Tesis sobre el tema "Investment expectations"

One of the impacts of globalization on the nation states across the globe is how the system reduces governmental intervention and weakens governmental control over many activities within a state's territory. From the governance perspective, states regulate and administer affairs within their territories in accordance with their constitutional mandates of satisfying fundamental objectives of their needs; the extent to which states can satisfy those needs is critically dependent on their ability to pursue public interest oriented policies for meeting the basic needs and for further development of its citizens i.e. for the public good. However, as the tasks of states entail regulation and administration for public purpose, it carries the risk of infringement of private interest or unfair treatment against private entities operating within the state. The complex nature of the investor - state relationship, therefore, provides a lush ground for tension and conflict between public and private interests. Private interests in this context, are the state's commitments to the foreign investors covered by investment treaty jurisprudence, while public interests are the domestic needs regarding public good also linked to compliance with other non-investment albeit international obligations. Under various domestic legal orders and some international law regimes, there is a well-developed principle of legitimate expectations which allows courts and domestic tribunals to filter, both, the legitimacy of individual's expectations and public interest dimension of governmental activities. In investment treaty arbitration, however, this tool or mechanism is lacking. The practice of the investment treaty (ad hoc) tribunals reveals the worrying degree of inconsistency and lack of coherence in the analysis of formulation and application of the principle of legitimate expectations. The principle as applied by investment treaty tribunals can be understood as 'reliance by foreign investor' caused by 'a state through its representation, conduct, or established legal framework', pursuant to which the foreign investor suffers damage or loss emanating from the state's regulatory or administrative measure. While Claimants in investment treaty arbitration are increasingly relying on the principle to frame their claims, its contours remain unsettled. In addition to the varying degrees of ambiguity in the formulation of the principle, the reach of its application raises the tension of overlap with a public interest dimension of the state's regulatory and administrative functions, particularly in the areas of human rights, public health, environment, and necessity measures or public choice. This thesis uses the doctrine of 'margin of appreciation' as an analytical framework for a comparative approach methodology. The doctrine of margin of appreciation as a public law tool could serve as a lens through which investment treaty tribunals could both formulate and apply the principle of legitimate expectations without obscuring the regulatory and administrative functions of states.

Do investment portfolios meet the needs and preferences of investors? Can the portfolio selection process be improved? Traditionally, investor preferences have been identified using risk tolerance questionnaires. These questionnaires have recently attracted a fair deal of criticism. However, there has been little focus as to whether the questionnaires are useful in predicting investors' risk-taking behaviour. In this thesis, an explanatory sequential mixed methods approach was employed to find answers to the primary research question: what factors determine risk-taking behaviour in investment decisions? This thesis looked at the risk-taking behaviour of investors in Canada (N=192) and the risk-taking advice provided by financial advisers in Canada (N=155), collectively risk-taking decisions. The results suggested that return expectations and demographic variables were important predictors of risk-taking decisions, whereas risk tolerance questionnaires were not. Further investigation suggested that investment literacy impacted risk-taking decisions while investment experience impacted both return expectations and risk-taking decisions. In a novel contribution by this thesis, additional perspective was provided by qualitative analysis using semi-structured interviews with investors and advisers. From the results of the qualitative analysis, the author suggests that discovery and self-discovery, a consistent approach and a focus on process versus outcome are key attributes valued by both investors and advisers. The thesis concluded with implications and recommendations for stakeholders, including a greater focus on return expectations, more training in discovery for advisers, simulating investment experience for prospective investors and including investment literacy in school curricula.

In this thesis, information systems success measurement practices and expectations for information technology investments of four companies in Turkey are examined. The aim of this study is to understand the information systems success measurement practices of the studied companies and the relation between the expectations for IT investment and IS success of these companies in Turkey.

Empowering women and understanding its role within households is one of the main policy objectives in the developing world. However, while there is con- sensus on this objective, there is still little evidence on which is the most efficient way to approach this issue. The PhD thesis is based on understanding whether a variation in intra-household control of resources has an effect on household outcomes in developing countries and whether this effect is related to subjective expectations. This research question is approached using empirical microeconom- ics methods. Chapter “The Marriage market and intra-household allocation of expenditure” tests the assertion that the status of the marriage market impacts on intra-household allocation of expenditures. Chapter “Validation of Subjective expectations” analyses the validity of questions related to subjective expecta- tions using the data collected among social financial recipients in the Republic of Macedonia during the 2010 and 2012 data collection waves of the Macedo- nian “Secondary School Conditional Cash Transfer” evaluation household survey. Chapter “Parental perceived returns to schooling and human capital investment” analyses how parental subjective expectations about the return to schooling of their children affect future decisions about schooling. Chapter “Who wears the trousers in the family?” studies how the interaction between intra-household al- location of resources and expected returns to schooling influences human capital investment among poor households.

Submitted by Marcel Bertini Ribeiro (marcelbertini@gmail.com) on 2014-02-06T20:29:45Z No. of bitstreams: 1 Dissertação - Marcel Ribeiro.pdf: 509897 bytes, checksum: 04767279e83eb610eee9a0009dc796a0 (MD5)
Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-07T18:49:46Z (GMT) No. of bitstreams: 1 Dissertação - Marcel Ribeiro.pdf: 509897 bytes, checksum: 04767279e83eb610eee9a0009dc796a0 (MD5)
Made available in DSpace on 2014-02-07T18:58:09Z (GMT). No. of bitstreams: 1 Dissertação - Marcel Ribeiro.pdf: 509897 bytes, checksum: 04767279e83eb610eee9a0009dc796a0 (MD5) Previous issue date: 2014-01-24
Este trabalho desenvolve um novo 'canal de Confiança' da política fiscal e caracteriza a política ótima quando esse canal é levado em consideração. Para esse objetivo, utilizamos um modelo estático com (i) concorrência monopolística, (ii) custos de ajustamento fixos para investir, (iii) complementaridade estratégica devido a informação imperfeita com respeito a produtividade agregada, e (iv) bens privados como substitutos imperfeitos de bens privados. Este arcabouço acomoda a possibilidade de falhas de coordenação nos investimentos, mas apresenta um equilíbrio único. Mostramos que a política fiscal tem efeitos importantes na coordenação. Um aumento dos gastos do governo leva a uma maior demanda por bens privados. Mais importante, este também afeta as expectativas de ordem superior com relação a demanda das demais firmas, que amplifica os efeitos do aumento inicial da demanda devido a complementaridade estratégica nas decisões de investimento. Como as demais firmas estão se deparam com uma demanda maior, espera-se que estas invistam mais, que por sua vez, aumenta a demanda individual de cada firma, que aumenta os incentivos a investir. Denominamos isto como o 'canal de confiança' da política fiscal. Sob a ameaça de falhas de coordenação, a política fiscal ótima prescreve produzir além do ponto em que o benefício marginal resultante do consumo de bens públicos é igual ao custo marginal desses bens. Este benefício adicional vem do fato de que a política fiscal pode ampliar a coordenação dos investimentos.
This paper proposes a new 'confidence channel' of fiscal policy and characterizes the optimal policy taking this channel into account. We develop a static macroeconomic model with (i) monopolistic competition, (ii) fixed adjustment costs for investing, (iii) strategic uncertainty owing to imperfect information about aggregate productivity, and (iv) public goods as imperfect substitutes of private goods. This framework accommodates the possibility of investment coordination failures, but presents a unique equilibrium. We show that fiscal policy has important effects on coordination. An increase in government expenditure leads to higher demand for private goods. Importantly, it also affects higher-order expectations of other firms’ demand, which amplifies the effects of the initial increase in demand, owing to the strategic complementarities in investment decisions. Since other firms are facing higher demand, they are expected to invest more, which raises demand for an individual firm and, consequently, raises its incentives to invest. We dub this the 'confidence channel' of fiscal policy. Under the threat of coordination failures, the optimal fiscal policy prescribes producing beyond the point where the marginal benefit from consuming public goods equals their marginal cost. The additional benefit comes from fiscal policy enhancing the investment coordination.

