本文引用Petkova(2006)所制定出來的模型及概念，探討Fama-French因子是否能作為投資機會的預測變數，並分析台灣股票市場風險溢酬(risk premium)與總體經濟變數間的關係。本文使用的總體經濟變數包括：規模效果因子(SMB)、淨值市價比效果因子(HML)、市場因子(market factor)、違約利差(default spread)、期限利差(term spread)、一個月期定存利率(RF)及股利收益率(dividend yield)。除此之外，本文亦以VAR系統表達每個狀態變數的動態特徵，討論公司治理因子與總體經濟變數(macroeconomic variables)間的關聯，並比較總體經濟變數與公司治理因子分別對股票超額報酬的解釋能力。 本研究以台灣股票市場為研究樣本，資料期間為2005年11月至2014年4月，共102個月的月報酬為研究主體。實證結果可發現：（1)本研究的價值型的股票(value stock)具有較高的風險溢酬，成長型股票(Growth stock)擁有較低的風險溢酬；而台灣上市公司也存在顯著規模效果，小市值公司具有較高的風險溢酬，大市值公司擁有較低的風險溢酬。（2)在大市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現正向變動。在小市值的分類下，期限利差(term spread)與淨值市價比因子(HML)呈現反向變動；違約利差(default spread)則與規模效果因子(SMB)呈現正向變動。 / We use the model and concept that Petkova(2006) formulated to discuss if Fama-French factors can be the predictable variables of investment opportunity and analysis the relationship between risk premium and macroeconomic variables on Taiwan stock market. There are many macroeconomic variables in the article：Size factor(SMB)、book-to-market factor(HML)、market factor、default spread、term spread、one-month deposit interest rate and dividend yield. We capture the dynamic characters of every variables through VAR system to analyze the relationship French-French factors and macroeconomic variables. Furthermore, we compare the relationship between SMB and default spread, HML and term spread through the first step of Fama-MacBeth way. We can make two important conclusions through empirical evidence：(1) The risk premium is higher in value stocks than in growth stock, which means there is prominent book-to-market effect on Taiwan stock market. Moreover, the risk premium is higher in small firms than in large firms, which means there is magnificent size effect on Taiwan stock market.（2) The behavior that default spread has is the same as SMB factor in any book-to-market ratio criteria. However, the behavior that term spread has is the same as HML factor only in big capitalization criteria.

Submitted by Fayga Czerniakowski Delbem (fayga.c.delbem@gmail.com) on 2016-10-31T08:46:45Z No. of bitstreams: 1 Tese_FINAL_28.10.2016.docx: 412347 bytes, checksum: 30f3648dfa285ec0fc602596d42f44bd (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2016-10-31T10:09:58Z (GMT) No. of bitstreams: 1 Tese_FINAL_28.10.2016.docx: 412347 bytes, checksum: 30f3648dfa285ec0fc602596d42f44bd (MD5) / Made available in DSpace on 2016-10-31T11:46:58Z (GMT). No. of bitstreams: 1 Tese_FINAL_28.10.2016.docx: 412347 bytes, checksum: 30f3648dfa285ec0fc602596d42f44bd (MD5) Previous issue date: 2016-10-14 / The main goal of this paper is to analyze the credit spread impact given by the tax exempt treatment to Brazilian corporate infrastructure bonds introduced in 2011 by law number 12.431. Assuming the non-arbitrage theory, a rational investor would expect that an infrastructure corporate bond credit spread would be equivalent of a regular corporate bond credit spread, adjusted by the tax benefit and others risk factors. However, this paper finds no such evidence for infrastructure corporate bonds. This tax impact is more relevant when we analyze infrastructure corporate bonds sold to retail investors and implies that this asset class is not attractive, on a risk adjusted basis, to investors not eligible for the tax benefit, restricting the demand and development of the capital market infrastructure funding. Due to this, we suggest the possibility of converting the tax exempt bonds in regular bonds and granting the companies with tax subsidy and we believe that it is important to make adjustments in Law number 12.431 to effectively attract private funding to infrastructure financing. / O objetivo deste trabalho é analisar o impacto no spread de crédito causado pela isenção fiscal concedida as debêntures de Infraestrutura Incentivadas, conforme lei 12.431 de 2011. Partindo dos pressupostos da Teoria de Não Arbitragem, a expectativa de um investidor racional seria de que o spread de crédito de uma debênture de infraestrutura fosse equivalente a um spread de crédito de qualquer debênture, ajustado pelo imposto de renda e demais fatores de risco. Os ensaios empíricos realizados neste trabalho relevaram evidências de que isso não se verifica nas emissões que já ocorreram. Esta distorção fiscal é ainda mais relevante quando analisamos especificamente as debêntures focadas em pessoas físicas e implica na não atratividade deste tipo de instrumento para investidores que não se beneficiam da isenção, limitando a demanda e o desenvolvimento deste mecanismo de financiamento à infraestrutura. Frente a esta constatação, propõe-se a possibilidade de conversão da isenção fiscal em subsídio tributário e se conclui que são fundamentais alterações na lei 12.431 para o estímulo ao financiamento privado da infraestrutura brasileira.

