendo en valor las esencias de dos frutos característicos de la zona de Pica, el mango y el limón.

Master of Agribusiness / Department of Agricultural Economics / Vincent R. Amanor-Boadu / While understanding consumer decisions about food choices is complex, the nature of wines makes it even more difficult to decipher how consumers arrive at their choices. Given the perceived importance of "local", how willing are consumers to pay for locally-produced wine? And, what characteristics of the wine influence the premium that consumers pay for it? These are the two related questions that this research seeks to address. The research uses a case study approach to explore how five wine characteristics of local Kansas wine influence the premium consumers are willing to pay. The five characteristics are appearance, aroma, body, taste and finish. The study uses four pairs of wine in the following groups: sweet white, dry white, semi-sweet red and dry red. Each pair is made up of a Kansas wine and a non-Kansas wine. A very well-defined set of focus group participants were invited to taste these wine without knowing the identity of the wines and score them according to their characteristics and then provide an indication of how much they are willing to pay. The case results indicate that the focus group participants were willing to discount Kansas wines in all cases of the four pairs. The factors affecting the discount were finish for sweet white wines, appearance for sweet red wines, taste and aroma for dry white and dry red wines. The implication of this exploratory case study is that while most local residents proclaim their willingness to pay a premium for local wines, when tested against national or international competitors, consumers are unwilling to pay a premium for these local wines because the local wines lack the desired quality the international wines have. The information is important because it provides direction for an entrepreneur seeking to develop local wines to focus on understanding and addressing the characteristics which influence consumers' willingness to pay a premium even as she determines which particular wines current players in the local Kansas industry has the potential to be competitive if they address the characteristics upon which they are penalized by consumers. This, despite this being an exploratory case study, it provides important direction for entrepreneurial action.

In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P Depository Receipts (SPY) options, are studied. I test the hypothesis, based on the theory of Chowdhry and Nanda (1991), and Admati and Pleiderer (1988), that the information component of spreads for index options should decline after ETF options were introduced. The method of George, Kaul and Nimalendran (1991) is used to estimate the adverse selection proportion of log quoted spread and revenue from quoted spread. Primary results show that the adverse selection component of index options declines after the introduction of ETF options, and that the adverse selection component of options on index ETFs is greater than that of options on index, suggesting more informed trading for ETF options. The second essay examines whether the liquidity premium decreases as the costs of transactions decline. Nine liquidity measures are estimated to form liquidity deciles portfolios. I use several benchmark asset pricing models in fixed and rolling 36-month samples to estimate time variation liquidity premia. Surprisingly, the results show that the liquidity premium does not monotonically decline over time, and it increases in the period from 2001 to 2006. This is inconsistent with the implication of liquidity-adjusted capital asset pricing models (L-CAPM). It is likely that the liquidity premium is generated by size and book-to-market factors, rather than the liquidity factor.

This paper investigates the long-term diversification opportunities that exists for global investors among the BRICS nations. It analyzes how risk-averse investors can allocate funds between the countries in order to maximize the expected return in relation to the overall risk. It utilizes an empirical cointegration approach in tandem with modern portfolio theory during the time period 1999-2019. The empirical results of cointegration that is found supports the suggestion that the BRICS markets have a stable risk-premium between each other and that they all share similar systematic risk factors. The results further support the construction of a portfolio solely compromising of stocks from four out of the five BRICS markets, since then they do not share any long-run co-movements with each other. Moreover, the markets of Brazil, India, China and South Africa are strong candidates for reducing portfolio risk without sacrificing the adjusted portfolio return. The results also indicate several causal relationships between the nations, with China as the main driving force. This suggest that shocks in the Chinese market will spread and effect the rest of the BRICS markets, either directly or through one of the other markets. This is important knowledge for global policy-makers since China could be affected by markets outside the co-operation and subsequently transfer it to the rest of the BRICS markets. Since the countries accounts approximately 25 % of the global GDP, policy-makers must act with great care before implementing economic policies against China, since the consequences can have a much larger and wider effect than they anticipate.