Investment law is a rapidly moving and increasingly debated area of international law. Shifts in international economic relations, the broad nature of investment standards, the role played by arbitral tribunals and the guarantees granted by law to foreign investors are the object of many comments and disagreements. In particular, it is often feared that contractual stability commitments taking the form of stabilisation clauses are excessive and detrimental to states in terms of sovereignty. This thesis does not focus on the sovereignty debate but proposes a contextual analysis of those stabilisation clauses. Because stabilisation clauses implement FDI protection policies, it suggests that the sustainability of a stabilisation clause essentially depends on whether the FDI protection policy remains compatible with host states' future public policies and development needs. The sustainability of stabilisation clauses is thus considered at three different levels: in terms of (a) political and economic ideology, (b) policymaking and Cc) in terms of contractual commitments. The thesis finds that the current FDI framework suffers from significant ideological tensions because it defends liberal values and imposes liberal standards which tend to ignore national interests. At the same time, it suggests that the policies are not legally unsustainable: they provide broad standards of treatment, do not breach the debated 'right to development' and do not prevent host states from setting up 'valid' policies and regulatory measures as long as a due process of law is observed. Investment contracts, in turn, are often criticised for their negative impacts on states' regulatory powers, but they provide little reliable guarantees of stability to foreign investors and justify a need to rely on contract stabilisation commitments, especially since the role and interpretation of 'legitimate expectations' under the Fair and Equitable standard of treatment is changing. Current contract stabilisation methods, however, create unreasonable expectations, make FDI policies legally unbalanced and must therefore be reviewed to allow for more policy space and to create more 'legitimate' predictability expectations.

As the field of investment treaty arbitration has exponentially grown in the last years, the definition and the framework of key elements in the field, such as legitimate expectations, have been largely discussed by scholars and arbitrators. As jurisprudence has gone on to tackle such issue, it has been the appearance of concepts, such as due diligence, which have shaped and re-defined the standing of legitimate expectations in the field of investment treaty arbitration.

This dissertation analyses the implications of international investment law on host states’ legal ability to protect the environment, regulate sustainable use of natural resources, and develop new approaches to manage environmental risks and uncertainties. ‘Environmental policy space’ is found to be a useful term when exploring the regulatory autonomy in this context. On one hand, investment law aims to ensure stability of the investment environment. On the other hand, environmental law needs flexibility to react to the degradation of the environment. It is found that those different aims do not have to be in conflict. There are useful mechanisms in national environmental law which provide for accessible, transparent and predictable decisions for the private actor. These mechanisms can fulfill the aim of stability in investment law. It is, however, concluded that core provisions of international investment treaties risk to put constraints to environmental law in a variety of ways. To diminish these risks, states, when concluding investment treaties, should make clear that constraining environmental regulation is not compatible with the overarching aim of sustainable development. Furthermore, the interpretation of provisions of investment protection must respect principles and instruments of environmental law not to continue being unbalanced towards investor interests. It is also concluded that allowing for investor – state arbitration, without the investor exhausting local remedies, will ignore the important national administrative review system of public environmental measures.

nÃo hÃ
Considering the timing with which the market and the economic and financial analysts require information about the evolution of the assets, this work provides subsidies to apply time series models to anticipate the return of Brazilian government bonds. Vector auto-regressive models are developed and estimated for the main assets in government securities market in 2011 and forecasts suggest that the government bonds indexed to the IPCA and fixed-rate bonds are more promising in return that the government securities post-fixed , a fact consistent with the current context of a world economy that emerges from a crisis scenario.
Considerando a tempestividade com a qual o mercado e os analistas econÃmico-financeiros requerem as informaÃÃes sobre a evoluÃÃo dos ativos, este trabalho fornece subsÃdios ao aplicar modelos de sÃries temporais, para antecipar os retornos de tÃtulos pÃblicos brasileiros. Modelos vetoriais auto-regressivos sÃo desenvolvidos e estimados para os principais tÃtulos pÃblicos ativos no mercado em 2011 e as previsÃes sugerem que os tÃtulos pÃblicos indexados ao IPCA e os tÃtulos pÃblicos prÃ-fixados sÃo mais promissores em rentabilidade que os tÃtulos pÃblicos pÃs-fixados. Este fato à coerente ao contexto atual de uma economia mundial que emerge de um cenÃrio de crise.

Auditing has grown substantially in recent times, expanding into different parts of the world through a network of international audit firms (dominated mainly by the Big Six or more recently the Big Five). The growth of auditing and audit firms has not been hindered significantly by consistent criticism, doubts and debates about the value of the auditing function and what it can deliver in countries with long established audit traditions. Much of such criticism and debates usually surface in the aftermath of major financial scandals and corporate collapses and have increasingly been captured of the term of the "audit expectation gap" -a phrase referring to the difference between what auditors perceive as their duty and what the users of financial statements expect from auditors. Research has examined the main elements of the audit expectations gap, including the nature of assurance, audit reporting, auditor independence and regulation/liability of auditors. Few research studies, however have focused on examining the audit function through a case study of a major financial scandal. Even fewer studies have paid attention or researched the audit function in non- Anglo-American contexts. This is the primary aim of the thesis. To explore such a research area, this study uses the scandal that surrounded Grupo Torras, the Kuwait Investment Office's (KIO) investment holding group in Spain. The collapse of the group in 1992 offers the opportunity to examine auditing in Spain, a country with notably high expectations of auditing in recent times, and Kuwait, a developing country recently having returned to democracy. The issue of the audit expectations gap in Kuwait is also explored using a questionnaire survey of the views of auditors, directors and users in Kuwait. Such survey represents the first comprehensive survey of auditing expectations in the Gulf region - an increasingly significant economic area given the growth in oil revenues. The case study reveals different response to the scandal. In Spain, criticism and debates started to surface immediately after the scandal while in Kuwait no major criticism or debate about the audit function has taken place. The case study shows how auditing was unable to cope in a complicated financial and political environment, where senior powerful managers, were involved in mismanagement and fraud. Despite the limitations of the auditing function in practice, the questionnaire survey shows only a limited audit expectations gap in Kuwait and considerable degree of satisfaction among people in Kuwait with auditing. This shows that the image of auditing is mostly based on perception rather than on its ability to perform in practice and raises a range of important issues for the future, especially giving the growing doubts about the uniform nature of auditing service provided by "multinational" audit firms.