In this article, the authors explain the type of treatment the Call Spread options should be given. They argue that these should be treated as a unique derivative and not as one compound by two independent elements. Likewise, they outline the premium as an inherent element in the determination of any gains or losses from the financial options that it is decided to adopt. As an important point, they claim that adopting one specific side about the treatment of the Call Spread options and the premium implies having a viewpoint about their determination in the Income Tax. / En el presente artículo, los autores explican el tipo de tratamiento que se debería dar a las opciones Call Spread. Sostienen que debería ser tratado como un derivado único y no como uno compuesto por dos elementos independientes. Asimismo, señalan a la prima como un elemento inherente a la determinación de las eventuales ganancias o pérdidas definitivas generadas por las opciones financieras que se decida adoptar. Como punto importante, indican que adoptar una posición específica sobre el tratamiento de las opciones Call Spread y de las primas supone una posición sobre su determinación en el Impuesto a la Renta.

nÃo hà / O presente trabalho agrega à discussÃo da literatura teÃrica-empÃrica, seguindo conceitualmente Heller (1966), e alinhando-se a Calvo, Izquierdo e Loo-Kung (2012), e Alfaro e Kanczuk (2007; 2014), ao analisar as reservas internacionais dos paÃses que compÃem os BRIC, relativamente ao perÃodo de 1997 a 2013, com o intuito de associar o patamar otimizado de reservas a um instrumento gerencial de proteÃÃo (buffer) dos ativos pÃblicos, que funcionam como um amortecedor perante os desequilÃbrios do balanÃo de pagamentos, em funÃÃo de crises e sudden stops, dadas as evidÃncias prÃvias de contÃgio e integraÃÃo financeira neste bloco. O interesse pelos BRIC à pautado no fato de que nos prÃximos cinquenta anos, estas naÃÃes poderÃo vir a se tornar as maiores forÃas da economia mundial. Seguindo metodologicamente Frenkel e Jovanic (1981), aplicou-se o modelo intitulado de buffer stock nas sÃries temporais das reservas, havendo a inovaÃÃo e a relevÃncia no trabalho em virtude da consideraÃÃo dos possÃveis efeitos cruzados significativos das volatilidades condicionais e dos respectivos spreads intrabloco, atravÃs de um modelo vetorial com correÃÃo de erros (VEC). Verifica-se ainda que, sob a aplicaÃÃo deste modelo economÃtrico, os resultados permitiram identificar o papel relevante desempenhado pela volatilidade das reservas brasileira e russa, assim como do spread chinÃs na explicaÃÃo da gestÃo de reservas em alguns dos demais BRIC, que reflete na adoÃÃo de eventuais posturas conservadoras ou ousadas, por parte dos policy makers integrantes do bloco. / This study adds to discussion of theoretical and empirical literature, conceptually following Heller (1966), and aligning with the Calvo, Izquierdo e Loo-Kung (2012), and Alfaro e Kanczuk (2007; 2014), when analyzing international reserves countries that make up BRIC, for period 1997-2013, with a view to involving optimal level of reserves to a management tool protection (buffers) of public assets, which act as a buffer before balance of payments imbalances , due to crises and sudden stops, given previous evidence of contagion and financial integration in this block. Interest in BRIC is grounded in fact that next fifty years, these nations are likely to become major forces in the world economy. Following methodologically Frenkel e Jovanić (1981), we applied model titled buffer stock in time series of stores, and innovation and relevance in work due to consideration of likely significant cross effects of conditional volatilities and their bloc spreads, through a vector error correction model (VEC). It also appears that under application of econometric model, study findings show important role played by volatility of Brazilian and Russian stocks, as well as Chinese spread in explaining reserve management in some of other BRIC, which reflects adoption of any conservative or daring attitudes on the part of policy makers members of the bloc.

