Tesis sobre el tema "Empirical"
Crea una cita precisa en los estilos APA, MLA, Chicago, Harvard y otros
Consulte los 50 mejores tesis para su investigación sobre el tema "Empirical".
Junto a cada fuente en la lista de referencias hay un botón "Agregar a la bibliografía". Pulsa este botón, y generaremos automáticamente la referencia bibliográfica para la obra elegida en el estilo de cita que necesites: APA, MLA, Harvard, Vancouver, Chicago, etc.
También puede descargar el texto completo de la publicación académica en formato pdf y leer en línea su resumen siempre que esté disponible en los metadatos.
Explore tesis sobre una amplia variedad de disciplinas y organice su bibliografía correctamente.
Huang, Yi. "Properties of empirical and adjusted empirical likelihoods". Thesis, University of British Columbia, 2010. http://hdl.handle.net/2429/27819.
Texto completoSantariusová, Markéta. "Price convergence between new and old EU member countries". Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-135908.
Texto completoChovítek, Šimon. "Ekonomie terorismu: Empirická analýza chování teroristických skupin". Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199729.
Texto completoŠperlich, Marek. "Analýza efektivity tréninkového programu v bance HSBC". Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-9350.
Texto completoSumová, Lucie. "Analýza pracovní spokojenosti ve společnosti TOMOS, a.s". Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73836.
Texto completoAbela, Paul Richard Spencer. "Kant's empirical realism /". Oxford : Clarendon press, 2002. http://catalogue.bnf.fr/ark:/12148/cb38824632h.
Texto completoDavarcioglu, Tolga. "Empirical accounting research". Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2011. http://dx.doi.org/10.18452/16411.
Texto completoThis cumulative PhD-thesis consists of three papers within the field of empirical accounting research. In each paper established empirical methodology is applied in order to validate or reject predictions on certain accounting outcomes. The first paper deals with voluntary accounting compliance. Taking advantage of the institutional setting in Germany, the paper identifies determinants of voluntary compliance with German Accounting Standards (GAS). The results of an ordered logistic regression show that compliance is driven by size, the auditor’s affiliation to the institution that develops the GAS and debt agency problems. The results do not reveal a relationship between compliance and public exposure. The second paper investigates effects of voluntary IFRS adoption on accounting quality based on provision disclosure using a sample of publicly listed German firms. Changes in accounting quality measures resulting from the transition from German GAAP to IFRS are assessed using a same firm-year approach. Results show that disclosure level is significantly higher under IFRS. The results are consistent with the notion that IFRS adoption has a positive impact on the disclosure aspect of accounting quality regarding accounting for provisions. Positive changes are stronger for firms that typically have fewer incentives to provide accounting information for a broad investor base. The third paper investigates the effect of multiple board appointments on firm performance for a sample of publicly listed German firms. The incidence of multiple board appointments is investigated from several angles since multiple board appointments can be characterized along numerous dimensions and their effect on firm performance is not unequivocally predictable. The results indicate that multiple board appointments negatively affect firm performance. Director characteristics that are expected to have a positive influence on firm performance do not counteract this finding.
Romano, Valerio Cosimo. "Empirical Comparative Law". Doctoral thesis, Luiss Guido Carli, 2015. http://hdl.handle.net/11385/200991.
Texto completoRen, Junqiushi. "Essays on Empirical Industrial Organization". The Ohio State University, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=osu1492646583191169.
Texto completoLin, Hui-Ling. "Jackknife Empirical Likelihood for the Variance in the Linear Regression Model". Digital Archive @ GSU, 2013. http://digitalarchive.gsu.edu/math_theses/129.
Texto completoCourey, Karim Joseph. "An Investigation of the Electrical Short Circuit Characteristics of Tin Whiskers". Scholarly Repository, 2008. http://scholarlyrepository.miami.edu/oa_dissertations/38.
Texto completoGong, Yun. "Empirical likelihood and extremes". Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/43581.
Texto completoLäuter, Henning. "Empirical Minimax Linear Estimates". Universität Potsdam, 2008. http://opus.kobv.de/ubp/volltexte/2011/4948/.