In this thesis, I explore the topic of chief executive officer (CEO) compensation in UK publicly traded firms. My objective is threefold. First of all, I investigate debt-holders‟ reaction to CEO compensation in terms of the cost of debt financing. Secondly, I examine the possible link between CEO compensation and expectation management. Thirdly, I examine whether and how the interactive relation between CEO career horizon and compensation package affects a firm‟s research and development spending. Multiple regression is employed in this thesis to investigate the causal relationship between these above mentioned aspects I‟m interested (the cost of debt, expectation management and research and development spending) and CEO compensation. I consider all major compensation components for a typical CEO in UK publicly traded firms: defined benefit pension, bonus, restricted shares, traditional stock options and performance-vested stock options. The accumulated equity incentives, such as ownership, are also examined. My major findings are as follows. First of all, I find that an increase in defined benefit pension and bonus in CEO compensation are associated with a lower bond yield spread, while an increase in stock options and ownership intensifies it. Secondly, I document that CEO equity incentives that will be vested in the following year are positively associated with the probability of employing expectation management to meet or beat financial analysts‟ forecasts about a firm‟s reporting earnings. Thirdly, I demonstrate that older CEOs will not spend less in research and development expenditures in general. However, older CEOs with more defined benefit pensions and ownership are reluctant to engage in such an investment. iii My results generate several implications for CEO compensation research. First of all, I show that debt-holders rationally incorporate the information of CEO compensation about risk-taking and risk-avoiding incentives when pricing a firm‟s publicly traded debts. Secondly, I provide the evidence that CEO compensation motivates top managers to manipulate information disclosure by employing expectation management for personal gains. Thirdly, the joint influence of CEO career horizon and compensation package on a firm‟s research and development spending is highlighted. CEO compensation motivates a short-sighed and risk-averse investment policy when top managers have a short career horizon. The first novel contribution in this thesis is the coverage of CEO pension, which is overlooked by the most of previous literature on compensation studies. Secondly, I provide the evidence that the popularity of expectation management in the UK, which is well documented in the literature, can be partly explained by CEO compensation. Finally, the interactive relation between CEO compensation and career horizon on a firm‟s investment policy is re-examined. It provides further material in the debate of career horizon problem, which has no consensus in the previous literature. Overall, this thesis generates some empirical evidence about the influence of CEO compensation on managerial behaviour. Some adverse effects of CEO compensation highlighted in this thesis may help remuneration committee to design a better pay package for top managers in the future.

This thesis aims to identify more clearly the rationale, the constituent elements and the methodology of the concept of legitimate expectations in the field of investment treaty law. It addresses the problems associated with the concept's development in the application of the standards of fair and equitable treatment and indirect expropriation. The thesis adopts a comparative perspective. More developed legal regimes have been referring to legitimate expectations and to a similar concept of investment- backed expectations. Their experiences can assist in addressing questions about the concept's nature in investment treaty law. The enquiry focuses on seven such regimes, namely those of: the USA, England, Australia, European Union, European Convention on Human Rights, general international law and World Trade Organisation. The analysis shows that the concept of legitimate expectations is equitable. It safeguards fairness and trust in the actions of public authorities. It demands balancing of the private interest behind legitimate expectations and the public interest underlying the measures that frustrate them. The analysis identifies three common types of legitimate expectations, namely: legitimate expectations related to the legal and factual situation of an investment, legitimate expectations arising from specific representations and legitimate expectations related to invalidation of State acts. It also identifies the limits of the concept. It should cover neither expectations of immunity from general legislative or regulatory changes, nor investor's subjective expectations of treatment, nor expectations of a proprietary nature. The comparative analysis clarifies the concept's limits, the methodology required for its application and the fundamental questions the tribunals need to address. This greater clarity will facilitate a comprehensive case-by-case discussion among system participants. This discussion will contribute to the development of a concept capable of balancing the private and public interests persuasively and thus of supporting the long-term sustainability of the investment treaty system as a whole.

Cette thèse est composée de trois chapitres indépendants. Le premier chapitre concerne la formation des anticipations. Je montre que les agents sont susceptibles d’utiliser un modèle mal spécifié plutôt que le "vrai" modèle de l’économie. Je considère une économie simple avec deux types d’agents. Les agents rationnels apprennent la solution à anticipation rationnelle tandis que les agents "cohérents" utilisent un modèle autorégressif. Je montre qu’un équilibre de long terme dans lequel les agents cohérents sont dominants existe. Des simulations montrent que l’économie peut converger vers cet équilibre. Le deuxième chapitre concerne le choix intertemporel. Je considère un modèle dans lequel la richesse entre dans l’utilité. J’étudie le cas non-séparable, séparant ainsi l’effet revenu sur l’offre de travail de l’effet de substitution intertemporelle. Je déduis des implications pour la politique économique, puis, j’estime les deux paramètre introduits par cette spécification de l’utilité. Je trouve des valeurs positives et élevées pour les deux. Le troisième chapitre présente un modèle d’investissement en présence de sélection adverse. Ma contribution est de fournir une solution simple, facile à intégrer dans un modèle macroéconomique. Les emprunteurs différent par le risque de leur projet d’investissement comme dans Stiglitz et Weiss (1981). Ils signalent le risque de leur projet en empruntant une fraction des bénéfices mis en réserve. J’obtiens une solution analytique pour la contrainte d’incitation. Je l’intègre dans un modèle dynamique et déduis certaines implications
This thesis is made of three independent chapters. The first chapter contributes to the literature on expectations. I argue that they may learn a misspecified model instead of learning the rational expectation model. I consider a simple economy with two types of agents. Rational learners learn the true model of the economy whereas consistent learners learn an autoregressive model. I show that a long run equilibrium exists in which consistent learners dominate. Simulations show that the economy may converge towards it. The second chapter deals with the intertemporal choice. I consider a model with wealth in the utility. I study the case of nonseparability. This disentangles between the income effect on labor supply and the intertemporal substitution effect. I derive several implications for economic policy. Then, I estimate the two new parameters introduced in the paper. I find large and positive values for both. The third chapter builds a model of corporate investment under adverse selection. My contribution is to provide a tractable model easy to embed into a macroeconomic model. Borrowers differs by the riskiness of their investment project like in Stiglitz and Weiss (1981). They have infinite horizon and signal their type by borrowing a fraction of their retained earnings. I get an analytic solution for the incentive constraint. I integrate the relation into a dynamic model and derive some implications