nÃo hà / Na Ãltima dÃcada, o mercado de crÃdito brasileiro experimentou um crescimento inÃdito na histÃria do paÃs, atingindo o nÃvel de 49% do Produto Interno Bruto. Tal fato està diretamente ligado ao desenvolvimento econÃmico do paÃs nos Ãltimos anos. Diante desse cenÃrio, o preÃo que se cobra nas operaÃÃes de crÃdito passou a ter importÃncia fundamental para a manutenÃÃo de um crescimento sustentÃvel. Nessa perspectiva, os spreads bancÃrios â diferenÃa entre a taxa de juros cobrada dos tomadores de crÃdito e o custo de captaÃÃo dos recursos depositados nas instituiÃÃes financeiras â passaram a ser questionados por conta do elevado nÃvel em que se encontram no Brasil. Esse trabalho se propÃe a analisar a evoluÃÃo do spread bancÃrio brasileiro na Ãltima dÃcada e investigar empiricamente seus determinantes. Para tanto, empregou-se nesta pesquisa a tÃcnica economÃtrica de Vetores Autoregressivos de modo a identificar e analisar as principais variÃveis que se relacionam com o spread no perÃodo de 2000 a 2012. AtravÃs da anÃlise das funÃÃes de Impulso e Resposta, o trabalho mostra que a inflaÃÃo à um dos principais determinantes macroeconÃmicos do spread no Brasil. / The unprecedented growth in the Brazilian credit market in recent years made it possible to reach an impressive level of its GDP. This fact is surely related to economic development experimented by the country in current years. Within this scenario, the price which is charged in credit operations started to play a fundamental role to the maintenance of sustainable growth. Thus, the bank spreads which mean the difference between the interest rate charged to borrowers and the funding cost of funds deposited at financial institutions â also began to be disputed in virtue of their actual high level state. The goal of this work is to evaluate the Brazilian banking spread sector evolution in the last decade and empirically investigate its determinants. Therefore, it may employ tools such as the so-called Vectors Autoregressive in order to figure out and work out the main variables which are related to spread regarding the 2000-2012 period. Making use of impulse-response functions, one intends to show that inflation is one of the main macroeconomic determinants to the Brazilian spread.