Texto completoCaldara, Dario. "Essays on Empirical Macroeconomics". Doctoral thesis, Stockholms universitet, Nationalekonomiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55463.
Texto completoAziz, Tariq. "Essays in empirical finance". Thesis, University of Aberdeen, 2016. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=230103.
Texto completoMa, Jun. "Essays on empirical likelihood". Thesis, University of British Columbia, 2014. http://hdl.handle.net/2429/50195.
Texto completoArts, Faculty of
Vancouver School of Economics
Graduate
Strand, Niklas. "Empirical studies of pricing". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2001. http://www.hhs.se/efi/summary/570.htm.
Texto completoTang, Yuan Emily. "Essays in empirical microeconomics". Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2007. http://wwwlib.umi.com/cr/ucsd/fullcit?p3284312.
Texto completoTitle from first page of PDF file (viewed January 14, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 110).
Andersson, Magnus. "Essays in empirical finance". Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2007. http://www2.hhs.se/efi/summary/731.htm.
Texto completoFinn, Maurice. "Wisdom : an empirical investigation /". Title page, contents and abstract only, 1993. http://web4.library.adelaide.edu.au/theses/09ARPS/09arpsf514.pdf.
Texto completoKristoffersen, Stian. "The Empirical Interpolation Method". Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-23378.
Texto completoDella, Corte Pasquale. "Essays in empirical finance". Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/1140/.
Texto completoMilonas, Kristoffer. "Essays in Empirical Finance". Doctoral thesis, Handelshögskolan i Stockholm, Institutionen för Finansiell ekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-2324.
Texto completoDiss. Stockholm : Stockholm School of Economics, 2015. Introduction together with 3 papers
Stella, Andrea. "Essays on Empirical Macroeconomics". Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10137.
Texto completoEconomics
Agarwal, Nikhil. "Essays in Empirical Matching". Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10745.
Texto completoEconomics
Cotterill, Daniel John. "Phenomenology of empirical confirmation". Thesis, Birkbeck (University of London), 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.362545.
Texto completoBoneva, Teodora Bojanova. "Essays in empirical microeconomics". Thesis, University of Cambridge, 2015. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.709170.
Texto completoGuiteras, Raymond P. "Essays in empirical microeconomics". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/45907.
Texto completoIncludes bibliographical references.
This thesis consists of three essays addressing open empirical questions in applied microeconomics. Chapter 1 attempts to quantify the impact of climate change on Indian agriculture. I use historical data on past yearly weather fluctuations and crop yields to measure the effect of these weather fluctuations on output, then use climate change prediction models to derive projections of the impact of future climate change on future productivity. I find that even moderate climate change could be seriously detrimental to productivity, with a consensus prediction for warming over the period 2010-2039 reducing productivity 4.5 to 9 percent. Chapter 2 provides a new tool for analysis of distributional, or quantile, effects in regression discontinuity (RD) models. RD has become increasingly popular over the last decade as a method of obtaining quasi experimental estimates of mean treatment effects. This paper extends the methodology to the measurement of quantile treatment effects. I provide simulation evidence on the effectiveness of the estimator and an empirical application to returns to compulsory schooling in the United Kingdom. Chapter 3, written jointly with Esther Duflo and Michael Greenstone, examines the impact of a water and sanitation intervention in Orissa, India, on health outcomes, in particular the monthly incidence of severe cases of diarrhea and malaria. The design of the intervention, in particular the fact that the water system is activated suddenly, unpredictably and simultaneously for all households in a given village, allow us to overcome several empirical challenges that have impeded credible estimation in the past. We find large effects: the arrival of services appears to reduce severe cases of diarrhea by as much as forty percent, with similar effects on severe cases of malaria. Furthermore, these effects appear to be persistent, as they continue to be apparent in the data after three and even five years.
by Raymond P. Guiteras.
Ph.D.
Simon, John A. (John Albert) 1971. "Essays in empirical macroeconomics". Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9006.
Texto completoIncludes bibliographical references (p. 76-80).
