The fact that people prefer to hold domestic equities than foreign ones is still a puzzle for most economists. Although many factors are seemed to be reasonable explanations, two factors, non-traded goods and transaction costs, are usually regarded as the main ones to explain the puzzle. In spite of their importance, the question of which factor has better ability of explaining the puzzle has been the central issue among economists for a long period. In this paper, we will not only try to clarify the issue by examining the role of each factor playing in the puzzle, but also attempt to find out the reasons of disagreements among economists. A modern intranational macroeconomics approach will also be adopted to verify the discussion in this paper. Without surprise, it seems that a model with transaction costs has better ability to explain the puzzle since it's more general in classifying the tradability of goods.

När vikingatiden kommer på tal, leds tankarna ofta osökt till Birka. För även om Birka låg på en ö i Mälaren, så var det allt annat än isolerat. Istället ingick Birka i ett komplext nätverk som täckte såväl nära bygder som fjärran stränder. Därav följer att nyckeln till vår förståelse av Mälardalens vikingatid ofta finns i Birka. Men även det motsatta gäller, och ibland behöver arkeologer titta åt andra håll för att uppnå en bättre förståelse av Birka. Detta ömsesidiga förhållande ska illustreras med hjälp av ett båtgravsfynd från Turinge i Södermanland. / <p>Övriga forskningsfinansiärer:</p><p>Berit Wallenbergs stiftelse ("Transformationer inom vikingatidens djurornamentik"), Helge Ax:son Jonsons stiftelse ("3D-laserskanning som verktyg vid vikingatidsstudier")</p> / En förlorad värld? - Turinge re-visited / 3D-laserskanning som verktyg vid vikingatidsstudier / Transformationer inom vikingatidens djurornamentik

本文研究目的是在探討跨國的投資者在面對國際投資日益開放的同時，是否充分的利用國際上的資產市場以分散投資者所面對的風險。本文參考Brandt, Cochrane, and Santa-Clara（2006），建立一種衡量國際間風險分散程度的風險分散指數，並以台灣為本國基準，取台灣前三大貿易夥伴：美國、日本、中國為外國基準，以分析此四國的國際風險分散指數，衡量的標的為各國資產市場中的主要股票交易市場指數報酬率，以分析各國風險分散的情形。此外我們亦嘗試解釋國際間風險分散的情形並解釋我們所計算出的結果，並進行一些模型參數的演算，以分析在面對其他總體變化時將會遇到的情形。經由本文的實證研究發現，對於台灣而言，在國際間的風險分散程度是偏高的，亦即，面對此四國的資產市場，台灣投資者的投資配置符合風險分散的趨勢，當匯率波動愈小時，國際風險分散程度亦將愈高，大致上與Brandt et al.(2006)之以美國為本國基準所得之國際風險分散程度結果相似。 / This thesis tries to discuss if risks are shared internationally by the international asset markets. This study refers to the Brandt, Cochrane, and Santa-Clara (2006) which built an international risk sharing index to measure the degree of international risk sharing. We set up a international risk sharing indices between Taiwan and its important trading partners, US, Japan and China by the asset returns composed by the main stock indices in each country. Furthermore, we try to explain the empirical results and to show how the degree of international risk sharing will different with the changes of the macro-variables. Our empirical analyses find that the degree of the international risk sharing for Taiwan using asset-based method is better than we think. In addition, the empirical results of this thesis are similar to Brandt et al. (2006) that if the volatility of exchange rates declines, the degree of the international risk sharing will be better.

Universiẗat, Diss./07--Ingolstadt, 2006.