Submitted by Jean Fontes (jeanrfontes@yahoo.com.br) on 2018-06-28T00:22:20Z No. of bitstreams: 1 MFEE_Dissertação_Jean_Fontes.pdf: 17252759 bytes, checksum: 5fa63ebb1abfe8902987b38b857d341c (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-07-06T13:43:51Z (GMT) No. of bitstreams: 1 MFEE_Dissertação_Jean_Fontes.pdf: 17252759 bytes, checksum: 5fa63ebb1abfe8902987b38b857d341c (MD5) / Made available in DSpace on 2018-07-16T18:54:16Z (GMT). No. of bitstreams: 1 MFEE_Dissertação_Jean_Fontes.pdf: 17252759 bytes, checksum: 5fa63ebb1abfe8902987b38b857d341c (MD5) Previous issue date: 2018 / The post-2008 financial crisis intensified and improved risk management around the world. From 2014 to 2017, Brazil experienced a severe period of economic crisis culminating in the largest recession in history in 2016. The objective of this work is to measure the impact of this crisis on the credit spread in the secondary market of debentures and the consequent probability of default implicit of these assets. The work analyzes the data of the private credit curve in Brazil for the AAA, AA and A Ratings published daily by ANBIMA based on Nelson and Siegel (1987) parametric model with revision proposed by Diebold and Li (2006). Based on these data, we extracted the daily probability of default implicit using the reduced form of the Duffie and Singleton model (1999) proposed by Xu and Nencioni (2000). This study seeks to identify the perception of agents of the credit market in relation to the increase of risk in the current Brazilian economic scenario. The study concluded that there was a significant increase in the credit spread to the apex in 2016, decreasing during 2017 with the more favorable economic scenario and the fall in interest rates. However, the model data showed high daily volatility. Regarding Probability of Default, there was a great evolution in the perception of credit risk by agents, but there was a certain delay in the pricing of this risk when compared to other economic indicators. In the comparison of the model data with the calculated default probability data for each individual asset, a large difference was observed between assets with the same rating level and the average of the model data. The data of this model can be used in future work to set up portfolios with a better return risk ratio, besides attesting the usefulness of this tool to the economic agents to price their operations and to fulfill their expectations. / Os eventos pós-crise financeira de 2008 intensificaram e aperfeiçoaram o gerenciamento de risco em todo mundo. De 2014 a 2017, o Brasil vivenciou um grave período de crise econômica culminando na maior recessão da história em 2016. O objetivo deste trabalho é dimensionar o impacto dessa crise no spread de créditos no mercado secundário de debêntures e na consequente probabilidade de default implícita destes ativos. O trabalho analisa os dados da curva de crédito privado no Brasil para os Ratings AAA, AA e A divulgados diariamente pela ANBIMA com base na modelagem paramétrica de Nelson e Siegel (1987) com revisão proposta por Diebold e Li (2006). Com base nestes dados, extraiu-se a probabilidade de default implícita diária utilizando a forma reduzida do modelo de Duffie e Singleton (1999) proposta conforme Xu e Nencioni (2000). Este estudo busca identificar a percepção dos agentes do mercado de crédito privado em relação ao aumento do risco no atual cenário econômico brasileiro. O trabalho concluiu que houve relevante elevação do spread de crédito até o ápice em 2016, decrescendo ao longo de 2017 com o cenário econômico mais favorável e as quedas das taxas de juros. Porém, os dados do modelo passaram a apresentam alta volatilidade diaria. Em relação a Probabilidade de Default houve grande evolução da percepção de risco de crédito pelos agentes, porém houve um certo atraso na precificação deste risco quando comparado a outros indicadores econômicos. Na comparação dos dados do modelo com os dados de probabilidade de default calculado para cada ativo individualmente, observou-se grande diferença entre ativos com o mesmo nível de rating assim como em relação à média dos dados do modelo. Os dados deste modelo podem ser utilizados num trabalho futuro para montagem de carteiras com uma melhor relação de risco retorno, além de atestar a utilidade desta ferramenta para os agentes econômicos precificarem suas operações e balizarem suas expectativas.

Orientador: Celso de Almeida / Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação / Made available in DSpace on 2018-08-24T01:46:06Z (GMT). No. of bitstreams: 1 Mello_RodolphoContiGianiniFerreira_M.pdf: 1434278 bytes, checksum: c9d50dad0686c63ee7429ff495370ace (MD5) Previous issue date: 2013 / Resumo: Os fatores responsáveis pela vazão de dados em uma rede celular são o número de usuários alocados em uma célula e a taxa de dados de cada usuário. Desta forma, para alcançar melhores resultados em termos de vazão de dados, deve-se utilizar de técnicas que trabalhem com foco no produto destes dois parâmetros. Este trabalho consiste em uma análise comparativa entre diferentes sistemas CDMA sob a ótica da vazão de dados, tendo como foco sequências de espalhamento do tipo aleatórias e também de Walsh e detecção com filtro casado e com o detector multiusuário descorrelacionador (MUD-D - Multiuser Detector Decorrelator), além de considerar a presença de interferência interna e externa no sistema. O método utilizado para a análise e comparação consiste na modelagem matemática do enlace reverso de um sistema celular DS-CDMA em canal AWGN com controle perfeito de potência e com alguns parâmetros fixos, tais como, a taxa máxima de erro de bit ( ), a taxa mínima de dados por usuário (10 kbps, referente ao serviço de voz) e a potência máxima de transmissão de 0,5W por estação móvel. Este trabalho apresenta também uma análise comparativa entre um sistema DS-CDMA com filtro casado e outro com o detector MUD-D na presença de interferência externa. A análise comparativa do detector MUD-D com o filtro casado em ambiente com interferência externa e toda a análise da vazão de dados do sistema são contribuições do autor / Abstract: The factors responsible for the data throughput in a cellular network are the number of users allocated in a cell and the users' data rate. This way, to reach better results in terms of data throughput, one must use techniques that act with focus on the product of those two parameters. This work consists in a comparative analysis among different CDMA systems from the perspective of the data throughput, focusing on random and Walsh spreading sequences and detection method with matched filter and with the multi-user detector decorrelator (MUD-D), besides considering the presence of internal and external interference in the system. The analysis and comparison methods consist in the CDMA cellular system uplink mathematical modelling in an AWGN channel considering a perfect power control and some fixed parameters such as the maximum bit error rate ( ), minimum data rate per user (10 kbps, referring to the voice service) and maximum transmitting power of 0.5 W per mobile station. This work also presents a comparative analysis between a DS-CDMA system with matched filter and another with the MUD-D detector in the presence of external interference. The MUD-D and matched filter comparative analysis in a scenario with external interference and the whole system's data throughput analysis are the author's contribution / Mestrado / Telecomunicações e Telemática / Mestre em Engenharia Elétrica