This thesis consists of two separate essays. The first, entitled 'The Long Boom', considers the causes of the recent record breaking growth in the United States. The second, entitled 'Markups and Inflation', looks at the relationship between markups and inflation in the US and OECD. The first essay starts from the observation that economic growth in the 80s and 90s has been characterized by expansions significantly longer than the preceding post-war experience. An examination of the most recent cycles shows that they have been much less volatile than previous cycles. Investigation of the causes of this suggests that the shocks hitting the economy have been smaller rather than the structure being more stable. A structural decomposition finds that the volatility decline is concentrated in demand shocks and consumption volatility. The decline in consumption volatility is traced to a decline in the volatility of shocks with a permanent effect on consumption and a reduction in the reaction of consumption to temporary shocks. Examination of output volatility in other countries finds that the reduction in output volatility is a worldwide phenomenon. This suggests that the cause for the reduction in volatility is not confined to an individual country. Regardless, the conclusion. is that the prospects for future of economic growth in the US are good. The second essay calculates markups for 450 US manufacturing industries as well as 25 broader sectors in 14 OECD countries. These markups are compared with GDP deflater inflation. A significant and robust finding is that there is a negative correlation between inflation and markups. Furthermore, the strength of the correlation varies with industry concentration. Specifically, the markup in concentrated industries is more sensitive to inflation fluctuations than in unconcentrated industries. A model emphasizing the interaction of inflation with collusive behavior is then presented. The critical channel in this model is that the variance of cost shocks increases with inflation. Higher inflation and the concomitant increase in the variance of cost shocks makes the maintenance of collusive arrangements harder and, thereby, leads to a lower average markup.
by John A. Simon.
Ph.D.
Kumar, Pavithra Kamakshi. "Essays in empirical finance". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/44740.
Texto completoIncludes bibliographical references.
The first chapter in my thesis investigates the association between selected hedge fund characteristics and persistence in performance over time. Analyzing TASS data from 1996-2006, I observe a positive correlation between persistence in good performance and fund size, as well as age. Furthermore, I find that more illiquid investment strategies exhibit significantly stronger persistence in good performance, both in the short and long run, even after controlling for illiquidity risk. These results indicate that higher fund size, age, and exposure to illiquidity are reflective of superior managerial skill. Finally, I note that funds with higher incentive fees display greater persistence in both good and bad (post-fee) performance in the long run. These findings are consistent with a scenario in which incentive fees are raised by both skilled and unskilled, (but lucky), fund managers in response to good past performance. Therefore, my analysis suggests that incentive fees for hedge funds may be endogenously determined. The second chapter tests a simple explanation for momentum profits: systematic out performance arises because certain stocks have persistently strong fundamentals which are not fully valued by the market. We find that "winner" portfolios have higher book-to-market ratios than "loser" portfolios, and the economic and statistical significance of momentum profits is markedly reduced when calculated above value benchmarks. A large component of the returns to relative strength portfolios may thus stem from such portfolios overweighting high value stocks, suggesting a close relation between the value and momentum anomalies. The final chapter develops a measure of international financial contagion using a semi structural approach.
(cont.) In particular, we work with a multi-country dynamic equilibrium setting, placing a constraint on portfolio volatility. The tightening of this constraint is a channel through which shocks are propagated globally in our model. We then derive a measure of the tightness of the constraint, or 'contagion', using cross-equation restrictions. We finally evaluate our measure of international contagion with regards to its predictability on global asset price co-movement, as well as on news about the recent sub-prime crisis. We find evidence that our contagion estimator is a strong measure of the sub-prime crisis in this regard.
by Pavithra Kamakshi Kumar.
Ph.D.
Lumer, Gerald B. (Gerald Benjamin). "Essays in empirical microeconomics". Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/11825.
Texto completoChan, Kin Wai 1975. "Essays in empirical finance". Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/17801.
Texto completoIncludes bibliographical references (p. 129-135).