This research provides evidence from three Czech Faculties of Economics and one English Business School on students‟ expectations regarding their investment in higher education. It examines the expected earnings from which rates of return are calculated using the short-cut method, and ex ante risk is estimated using the coefficient of variation. Micro-level data have been collected specifically for the purpose of this study using a repeated cross-sectional survey. In addition to personal and socio-economic characteristics, first year students were asked to estimate their earnings with and without a university degree at two points in time – at the point of labour market entry and ten years later, and at three levels of probability – minimum, most likely and maximum. This study aims to investigate the factors that influence the expectations and to determine whether students act rationally as investors and according to the theory of human capital. Earnings expectations have been found to increase with education and experience. Students expect their earnings to grow faster and further thanks to a university degree and expect their earnings at the point of graduation to be similar to the earnings they expected with ten years of post-secondary labour market experience. Students from high income families expect higher earnings than those from low income families. Women have been found to expect lower earnings than men and the gender-pay gap increases with education and experience. Students from England expect higher earnings than their Czech peers. The findings reveal that a very large majority of students act according to the theory of human capital by expecting at least zero rates of return, and that there is a positive relationship between returns and risk and thus that students act rationally as investors. The average rate of return expected by English students is around 23% while those expected by Czech students range from 14% to 18%. Gender differences in rates of return were identified in England with women expecting higher rates of return. Nevertheless, it is concluded that gender differences in rates of return should be reported on in the context of risk-free rates of return otherwise the results may be misleading. Average ex ante risk associated with university education is the coefficient of variation of 0.35, which is similar to a randomly selected financial portfolio of 30 stocks. The expected risk-return trade-off is large; for a 1.1pp increase in risk men expect to be compensated by a 1pp increase in the rate of return while women expect for every 2pp increase in risk a 1pp increase in the rate of return.

Current literature warns organisations about a global ageing phenomenon. Workplace ageing is causing a diminishing work pool which has consequences for a sustainable workforce in the future. This phenomenon continues to impact on local government councils in Australia. Australia has one of the world’s most rapidly ageing populations, and there is evidence that Australian local government councils are already resulting in an unsustainable workforce. Consequently, this research program investigated the role of older workers in the Queensland local government workplace in enabling them to extend their working lives towards transitional employment and a sustainable workforce in the future. Transitional Employment is intended as a strategy for enabling individuals to have greater control over their employment options and their employability during the period leading to their final exit from the workforce. There was no evidence of corporate support for older workers in Queensland local government councils other than tokenistic government campaigns encouraging organisations to "better value their older workers". (Queensland Government, 2007d, p.6). TE is investigated as a possible intervention for older workers in the future. The international and national literature review reflected a range of matters impacting on current older workers in the workforce and barriers preventing them from accessing services towards extending their employment beyond the traditional retirement age (60 years) as defined by the Australian Government; an age when individuals can access their superannuation. Learning and development services were identified as one of those barriers. There was little evidence of investment in or consistent approaches to supporting older workers by organisations. Learning and development services appeared at best to be ad hoc, reactive to corporate productivity and outputs with little recognition of the ageing phenomenon (OECD, 2006, p.23) and looming skills and labour shortages (ALGA, 2006, p. 19). Themes from the literature review led to the establishment of three key research questions: 1. What are the current local government workforce issues impacting on skills and labour retention? 2. What are perceptions about the current workplace environment? And, 3. What are the expectations about learning and development towards extending employability of older workers within the local government sector? The research questions were explored by utilising three qualitative empirical studies, using some numerical data for reporting and comparative analysis. Empirical Study One investigated common themes for accessing transitional employment and comprised two phases. A literature review and Study One data analysis enabled the construction of an initial Transitional Employment Model which includes most frequent themes. Empirical Study Two comprised focus groups to further consider those themes. This led to identification of issues impacting the most on access to learning and development by older workers and towards a revised TEM. Findings presented majority support for transitional employment as a strategy for supporting older workers to work beyond their traditional retirement age. Those findings are presented as significant issues impacting on access to transitional employment within the final 3-dimensionsal TEM. The model is intended as a guide for responding to an ageing workforce by local government councils in the future. This study argued for increased and improved corporate support, particularly for learning and development services for older workers. Such support will enable older workers to maintain their employability and extend their working lives; a sustainable workforce in the future.

Submitted by Marilene Donadel (marilene.donadel@unioeste.br) on 2018-10-25T20:05:30Z No. of bitstreams: 1 Laudelina_Ribeiro_2018.pdf: 1327358 bytes, checksum: 607edeb8bb5b6744a60b848c643c8920 (MD5)
Made available in DSpace on 2018-10-25T20:05:30Z (GMT). No. of bitstreams: 1 Laudelina_Ribeiro_2018.pdf: 1327358 bytes, checksum: 607edeb8bb5b6744a60b848c643c8920 (MD5) Previous issue date: 2018-08-03
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES
The study of the Rational Expectations Hypotesis (REH) had its beginning after the 1960’s, setting the economic agents’ rationality as the theoretical base. The economic agents settle their expectations according to the current economic outlook; therefore, the economic environment becomes an important factor in shaping the entrepreneurs’ expectations, since great part of the decisions which entrepreneurs take occur in an economic scenario more uncertain. This dissertation aims to analyse the influence of the brazilian entrepreneurs’ expectations index in the transformation industry sector over the private investment, as well as the employment level in this industry. The period taken to be analysed is 2003-2017, and the data is monthly. The econometric model used to calculate the influence was estimated by the Vector Error Correction Model (VECM). The results show that the entrepreneurs’ expectations index in the processing industry sector had a considerable influence over the decisions of private investment and the level of employment in that sector in Brazil. Thus, a stable economic scenario leads to an increase in the level of confidence in the industry sector, which can stimulate the growth in the industrial sector output and in several other sectors throughout the country.
O estudo da Hipótese das Expectativas Racionais (HER) iniciou-se após os anos de 1960, tendo como princípio a racionalidade dos agentes. Os agentes econômicos formulam suas hipóteses e expectativas com base no contexto econômico atual; logo, o ambiente econômico torna-se um fator influente na formação das expectativas empresariais visto que, na maioria das vezes, a tomada de decisão dos empresários ocorre em um ambiente de incerteza. O presente estudo tem a finalidade de analisar a influência do índice de expectativas dos empresários brasileiros da indústria de transformação sobre o investimento privado e o emprego desta indústria. O período compreendido no estudo é de 2003 a 2017, com a base de dados mensal. Para avaliar os resultados, o método econométrico utilizado foi estimado pelo Modelo Vetor de Correção de Erros (VECM). Os resultados apontam que, no período estudado, o índice de expectativas dos empresários da indústria de transformação influenciou as decisões relacionadas com o investimento privado e com o emprego das indústrias de transformação do país. Sendo assim, um cenário econômico estável proporciona um aumento da confiança dos empresários industriais, fazendo crescer sua expectativa em relação a seus negócios futuros e à economia do país e proporcionando um aumento de seus investimentos industriais, que podem impulsionar o crescimento da atividade do setor industrial e das demais atividades econômicas do país.