In this Bachelor’s essay we discuss whether eWOM (electronic word-of-mouth) is perceived as advertisement or as normal information, which is not influenced by any company, on the platform Facebook. The information which we were interested in is the one spread by normal users, and user’s perception of it. To find our results we have conducted a study in which we have used the method interview, which gives qualitative results. Our chosen selection group contains young adults with ages spreading from 19 to 24, mainly because the group with ages between 16 to 24 is the group with most users according to “Statistiska centralbyrån” (2011). Our result points towards that users perceive a dichotomy between Facebook’s advertising and information spread by other users. The factor of interest (of the users) is according to our findings important to get a potential customer interested in a product. The other factor which makes opinions more trustworthy is the relationship one has with the source of the information. The closer the friend, the more trustworthy the information is pursuant to our results. What this could mean in the future of marketing is hard to predict but our results and earlier research could point towards new marketing strategies for companies.

The objective of the thesis is to acquaint readers with field of structured product valuation. It is a relatively complex issue which is, however, based on general valuation foundations. The opening chapter is dedicated to these general fundamentals of valuation. Emphasis is placed mainly on present value principle, a specific variant of comparison, and its related aspects. The second section describes key elements of structured product valuation. Greater part of this chapter is devoted to the Monte Carlo simulation, the most employed tool in valuation of these products in practice. An important part of Monte Carlo simulation is an option spread, which arises as by-product of the simulation and reflects value of an option contained in the evaluated instrument. Third chapter is focused on interest rate and prepayment models. Level of prepayment is dependent on interest rates development which both are the most critical factors that affect value of structured products. Description of models includes theoretical and mathematical formulation as well as mentioning their advantages and disadvantages. Valuation model is illustrated in the last part, which is demonstrated on valuation of hypothetical structured products example. Based on the model, the development of cash flows from underlying asset portfolio is forecasted which in turn determines the value of evaluated instruments. The final section deals with advantages of structured products and, hence, why banks and other institutions use them in practice.

The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LIBOR to OIS discounting. Prior to the global financial crisis, LIBOR (London Interbank Offered Rate) represented an approximation of the risk-free rate in the valuation of interest rate derivatives. The collapse of Lehman Brothers in 2008 resulted in sharp widening of the LIBOR-OIS spread, an indicator of the interbank market stress. Many derivative practitioners have become concerned about the choice of an appropriate risk-free rate. Traditional valuation approaches using LIBOR discounting have been reviewed. Meanwhile, the OIS (Overnight Indexed Swap) rate has become a better proxy for the risk-free rate, at least for collateralized or centrally cleared transactions. Firstly, the research aims to discover the divergences between LIBOR rates, popular pre-crisis proxies for the riskfree rate, and OIS rates, their post-crisis alternatives. Secondly, it covers the interbank lending market, and analyzes individual LIBOR-OIS spreads for the USD, EUR, GBP and CZK currency. Thirdly, it explores the transition to OIS discounting in connection with an influence on a wide spectrum of interest rate derivatives. Therefore, any potential effects are demonstrated on numerical valuation examples of interest rate swaps in the USD, EUR, and GBP currency. Finally, the diploma thesis addresses a topic of collateral management and clarifies different approaches using LIBOR or OIS rates for collateralized or non-collateralized transactions.