過去國外的實證研究結果指出，民眾在退休後的消費支出會有減少的現象，文獻稱此現象為 “退休消費的難題 （Retirement Consumption Puzzle）”。本研究主要目的在於探討不同世代是否在退休消費難題的程度上有所差異。研究結果顯示，臺灣民眾在退休後，家戶的消費並未有顯著的減少現象，但對不同世代戶長退休後的家戶消費行為進行分析，本研究發現相較於20年代的家戶，40年代的退休家戶其退休後的消費有顯著減少現象，可能的原因在於年輕世代面臨人口平均餘命增加所產生的長壽風險，而人口結構老化使得過去養兒防老的觀念式微，以及年輕世代對未來退休金制度產生疑慮，使得年輕世代家戶退休後的消費有顯著下降的現象，此結論顯示不同世代在退休後的消費行為確有顯著差異。 / The world is facing the dual effect of life expectancy and declining fertility, this phenomenon will enable society and individuals exposed to the longevity risk. In this study, we use “The Survey of Family Income and Expenditure” from Directorate-General of Budget, Accounting and Statistics, Executive Yuan, R.O.C.（Taiwan）. The results show that there is a decline in the expenditure of food after retirement, and younger generations decline less than elder generation obviously. There are also declines in work-related expenditures, including clothing, transportations and communication. It means that retired-consumption puzzle is not obvious to younger generations. While the consumption of home management, recreation and education do not drop after retirement, showing leisure time increase and also increase those consumption. Health and medical expense is related to the age and health status, not to the status of work. Total consumption expenditure is no significant correlation with retirement. Finally, there is a trend of younger generation consumption increase. Comparing, it may have retirement plan to support the increasing consumption.

Mass., Harvard Univ., Dep. of Economics, Diss.--Cambridge, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 4 Beitr.

Zugl.: Oestrich-Winkel, Europ. Business School, Diss.

Submitted by Adriano Faria (afaria@fgvmail.br) on 2017-12-13T19:49:29Z No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2017-12-21T11:41:13Z (GMT) No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) / Made available in DSpace on 2017-12-27T12:18:22Z (GMT). No. of bitstreams: 1 Tese_deFaria.pdf: 3657553 bytes, checksum: 11ec67914c866ca46d83c67c1592e093 (MD5) Previous issue date: 2017-03-16 / This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure the performance of such methods in pricing, Value at Risk and forecasting exercises. In its turn, the last chapter brings a discussion about the effects of different metrics of the optimal portfolio on the estimation of a CCAPM model.In the first chapter, we propose a segmented model to deal with the seasonalities appearing in real yield curves. In different markets, the short end of the real yield curve is influenced by seasonalities of the price index that imply a lack of smoothness in this segment. Borrowing from the flexibility of spline models, a B-spline function is used to fit the short end of the yield curve, while the medium and the long end are captured by a parsimonious parametric four-factor exponential model. We illustrate the benefits of the proposed term structure model by estimating real yield curves in one of the biggest government index-linked bond markets in the world. Our model is simultaneously able to fit the yield curve and to provide unbiased Value at Risk estimates for different portfolios of bonds negotiated in this market.Chapter 2 introduces a novel framework for the estimation of corporate bond spreads based on mixture models. The modeling methodology allows us to enhance the informational content used to estimate the firm level term structure by clustering firms together using observable firm characteristics. Our model builds on the previous literature linking firm level characteristics to credit spreads. Specifically, we show that by clustering firms using their observable variables, instead of the traditional matrix pricing (cluster by rating/sector), it is possible to achieve gains of several orders of magnitude in terms of bond pricing. Empirically, we construct a large panel of firm level explanatory variables based on results from a handful of previous research and evaluate their performance in explaining credit spread differences. Relying on panel data regressions we identify the most significant factors driving the credit spreads to include in our term structure model. Using this selected sample, we show that our methodology significantly improves in sample fitting as well as produces reliable out of sample price estimations when compared to the traditional models.Chapter 3 brings the paper “Forecasting the Brazilian Term Structure Using Macroeconomic Factors”, published in Brazilian Review of Econometrics (BRE). This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed by Moench (2008) is implemented, in which the dynamic of the short term interest rate is modeled using a Factor Augmented VAR and the term structure is derived using the restrictions implied by no-arbitrage. Similarly to the original study, this model resulted in better predictive performance when compared to the usual benchmarks, but presented deterioration of the results with increased maturity. To avoid this problem, we proposed that the dynamic of each rate be modeled in conjunction with the macroeconomic factors, thus eliminating the no-arbitrage restrictions. This attempt produced superior forecasting results. Finally, the macro factors were inserted in a parsimonious parametric three-factor exponential model.The last chapter presents the paper “Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters”, also published in BRE. This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate wealth endogenously derived in equilibrium models with Kreps-Porteus recursive utility. We argue that the usual stock market wide index is not a good portfolio to represent optimal wealth of the representative agent, and we propose as an alternative the portfolio from the Investment Fund Industry. Especially for Brazil, where that industry invests most of its resources in fixed income, the aforementioned substitution of the optimal proxy portfolio caused a significant increase in the risk aversion coefficient and the elasticity of the intertemporal substitution in consumption.