This thesis consists of three essays on various topics in empirical financial studies. In Chapter 1, I study the profitability of momentum trading from evidence in mutual fund performance. I find that mutual funds that exhibit a strong momentum trading pattern earn significant risk-adjusted returns relative to Fama-French 3-Factor model, and tend to outperform other funds that do not momentum trade as much. The superior performance of these funds persists across different investment objectives as well as after controlling for fund size or fund flow. The robustness of my results suggests that momentum profits are real and momentum trading has the potential to improve a funds return. However, I also find relatively weak evidence of persistence in mutual funds trading styles. In particular, most funds do not seem to maintain their aggressiveness in momentum trading from one year to another. The findings indicate that momentum trading patterns observed in these mutual funds are more likely to be caused by random chances than the managers intention to capture momentum profits. Results in this paper also favor the under-reaction hypothesis as explanation for momentum in stock returns. Chapter 2 is a joint work with Charles Chang and Albert Wang. We explore how financial firms trade on in-house, US equity recommendations. We match the quarterly trades of financial firms with their own recommendations and document their trading patterns before, in the same quarter as, and after issuing recommendations. We find that net trade is more positive around upgrades than downgrades for all periods, and these relations are particularly significant in the quarter of and quarter immediately after the recommendation change. These empirical relations suggest that
(cont.) by and large, financial firms actually do "put their money where their mouths are". Previous studies have found that the execution costs and volatilities of the securities traded in the auction market are generally lower than those of the comparable securities traded in the dealer market. However, due to the difficulty of identifying perfectly matched pairs of stocks, the conclusions drawn from those studies are always subject to the criticism of inadequate control for individual stock characteristics. In Chapter 3, I repeat previous studies of execution costs and volatilities using a sample of stocks that is chosen specifically to address this criticism. The sample is made up of stocks that are listed on both the NASDAQ and AMEX in 2003. Consistent with existing literature, I find that the volatilities are generally higher on the NASDAQ than on the AMEX. On the other hand, the transaction costs are higher on the AMEX, which is at odds with previous empirical studies. The difference in execution costs and volatilities can be partially explained by their different sensitivities to various stock characteristics in the two different markets.
by Kin Wai Chan.
Ph.D.
Sandri, Matteo. "Essays on empirical finance". Thesis, University of Warwick, 2013. http://wrap.warwick.ac.uk/58109/.
Texto completovon, Drathen Christian. "Essays in empirical finance". Thesis, London School of Economics and Political Science (University of London), 2014. http://etheses.lse.ac.uk/1014/.
Texto completoShamloo, Maral. "Essays in empirical macroeconomics". Thesis, London School of Economics and Political Science (University of London), 2009. http://etheses.lse.ac.uk/2351/.
Texto completoVenes, Nuno. "Fiscal policy: empirical essays". Doctoral thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/902.
Texto completoThroughout this work we empirically analyse three important dimensions of fiscal policy -cyclicality, fiscal forecasts and consolidation episodes. While central government expenditure is, on average, weakly countercyclical in the OECD countries and procyclical in Latin American countries, we find evidence of revenue procyclicality in both groups. Higher levels of income inequality lead to less procyclical policies on the revenue side but are associated with stronger expenditure procyclicality, and better institutions seem unable to mitigate this effect. We also study the track record of fiscal forecasts reported by the EU-15 countries in the context of the Excessive Deficit Procedure. For the budget balance, gross fixed capital formation (GFCF) and interest payments, we study the statistical properties of forecast errors and their politico-institutional determinants. While errors in interest and GFCF expenditure present few systematic patterns, budget balance errors are responsive to fiscal institutions and to opportunistic motivations, especially from 1999 onwards: upcoming elections induce over-optimism, whereas commitment or mixed forms of fiscal governance and numerical expenditure rules (but not deficit and debt rules) are associated with greater prudence. Finally, for the EU-27 countries between 1969 and 2006, we assess those factors that help in explaining successful fiscal consolidations. Gradual episodes (3-4 years) are more likely to be successful than cold-shower adjustments (during a single year). The probability of success also increases in the face of cuts in central government current transfers to lower tiers of government. Finally, while successful cold-shower consolidations are characterised, in the years they occur, by a very limited contribution from politically-sensitive expenditure items, such as government wages and social transfers, these items account for nearly half of the primary expenditure adjustment effort during successful gradual fiscal contractions.