Submitted by Daniela Lima (dclima@gmail.com) on 2014-04-10T20:56:55Z No. of bitstreams: 1 Dissertação Entrega Biblioteca.pdf: 452787 bytes, checksum: 4b6841bee37bdbe0805529f651146294 (MD5)
Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Bom dia Daniela, Como seu trabalho é em inglês o ABSTRACT vem antes do resumo. Você configurou as páginas de acordo com as normas? Esquerda - 3 e 2 cm Direita - 3 e 2 cm Grata. Suzi 3799-7876 on 2014-04-11T12:27:54Z (GMT)
Submitted by Daniela Lima (dclima@gmail.com) on 2014-04-14T16:15:51Z No. of bitstreams: 1 Dissertação Entrega Biblioteca.pdf: 452787 bytes, checksum: 4b6841bee37bdbe0805529f651146294 (MD5)
Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Bom dia Daniela, Rejeitei para você encaminhar o arquivo correto. Grata. Suzi on 2014-04-15T11:37:54Z (GMT)
Submitted by Daniela Lima (dclima@gmail.com) on 2014-04-15T12:43:08Z No. of bitstreams: 1 Dissertação Entrega Biblioteca_vf.pdf: 410141 bytes, checksum: 2b12b24430bb9a66258680f9356e6d04 (MD5)
Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Daniela, sua dissertação é inglês então o ABSTRACT vem antes do Resumo. Att. Suzi 3799-7876 on 2014-04-15T14:00:53Z (GMT)
Submitted by Daniela Lima (dclima@gmail.com) on 2014-04-15T14:51:34Z No. of bitstreams: 1 Dissertação Entrega Biblioteca_vf.pdf: 410141 bytes, checksum: a8533d96bc13104589c00e80f7e5a22f (MD5)
Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-04-15T15:09:48Z (GMT) No. of bitstreams: 1 Dissertação Entrega Biblioteca_vf.pdf: 410141 bytes, checksum: a8533d96bc13104589c00e80f7e5a22f (MD5)
Made available in DSpace on 2014-04-15T15:54:35Z (GMT). No. of bitstreams: 1 Dissertação Entrega Biblioteca_vf.pdf: 410141 bytes, checksum: a8533d96bc13104589c00e80f7e5a22f (MD5) Previous issue date: 2014-03-11
Credit market in Brazil distinguishes from advanced economies in many aspects. One of them is related to collaterals for households borrowing. This work proposes a DSGE framework, based on Gerali et al.(2010), to analyse one pecularity of Brazillian credit market: payroll-deducted personal loans. To original model, we added the possibility to households contract long term debt and compare to differents types of credit constrains: one based on housing and other based on future income. We callibrate and estimate the model to Brazil, using Bayesian technique. Results show that, in a economy where credit constraints are based on income, responses to shocks appear to be stronger, at first, but dissipate faster. This occurs because income responds quickly to shock than housing prices, so does amount available to loans. In order to smooth consumption, agents compensate lower income and borrowing by increasing working hours, restoring loans and debt in a shorter time.
O mercado de crédito brasileiro se diferencia em diversos pontos dos mercados em economias avançadas, com relação à composição do crédito, prazo médio, dentre outros. Uma dessas divergências refere-se ao colateral. Neste sentido, este trabalho propõe um modelo DGSE, com base no arcabouço desenvolvido por Gerali et al. (2010) para analisar uma peculiaridade do mercado de crédito brasileiro, o crédito consignado. Ao modelo original, acrescentamos a possibilidade de indivíduos se endividaram e analisamos dois tipos de restrição ao crédito: uma com base na renda futura esperada outra com base no patrimônio imobiliário do agente. Nós calibramos e estimamos Bayesianamente o modelo para a economia brasileira. Os resultados mostram a reação ao choque na economia cujo crédito se baseia na renda parece ser mais intensa e se dissipar mais rapidamente do que na economia com base em housing. Isso decorre do fato de que a renda responde mais rapidamente a choques do que os preços de imóveis, e, dessa forma, a oferta de crédito consignado também.

Rail transit investments require highest amount of investment costs of all modes and considering the high cost involved, it is particularly important that their performance justifies this high cost and that expectations from these investments are met. Therefore, in the world, it has become an important field of research to study the performances of rail systems in order to assess whether these expectations are met. In Turkey, there is a growing interest in constructing rail transit systems in the cities. However, there has been limited number of studies on the performance of these investments. There are researches on individual systems
yet, there has not been a comprehensive, systematic and comparative evaluation of the rail transit experience of Turkish cities. It is not clear with what expectations these systems are built or whether these expectations are met. There seems to be an urgent need to study these rail investments, with a particular focus on their planning, investment objectives and outcomes. This thesis analyzes the expectations from the rail transit systems in Turkey and answers the question whether these expectations are met. In order to understand the objectives under the planning and decision making processes in the implementation of Turkish rapid rail transport investments, a sample group was selected among the cities currently operating rail transit systems: &
#272
stanbul, Ankara, &
#272
zmir and Bursa. The study sets the objectives in planning and implementing rail transit systems drawn by the answers in the semi-structured interviews. It compares the expectations with the actual outcomes. As the primary indicators of performance, cost and ridership forecast and outcome data are also collected and considered in the comparison. It is found that the main success in all case study cities was the increase in public transport usage after the opening of the rail transit systems. On the other hand, systems performed rather poor in terms of other expectations, such as attaining ridership forecasts, being built within budget, creating an integrated public transport system, traffic reduction, air pollution reduction, improvement of city image, etc. Hence there is a gap between expectations and outcomes.