Submitted by Pedro Guimarães (pedroengel@hotmail.com) on 2017-12-28T19:42:52Z No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-01-15T18:46:52Z (GMT) No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) / Made available in DSpace on 2018-01-16T19:08:33Z (GMT). No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) Previous issue date: 2017-07-28 / This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ)

Only a decade ago, research was limited regarding enjoyment and player motivation in digital games. The aim of this study was to investigate the effect of a developed story in a mobilepuzzle game. The main research question was if a developed story can affect the motivation to play a mobile puzzle game, and the secondary question was if a developed story can affect players’ overall impression of a mobile puzzle game. The sample size was eight participants (five men, two women, one non-disclosed), who enjoys playing mobile games, and were between 20-28 years old. A semi-controlled field study was performed with a between-group design consisting of experimental group and control group. Participants played freely a mobile puzzle game with a pre-existing or a developed story for a week, then returned for an evaluation interview. Their total playtime was measured with on-screen time trackers and their motivation and overall impression with subjective ratings on a five-level scale, as well as their reasonings to the ratings. The results showed no main difference between the two conditions. However, exploratory analysis found that participants who were interested in a story had lower motivation to continue playing compared to those not interested in a story, possibly due to their player type. This study makes way for future research regarding story and video games, mobile games in particular. In the long run this research could contribute to make mobile games more immersive and enjoying to play for the public. / För bara ett årtionde sen var forskning begränsad kring nöje och spelares motivation i digitala spel. Syftet med studien var att undersöka effekten av en utvecklad berättelse i ett mobiltpusselspel. Den huvudsakliga forskningsfrågan var om en utvecklad berättelse kan påverka motivationen för att spela ett mobilt pusselspel, andra forskningsfrågan var om en utvecklad berättelse kan påverka spelarnas helhetsintryck av ett mobilt pusselspel. Stickprovet bestod av åtta deltagare (fem män, två kvinnor och en som valde att ej ange kön) som gillar att spela mobilspel och som var mellan 20-28 år gamla. En semi-kontrollerad fältstudie genomfördes med en mellangruppsdesign som bestod av experimentgrupp och kontrollgrupp. Deltagarna fick fritt spela ett förbestämt mobilt pusselspel med antingen den existerande eller den utvecklade berättelsen i en vecka, sedan komma tillbaka för en intervju med återkoppling. Deras totala speltid mättes med “on-screen”-tid, deras motivation och helhetsintryck med hjälp av subjektiva skattningar på en skala 1-5, tillsammans med deras resonemang bakom skattningarna. Resultaten visade ingen skillnad mellan de två betingelserna. Den utforskande analysen föreslår dock att deltagare som var intresserad av en berättelse hade lägre motivation att fortsätta spela jämfört med de som inte var intresserade av berättelsen, möjligen på grund av deras speltyp. Studien banar väg för framtida forskning gällande berättelser och spel, specifikt mobilspel. På lång sikt kan den här forskningen bidra till att göra mobilspel som ger mer inlevelse och är roligare att spela för allmänheten.