Neste trabalho procedemos à análise empírica de três dimensões da política orçamental -ciclicidade, previsões orçamentais e episódios de consolidação. Enquanto a despesa da Administração Central é, em média, ligeiramente contra-cíclica nos países da OCDE e pro-cíclica na América Latina, encontra-se evidência de prociclicidade das políticas do lado da receita em ambos os grupos de países. A elevada desigualdade de rendimentos conduz a políticas menos pro-cíclicas do lado da receita, mas está associada a uma maior prociclicidade da despesa, sendo que este efeito não parece ser mitigado por melhores instituições. Analisamos também o desempenho das previsões orçamentais reportadas pelos países da UE-15 no contexto do Procedimento dos Défices Excessivos. Para o saldo orçamental, formação bruta de capital fixo (FBCF) e juros pagos, estudamos as propriedades estatísticas dos erros de previsão e os seus determinantes político-institucionais. Enquanto os erros para a despesa com juros e FBCF apresentam poucos padrões sistemáticos, os erros de previsão do saldo orçamental dependem das instituições e de motivações oportunistas, especialmente a partir de 1999: a proximidade de eleições induz sobre-optimismo, enquanto que processos de decisão orçamental baseados em formas ditas de compromisso ou mistas e regras numéricas de despesa (mas não as de défice e dívida) estão associados a uma maior prudência. Finalmente, para os países da UE-27 entre 1969 e 2006, avaliamos os factores que ajudam a explicar o sucesso das consolidações orçamentais. Os episódios graduais (3-4 anos) têm maior probabilidade de sucesso do que os episódios do tipo "cold-shower" (que duram apenas 1 ano). A probabilidade de sucesso também aumenta na presença de reduções nas transferências correntes da Administração Central para outros sub-sectores. Enquanto as consolidações "cold-shower" bem sucedidas se caracterizam, no ano em que ocorrem, por um contributo muito limitado de rubricas de despesa politicamente sensíveis, como os salários da Administração Pública e as transferências sociais, estas rubricas contribuem com cerca de metade do esforço do ajustamento da despesa primária durante as consolidações graduais bem sucedidas.
Chen, Yujiang. "Essays in empirical microeconomics". Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/276976.
Texto completoCaruso, Alberto. "Essays on Empirical Macroeconomics". Doctoral thesis, Universite Libre de Bruxelles, 2020. https://dipot.ulb.ac.be/dspace/bitstream/2013/308164/4/TOC.pdf.
Texto completoDoctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished
Zhou, Xu-Shen. "Empirical Studies in Finance". University of Cincinnati / OhioLINK, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1060878290.
Texto completoXu, Qi. "Essays in empirical finance". Thesis, University of Warwick, 2016. http://wrap.warwick.ac.uk/78174/.
Texto completoSeira, Enrique. "Essays on empirical microeconomics /". May be available electronically:, 2007. http://proquest.umi.com/login?COPT=REJTPTU1MTUmSU5UPTAmVkVSPTI=&clientId=12498.
Texto completoOoms, M. "Empirical vector autoregressive modeling". [S.l. : Rotterdam : s.n.] ; Erasmus University [Host], 1993. http://hdl.handle.net/1765/14163.
Texto completoMorley, James Christopher. "Essays in empirical finance /". Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/7515.
Texto completoAnesti, Nikoleta. "Essays on empirical macroeconomics". Thesis, University of Warwick, 2015. http://wrap.warwick.ac.uk/73261/.
Texto completoMoura, Alban. "Essays in Empirical Macroeconomics". Thesis, Toulouse 1, 2017. http://www.theses.fr/2017TOU10017.