Esta tese de doutorado consiste em três ensaios aplicados de macroeconomia. O primeiro ensaio retoma o clássico resultado do artigo de Meese e Rogoff (1983), em que os autores encontram fortes evidências de que nenhum modelo estrutural para a taxa de câmbio supera as projeções de um modelo random walk. Neste primeiro ensaio, comparamos o erro das projeções para a taxa de câmbio, efetuadas por bancos, instituições financeiras e consultorias econômicas, captadas no ranking Top-5 do Banco Central do Brasil, com as projeções de um modelo random walk e um modelo estrutural, o de paridade não coberta de taxa de juros, para três horizontes de previsão. Os resultados mostram que o modelo random walk tem maior índice de acerto em comparação com os métodos utilizados pelas instituições participantes da pesquisa e em comparação ao método estrutural. Este índice de acerto aumenta com o prazo de projeção. O segundo ensaio trata dos determinantes das expectativas de inflação no Brasil. As expectativas de inflação são uma das mais importantes variáveis na determinação da inflação futura, determinando a condução da política monetária. Através de modelagem econométrica, encontramos que as variáveis que afetam as expectativas de inflação são: a) meta de inflação é a variável mais importante, funcionado como âncora das expectativas; b) inflação passada; c) hiato do produto; d) taxa de câmbio; e) preços internacionais; e f) taxa de juros. Variáveis de política fiscal não parecem ser importantes na determinação das expectativas de inflação. O terceiro ensaio volta a tratar da taxa de câmbio, tratando de entender o impacto das desvalorizações do Real sobre o comportamento das empresas. Sabese que os impactos na atividade econômica de uma desvalorização cambial podem ser positivos ou negativos. Para as firmas, o benefício se dá em termos de competitividade, dada a redução nos custos. Mas, se as firmas tiverem dívida atrelada à moeda estrangeira, a desvalorização pode ter mais custos do que benefícios, dado as restrições à atuação das empresas via mercado de crédito. Este é o efeito de balanço patrimonial. Este terceiro ensaio trata de contribuir na identificação dos impactos destas desvalorizações sobre o comportamento dos investimentos de empresas brasileiras. Através de dados microeconômicos, os resultados das estimações não permitem concluir qual dos dois efeitos, de balanço patrimonial ou de competitividade, é mais importante. Entretanto, a separação da amostra em firmas de diferentes tamanhos evidencia um efeito de balanço patrimonial superior ao efeito de competitividade no caso de firmas grandes.
This doctoral thesis consists of three essays in applied macroeconomics. The first essay retakes the classic result of the article by Meese and Rogoff (1983), in which the authors found strong evidence that no structural model for the exchange rate surpasses the projections of a random walk model. In this first essay we compare the error of the projections for the exchange rate, effected by banks, financial institutions and economic consultants, caught in ranking Top-5 of the Brazilian Central Bank, with the projections of a random walk model and a structural model of uncovered interest parity for three horizons of forecast. The results show that the random walk model has greater index of rightness in comparison with the methods used for the participant institutions of the research and in comparison with the structural method. This index of rightness increases with the projection stated period. The second essay deals with the determinants of inflation expectations in Brazil. Expectations of inflation are one of the most important variables in determining the future inflation, determining the conduct of monetary policy. Through econometric modeling we find that the variables that affect inflation expectations are: a) inflation target it is the most important variable, worked as anchor of expectations; b) past inflation; c) the product gap; d) exchange rate; e) international prices; and f) interest rate. Variables of fiscal policy do not seem to be important in the determination of inflation expectations. The third essay is once again dealing with the exchange rate, trying to understand the impact of the devaluation of the Real on corporate behavior. It is known that the impacts on economic activity of currency devaluation can be positive or negative. For firms, the benefit is given in terms of competitiveness, given the reduction in costs. But, if the firms have geared to the foreign currency debt, the devaluation may have more costs than benefits, given the restrictions on the performance of companies by market credit. This is the effect of balance sheet. This work comes to help in identifying the impact of these devaluations on the performance of the investments of Brazilian companies. Through microeconomic data, the results of the estimates can not conclude which of the two effects, balance sheet or competitiveness, is more important. Meanwhile, the separation of the sample in firms of different sizes shows an effect of balance sheet higher than the effect of competitiveness in the case of large firms.

The investor’s expectation is instinctively to be linked to the asset’s return by the finance experts and analysts. However why and how it affects the return are poorly understood and explained. Can the investor’s expectation really move the market? How much the influence does it have? This study looks at this well-known puzzle between real estate returns and investors’ expectations on rental income growth of real estate assets. Based on the theoretical model in this study, the questions whether, why and how the investors’ expected rental income growth has effects on the real estate returns are answered. The study focuses on both private and public real estate (REITs) returns and examines whether they can be explained by the facts in Hong Kong. 　　The theoretical model is derived from the Gordon Growth Model. The novelty of the model is to define the term structure of interest rate on the expected rental income. Empirically, the linkage between the two markets is identified through the REIT’s dividend, which is specified to be distributed from 90% of the real estate asset’s income. Under this specification, strong evidence is found for expected rental income growth predictive power. In this study, the relationship between the monthly end-of-period REIT’s return and monthly expected rental income growth of corresponded real estate asset is tested by panel model, which does the superb job in fitting both cross-sectional and time-varied return patterns of REITs. As the REITs in Hong Kong had just launched since the end of year 2005, the sample period of this study is from November, 2005 to April, 2010. Unlike the standard asset pricing model, this study adds the investor’s expectation as one of the factors which determine the REIT’s return to adjust the out-performance tendency of certain asset. 　　The study also confirms the hypothesis in private real estate market by finding that investors’ expectation on rental growth imposes a positive and significant impact on the real estate return in Hong Kong. The quarterly data series of macro-economic factors, such as Gross Domestic Production, Inflation rate, Interest rate, Employment rate are tested to confirm their effects on the real estate return together with the investor’s expectations on both future rental income and inflation. All four real estate sectors, including residential, office, retail and industrial property sectors, are inclusively tested in this study. 　　 For both private and public real estate markets in Hong Kong, the investor’s expectation has positive effects on the corresponding asset’s return. The evidence in this study shows that the change of investor’s expectation would cause positive change of REIT’s return. It reveals that the investors’ expectation plays a vital role in the movement of both private and public real estate markets. When most investors expect a tendency of increasing earning, the real estate return tends to rise with controlling of other economic factors. 　　Though the conclusion of this study is well-known and frequently used to explain or predict the movement of real estate market, the theory behind it is commonly ignored. This study looks deeper into it by improving Gordon Growth Model to capture the investor’s expected rental income growth without econometric forecasting or questionnaire investigation. The series derived in this study is more reliable with clear logic and theory, and confirmed by the facts in Hong Kong real estate market. The derivation and application of the investor’s expected income growth of certain asset will be helpful to provide insightful implications on future asset pricing, finance prediction and analysis.
published_or_final_version
Real Estate and Construction
Doctoral
Doctor of Philosophy

This study investigates the existence of the value premium in South Africa’s equity market, and tests extrapolation as a possible explanation for it. The value premium refers to the widely reported superior performance of share price returns of value companies compared to growth companies. The value premium represents an anomaly in mainstream rational finance theory, because it should not persist, unless it could be explained as the result of some composite form of risk. What is highly vexing is the fact that the value premium not only persists in most financial markets over a long period, but that the risk explanation cannot be upheld convincingly. This contributed to the rise of behavioral finance, an approach which introduces psychological factors to provide new explanations for financial phenomena. The behavioral finance explanation for the value premium observation is extrapolation (the tendency to project recent experience too far into the future). This study applies propositions and methods from behavioral finance to investigate the South African equity market. The existence of a value premium in South Africa was investigated by using twenty-nine years’ worth of accounting and share price data. The study employed one- and two-dimensional tests for portfolio formation, and tracked share price returns for up to five years after portfolio formation. The results indicated that a statistically and economically significant value premium existed in South Africa for the period between 1972 and 2001. Extrapolation as a potential explanation for the value premium observation was investigated by applying internationally used methods. Extrapolation was found to provide a robust explanation for the South African value premium.