Recent research documents that voluntary disclosure—in particular, managerial forecast guidance—lowers uncertainty levels, as proxied by option implied variances. In this study I explore the effect of such voluntary disclosure on other dimensions of uncertainty. In particular, I investigate the effect of managerial guidance on the variance risk premium (VRP). Prior research predicts and provides empirical evidence of the VRP, which reflects that implied variances (on average) exceed actual variances, and exists to compensate traders, who sell variance protection for equity options. First, I confirm previous findings that implied variances are lower when firms issue management guidance. Second and more importantly, I document that the VRP is higher when firms provide guidance. I reconcile these seemingly contradictory results by (i) confirming that a significant portion of the increase in VRP is attributable to uncertainty specific to the impending earnings announcement, consistent with the primary role played by the voluntary management disclosure; and (ii) documenting that a higher moment of uncertainty—implied kurtosis levels (i.e., price jump risk)—is higher with managerial guidance. Additional tests examining characteristics of managerial guidance reveal these findings are strongest for firms issuing sporadic guidance, guidance issued close to earnings announcements, and those exhibiting the largest surprise. Overall, the evidence suggests that voluntary disclosure such as management guidance can reduce expected variance, but simultaneously increase higher order moments of uncertainty such as expected price jumps.

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.

This thesis studies the yield differential between green bonds and conventional bonds, the so called green premium or "greenium". By deriving a theoretical model that includes investors' preferences for green assets, two hypothesis are formulated: There exists a negative green bond premium and The negative premium is larger in absolute terms in countries with high environmental performance. In order to estimate the premium, synthetic conventional bonds are constructed having the same characteristics as the green bonds. Two different matching methods are used to construct the synthetic bonds, one based on maturity and one based on correlation. The findings of this study suggest a significant negative green premium between -0.29 and -0.78 basis points. Also, the green premium is more than twice as large, in terms of absolute value, if the issuer is based in a country which has a high environmental performance.

In the financial world, stocks should provide a greater return than safe investments such as Treasury bonds. This is due to a higher risk involved when obtaining stocks in comparison to treasury bonds. Thus, the higher risk involved, the higher return is expected by the investors. The return expected over the risk-free rate is a compensation for the risk. This compensation is referred to as the market risk premium (MRP). According to financial researchers, it is not only the magnitude of the MRP discussed controversially among economists, but also the appropriate methodology to calculate meaning-ful estimates. The various estimation methods can be generalized as the historical approach (ex post) and the forward-looking approach (ex ante). The purpose of this thesis is to investigate the application of the estimation methods for-practical investment decitions and to observe which estimate (ex-post or/and ex-ante) the financial actors find to be optimal as an input for decision making. Data will be gathered from a small group of respondents in order to receive an in-depth comprehension of the subject matter. Hence, the nature of the data in this research dictates the application of qualitative methods. It can be concluded that both the ex-ante method and the ex-post method are used by the three financial actors when forecasting the MRP. Furthermore, it could be concluded that investors can apply different values of MRP as an input for models and investment deci-sions due to the fact that the choice of the fair MRP involves some subjective judgments from the individual analyst or investor.

In this thesis, I study the variance risk premium in Gold VIX market. Using synthetically created variance swaps, I quantify the variance risk premium to be average -0.068 in absolute terms and -0.358 in log return terms, meaning that purchasing volatility in Gold VIX is generally unprofitable. Although the average negative risk premium is not statistically significant, the mean log return of risk premium is robust with Newey-West test. Furthermore, I attempt to test whether risk premium vary with time or the level of the swap rate, but obtain unclear results.

If you have to wear a seat belt when you drive, are you safer? Intuitively, it may seem that the answer is yes. After all, if you are wearing a seat belt and get in an accident, you are half as likely to die, and 62% of fatal accident victims were not wearing seat belts at the time of accident. The Centers for Disease Control and Prevention, the National Highway and Transportation Safety Administration, the Governors' Highway Safety Administration, and many other organizations highly recommend wearing seat belts. The NHTSA claims that in 2010 alone, approximately 12,500 deaths were prevented by seat belt use alone. Seat belt laws clearly reduce the chance of death to vehicle occupants in a given auto accident. In response to these findings, the federal government has made the release of highway funds to states contingent on the passage of state laws mandating seat belt adoption. Laws mandating seat belt use, along with extensive campaigns to raise public awareness, have caused seat belt use to rise from 69% in 1998 to 88% in 2009. As of this writing, laws mandating the use of seat belts when driving have been passed in every state save New Hampshire. Intuitively, this should make roads safer because seat belts make an accident more survivable. Does wearing a seat belt, however, make that accident more likely to occur in the first place? If a driver wears a seat belt now and I didn't before, does he feel safe enough to take more risk? In this paper, I examine this question using insurance premiums as a proxy for the likelihood of an accident. The rest of the paper is organized as follows. Section 2 offers background information, including a framework with which to interpret a driver’s actions and a review of the relevant literature. Section 3 contains details on the data analyzed. Section 4 covers the results of my preliminary data analysis, model specifications, and robustness checks. Section 5 concludes.