Texto completoThis thesis contributes to two recurrent debates in quantitative macroeconomics: the size of fiscal multipliers for Chapter 1, and the sources of business cycles for Chapters 2 and 3. A unifying theme of all three essays is that the joint use of available macroeconomic data and rich structural models allows to improve on standard identification strategies, delivering challenging results for the established conventional wisdom. In the first chapter of the thesis, I investigate how endogenous movements in government expenditures affect estimated fiscal multipliers for the U.S. economy. Using an estimated DSGE model with automatic fiscal rules to identify and quantify the feedback effects in government consumption, I find significant statistical evidence of endogenous patterns. I then use the model as a laboratory to test multipliers derived from three standard econometric approaches: a DSGE model with exogenous policy, VARs identified with exogeneity restrictions, and VARs identified with sign restrictions. The experiments suggest that DSGE-based multipliers are quite robust to misspecification, while structural VARs may provide severely overestimated and noisy multipliers in presence of endogeneity. Importantly, sign restrictions appear to perform worse that exogeneity restrictions, even though they have been especially designed to handle policy endogeneity. The second chapter, co-authored with Paul Beaudry and Franck Portier, documents the empirical properties of several measures of the relative price of investment goods, a variable often used to identify investment-specific technology shocks. Our focus in on U.S. data, but we also consider the other G7 countries. We emphasize two stylized facts: (i) There is no significant evidence that the relative price of aggregate investment is countercyclical in the data. (ii) It is significantly procyclical for the recent period, as well as the relative prices of most of its subcomponents. Therefore, our agnostic examination of the data does not validate the common view that investment-specific supply shocks, which trigger countercyclical movements in the relative price, are the main drivers of investment fluctuations. Instead, it points toward an important role for shocks to investment demand. The third and last chapter extends the analysis of Chapter 2 by incorporating investment price rigidity in a two-sector monetary DSGE model. Bayesian estimation from quarterly U.S. series suggests that sticky investment prices are the most important friction in terms of fitting the data. Furthermore, the estimated model implies that technology improvements are expansionary in the consumption sector but contractionary in the investment sector. These patterns, in line with the findings of the growth-accounting literature, have not been documented previously within estimated DSGE models. The model also predicts that eighty percent of the business-cycle movements in the relative price of investment arise from demand shocks, calling into question a widespread identification restriction imposing a period-by-period equality between relative technologies and relative prices
Faria, Adriano Augusto de. "Essays in empirical finance". reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/19503.
Texto completoApproved 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.
Borsi, Mihály Tamás. "Essays on Empirical Macroeconomics". Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/51005.
Texto completoZhang, Chi. "ESSAYS IN EMPIRICAL FINANCE". Diss., Temple University Libraries, 2017. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/470143.
Texto completoPh.D.
In the first chapter, I investigate how CEO’s risk incentive (vega) affects firm innovation. To establish causality, I exploit compensation changes instigated by the FAS 123R accounting regulation in 2005 that mandated stock option expensing at fair values. My identification tests indicate a positive and causal effect of CEOs’ vega on innovation activities. Furthermore, dampened managerial risk-taking incentive after the implementation of FAS 123R leads to a significant reduction in innovation related to firm’s core business and explorative inventions. It implies that managers diversify their innovation portfolios and decrease explorative inventions to curtail business risk when their risk-taking incentive is reduced. In the second chapter, I document that IPO underwriters implicitly collude on their price targets to support the stock post-IPO. While it is well known that underwriters are biased and have higher average price target (first moment), my evidence of implicit collusion is based on the dispersion in price target (second moment), with lower dispersion implying stronger implicit collusion. I find that, at initiation following expiry of quiet period, the dispersion in price target among underwriters of a firm is only 65% of that for non-underwriters. In 24.5% of the cases, at least two underwriters forecast the exact same price target. Such implicit collusion is also prevalent around lockup expiry. My results are robust to alternative, more direct, proxies for implicit collusion such as the proportion of underwriters that come out with exact same forecasts of price target. Refuting the alternative explanation that lower dispersion in price target among underwriters is due to common information that underwriters possess because of their involvement in the IPO, I find no such pattern in dispersion of Sales or EPS. In the last chapter, I study the security lending market. Stock lending markets are unique due to connections with stock markets: stock buyers become potential stock lenders. However, I show that equity loan supply is effectively fixed over time scales relevant to short sellers because short-term investors (less than three month holding period) do not lend shares. Transitions to stock specials are characterized by demand spikes, and slow-moving supply contributes to boom-and-bust cycles among stock specials. Consistent with my findings, I show stronger results among higher turnover stocks as well as around news events and earnings announcements.
Temple University--Theses
Adler, Konrad. "Essays in Empirical Macroeconomics". Thesis, Toulouse 1, 2019. http://www.theses.fr/2019TOU10017/document.