The present doctoral thesis covers different aspects in the financial econometrics area. In particular, the research focuses on the heterogeneous agents in the market (rational and behavioural), the performance measures related to this type of agents and, more generally, the asset evaluation within a portfolio selection framework. Further, the time varying dependence among the financial markets is also considered. In general, the financial markets represent one of the main indicators for the dynamics of the business cycle as noted by Siegel (1991). Viceversa, Hamilton and Lin (1998), for example, found that economic recessions are the main factor that leads the fluctuations in the volatility of stock returns. Therefore, there is evidence for an interdependence relationship among the economic cycle and the financial markets. In this context, it is interesting to analyze the markets by looking at investors as decision makers in the asset selection process. Moreover, the time varying dependence among the financial markets could imply a change in the portfolio in term of diversification, with effects on investors' portfolios. The first chapter presents a rational learning model which considers the information coming to a HARA investor from a behavioural counterpart. The main goal is to investigate this component's effect, in terms of utility function, on asset evaluation during the allocation process. This heterogeneous framework has two types of agents with two different utility functions, a rational agent with a hyperbolic absolute risk aversion (HARA) utility function and the second with a general behavioural utility function. To compare the assets, each agent uses the concept of performance measure related to utility functions. The higher the measure, the higher the expected utility of a given asset. The HARA agent is a rational learner agent. The rational learning is defined as the process undertaken through Bayesian updating of the prior beliefs. The prior beliefs derive by the utility function of the rational agent and the updating process of beliefs takes place through the presence of the behavioural counterpart. The choice is conditioned by adopting an Herding behaviour, which is the tendency for an investor to abandon her own information to imitate the behaviour of other investors. Therefore, the rational investor is conditioning her choice towards behavioural investors to give rise to the positive feedback effect. This effect has been documented by Scharfstein and Stein (1990) on fund manager, Grinblatt et al. (1995) in mutual fund behaviour and by Devenow and Welch (1996) on forecasts made by financial analysts. The rational learner agent adopts a positive feedback strategy through herding behaviour to improve her investment. In this regard, the two components are blended in a Bayesian manner. The model is built analogously to Black-Litterman model to obtain the aggregated measure adjusted by a weighting factor. The goal in the application of the model is to check if the positive feedback effect exists. The work shows that conditioning the choice of the HARA investor towards a behavioural direction improves the selection amongst the assets. The empirical analysis is performed on all the assets present in the NASDAQ stock exchange from December 1989 to February 2012. This chapter is a solo paper. The second chapter declines with a different purpose the model developed in the first chapter. In this context, two categories of agents are considered, one rational with a risk adverse utility function and one with an S-shaped loss averse value function similar to Kahneman and Tversky (1979). Agents take investment decisions in the same way by ranking the alternative assets according to their performance measures. We assume that a type of agent is endowed with an S-shaped loss averse value function. This produces the intuitive and empirically validated prediction that the attitude of undertaking risky investments changes according to the fluctuations of the financial market. According to this assumption, in periods of (financial and economic) recession, financial agents are attracted by more risky investments that might generate, with some positive probability, returns that compensate previous (observed) losses. On the other hand, in periods of expansion, financial agents are more reluctant to undertake a risky investment that might reduce, with some positive probability, previous (observed) capital gains. In this chapter the model estimates the relative weight of the behavioural component in the financial market. The empirical analysis is based on monthly data on the components of the S&P 500 index from January 1962 to April 2012. The relative weight of the behavioural category over the rational's one has an intuitive explanation: the higher the value of the weighting factor, the higher is the weight of the behavioural component in the aggregated measure. The estimated value of the weighting factor is obtained by maximizing the cumulated return of the one hundred most performing assets of the mixture ranking. Intuitively, the weighting factor captures the extent to which the financial market should have moved from the ordering of the rational category to the ranking of the behavioural agents to maximize the return of the "best" one hundred assets. By choosing a selection of one hundred assets, we capture the systemic dimension of the financial market. The results confirm the existence of a significant behavioural component, which is more likely to emerge during recessions. A strong correlation emerges between the estimated relative weight series and the VIX index, which implies that the estimates substantially explain financial expectations. This is a joint paper with Professors Massimiliano Caporin and Luca Corazzini (University of Padova). The third chapter introduces a novel criterion for performance measure combination designed to be used as an equity screening algorithm. The combination criterion follows the general idea of linearly combining existing performance measures with positive weights. These weights are determined by means of an optimisation problem. The underlying criterion function explicitly takes into account the risk-return trade-off potentially associated with the equity screens, evaluated on a historical and rolling basis. By construction, and due to the rolling window evaluation approach, the methodology provides performance combination weights that can vary over time, thus allowing for changes in preferences across performance measures. The proposed approach is implicitly robust to the dynamic features of the returns densities, as these will affect the evaluation of performance measures that are the inputs of our screening algorithm. The final product of the linear combination of performance measure is a composite performance index, which can then be used to create asset screens. We present an empirical application that illustrates the use of the screening algorithm in a simplified portfolio allocation. This is a joint paper with Professors Monica Billio (Ca' Foscari University of Venice) and Massimiliano Caporin. The fourth chapter examines the financial contagion using a regime switching approach with vine copulas. Vine Copulas allows us to model easily a multivariate framework with the use of the pair-copula decomposition introduced by Aas et al. 2009). The marginals are modelled by the GARCH process with long memory volatility{in mean as introduced by Christensen et al. (2010). In particular, this model well captures the long{range dependence characterizing financial time series, allowing for asymmetric effects in the GARCH equation and for the news impact in the mean. Moreover, we decided to use Copula functions to model the dependence structure across variables. The final purpose is to use a long memory GARCH process to filter the marginal series and then to use a regime switching approach among different copula families to model the dependence structure. Diebold and Inoue (2001) highlight that these two approaches can lead to misleading results. In fact, long memory can easily be confused with structural changes and viceversa. In our case, we are looking at long memory and regime switching in a complementary way, since we use them on different dimensions. Vine Copula families are considered to build the multivariate dependence structure with Pair-Copula construction methodology (Aas et al., 2009). In the empirical analysis, we focus on the main European countries (Germany, France, Italy, Spain and Netherlands) to detect contagion (and financial integration). In the thesis, a preliminary version of the paper is included in which we filtered the series using the exponential GARCH process. This is a joint paper with Professor Bent Jesper Christensen (CREATES - Aarhus University).