Texto completoThis thesis contains three essays in empirical macroeconomics. The main focus is on firm financing. In the first chapter, I study the impact of financial covenants on firms' behavior and in particular the impact on investment. Financial covenants are conditions present in almost all bank loan contracts. When a firm does not satisfy those conditions, which are accounting ratios such as a maximal debt to earnings ratio, the bank has the right to call back the loan. In most cases banks use covenant breaches to lower the loan size or adjust other loan terms. I document that around 80% of firms are subject to covenants and most of the covenants are based on a firm's income. For the Great Recession, I use hand-collected data on firms' credit limits to estimate the contribution of income covenants to the credit crunch. I find that about a third of credit line decreases can be plausibly attributed to income covenants. Motivated by these facts, I incorporate an income covenant into an otherwise standard heterogeneous firms model. In a calibrated version of the model I find that income covenants reduce aggregate investment by 1.3% compared to a model without financial frictions. I document that the cost from precaution, i.e. firms borrowing and investing less because they want to avoid a covenant breach, is larger than the direct cost of lower credit supply after a covenant breach. Regressions on simulated firm-level data yield very similar effects of the direct and precautionary effects of income covenants compared to actual data. In the second chapter, Jae-Bin Ahn, Mai Chi Dao and I, document a broad-based increase in cash holdings at the firm level during the last two decades. We build a simple model in which lower trade barriers increase firms' incentives to innovate. Because innovation is risky, firms increase their liquidity holdings when tariffs fall. We test these predictions using firm-level data from five large countries and find that expanding export opportunities and, to a lesser extent, increased import competition, raise cash holdings among incumbent firms. In support of our channel, we find this effect to be stronger among firms investing in R&D. In the third chapter, Simon Fuchs and I look at the global movie market. We show that the revenue share of sequels and adaptations of books has increased dramatically over the last two decades. During the same period the global movie market has become geographically more diverse, i.e. the revenue generated in the US has declined. We connect these two stylized facts in a model where movie studios can release one movie to a market that consists of countries with different taste. Additionally, studios face uncertainty concerning the location of a movie in the taste space. We estimate the global taste space based on market shares. We investigate whether the change in the composition of global demand can account for the increase in the revenue share of sequels. Our current results suggest this is not the case
ROSSETTI, FIAMMETTA. "Essays on empirical microeconomics". Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2010. http://hdl.handle.net/2108/1243.
Texto completoThe first chapter of the present thesis compares the performance of foreign and domestic banks in a set of -developed and developing- countries during the occurrence of a banking crisis. To this purpose I exploit a unique dataset obtained by merging data about the balance sheets and the ownership of a rich panel of banks settled in different countries from 1996 to 2007 with information on the banking crises occurred in the latest years. Foreign banks seem to be countercyclical and likely to have a stabilizing effect in tough times as they continue to have higher level of total assets (among other relevant variables) than domestic ones during banking crises. These results are proved to be robust to several checks aimed at controlling for country characteristics and for crisis features. The second chapter studies the effect of bank's organizational complexity on the probability of innovation of small firms. The distance between bank's branches and headquarter is a possible source of organizational frictions within a financial institution and has been defined in literature as “functional distance”. There exist several measures of functional distance and all of them give a measure of the distance between the hierarchical levels of a bank; a higher functional distance leads to a higher difficulty in passing soft information through banking layers. My analysis includes variables of relationship lending and multiple banking relationships but enriches the traditional setting with a set of functional distance measures; the empirical investigation highlights that functional distance negatively affects firms’ probability of process innovation which -not by chance- is the innovation type mostly related with soft information and with all the difficulties of passing soft information to a bank (first) and through the bank (subsequently). The third chapter is an investigation of the determinants of “frustrated achievement” in the German socioeconomic panel on more than 30,000 individuals collected between 1992 and 2004. An increase in real per capita income is generally expected to be associated with nonnegative variations in life satisfaction. The alternative (association with negative changes) is generally defined as “frustrated achievement”. What is observed is a parallel reduction in self-declared life satisfaction corresponding to almost one-third of yearly increases in (equalised) real household income. The econometric findings show that the lack of a full-time job, health deterioration, relative income effects, marital status shocks and poorer social life are the main factors associated with this phenomenon.