La presente tesi di dottorato verte su alcuni aspetti di econometria finanziaria. In particolare, il lavoro si concentra sui diversi tipi di agente presenti nel mercato (razionale e comportamentale), sulle misure di performance legate a questo tipo di agenti e, più in generale, alla valutazione delle attività finanziarie per la selezione dei titoli di portafoglio. Siegel (1991) ha osservato come possono variare le dipendenze tra i diversi mercati finanziari nel corso del tempo. Si è visto che, generalmente, i mercati finanziari rappresentano uno degli indicatori principali nell'individuare la dinamica del ciclo economico. Viceversa, Hamilton e Lin (1998) hanno evidenziato come le recessioni economiche rappresentino il fattore principale nel determinare la volatilità dei rendimenti nei mercati azionari. Pertanto, esiste chiaramente un rapporto di interdipendenza tra ciclo economico e mercati finanziari. In questo contesto, risulta quindi interessante analizzare i mercati finanziari, dalla prospettiva dei diversi tipi di investitore, durante il processo di valutazione e selezione dell'attività finanziarie di portafoglio. Inoltre, l'analisi della dipendenza tra i vari mercati finanziari lungo la dimensione temporale permette di monitorare il rischio di portafoglio dell'investitore in termini di diversificazione. Il primo capitolo presenta un modello di apprendimento (rational learning) per l'investitore razionale che considera nella selezione dei titoli finanziari le informazioni provenienti da un investitore comportamentale. I due tipi di agente hanno due differenti funzioni di utilità: l'agente razionale è dotato di una funzione di utilità con avversione al rischio iperbolico (HARA) mentre l'altro agente di una funzione di utilità comportamentale generale introdotta da Zakamouline (2011). L'obiettivo principale del lavoro è quello di studiare l'effetto della componente comportamentale, espressa in termini di utilità, sulla valutazione delle attività finanziarie durante il processo di allocazione. Per valutare e ordinare queste attività, ogni agente utilizza il concetto di misura di performance legato alla propria funzione di utilità. Maggiore è il valore della misura, maggiore è l'utilità attesa di tale attività. L'agente HARA è un agente che effettua un apprendimento razionale (rational learning process), definito come il processo intrapreso da un'investitore razionale attraverso l'aggiornamento delle proprie belief (convinzioni) iniziali. Nel caso in esame, le belief a priori derivano dalla valutazione dei titoli finanziari attraverso la misura di performance definita dalla funzione di utilità dell'agente razionale. Il processo di aggiornamento di queste belief iniziali scaturisce dalla presenza della controparte comportamentale. L'investitore razionale in uenza la propria scelta adottando un herding behavior (comportamento imitativo), che rappresenta la tendenza di un investitore nel trascurare volontariamente le proprie informazioni per imitare il comportamento di altri investitori. Pertanto, l'investitore razionale condiziona la sua scelta verso gli investitori comportamentali al fine di dar luogo ad un effetto di feedback positivo (positive feedback). Questo effetto è stato documentato da Scharfstein e Stein (1990) sulla gestione dei fondi, Grinblatt et al. (1995) nel comportamento dei fondi comuni e da Devenow e Welch (1996) sulle previsioni degli analisti finanziari. Quindi, al fine di migliorare il proprio investimento, l'agente razionale adotta la strategia di feedback positivo attraverso l'herding behavior. Infatti, tenendo conto della presenza di altre tipologie di investitori, l'agente razionale agisce in modo più sofisticato rispetto alla propria condizione iniziale. Il meccanismo di apprendimento, ovvero come la componente razionale viene condizionata verso la componente comportamentale, è di tipo Bayesiano ed il modello è costruito in modo analogo al modello di Black-Litterman. La misura aggregata è ottenuta specificando un valore di ponderazione che definisce implicitamente il peso della componente comportamentale. L'analisi empirica mostra che il condizionamento dell'investitore razionale verso una direzione comportamentale fornisce un miglioramento nella scelta delle attività finanziarie in termini di rendimenti cumulati. Il campione considerato nell'analisi riguarda tutte i titoli azionari presenti nel mercato NASDAQ da dicembre 1989 a febbraio 2012. Questo capitolo è un lavoro a firma singola. Il secondo capitolo declina in modalità diversa il modello sviluppato nel primo capitolo. In questo contesto, vengono considerate due categorie di agenti: la prima categoria, razionale con una funzione di utilità avversa al rischio e la seconda, con una funzione di utilità a S (convessa nel dominio delle perdite e concava nel dominio dei guadagni) simile a Kahneman e Tversky (1979). Gli agenti prendono decisioni di investimento allo stesso modo, ordinando in termini di utilità le attività finanziarie in base alle loro misure di performance. Assumere che un tipo di un agente sia dotato di una funzione di utilità a S, mostra intuitivamente (ed empiricamente) che l'attitudine nell'intraprendere investimenti rischiosi cambia in base alle fluttuazioni del mercato azionario. Secondo questa ipotesi, in periodi di recessione (finanziaria ed economica), gli agenti finanziari sono attratti da investimenti più rischiosi, che possono generare, con una certa probabilità positiva, rendimenti che compensano le precedenti perdite osservate. Viceversa, in periodi di espansione, gli agenti finanziari risultano maggiormente riluttanti nel prendere posizione in investimenti rischiosi che potrebbero ridurre i guadagni precedentemente osservati. Il modello si propone di stimare il peso relativo della componente comportamentale nel mercato finanziario. L'analisi empirica si basa su dati mensili delle componenti dello S&P 500 da gennaio 1962 ad aprile 2012. Il peso della componente comportamentale rispetto a quella razionale indica che maggiore è il valore di tale fattore di ponderazione, maggiore è il peso che assume la componente comportamentale nella misura aggregata. La stima del fattore di ponderazione è ottenuta massimizzando il rendimento cumulato di cento titoli derivanti dalla misura aggregata. Intuitivamente, il fattore di ponderazione cattura la misura in cui il mercato finanziario dovrebbe essersi spostato dall'ordinamento ottenuto dalla funzione di utilità dell'agente razionale verso l'ordinamento ottenuto dalla funzione di utilità comportamentale, al fine di massimizzare il rendimento dei "migliori" cento titoli. La dimensione scelta per la selezione permette di catturare la componente sistemica del mercato azionario. I risultati confermano l'esistenza di una componente comportamentale significativa che risulta emergere durante le fasi di turbolenza del mercato. Infine, l'evidenza di una correlazione tra la serie del fattore di ponderazione e l'indice VIX, implica che il fattore stimato spiega sostanzialmente le aspettative finanziarie del mercato. Questo capitolo è a firma congiunta con i professori Massimiliano Caporin e Luca Corazzini (Università di Padova). Il terzo capitolo introduce un nuovo criterio per la combinazione delle misure di performance, costruito per essere utilizzato come algoritmo di screening su titoli finanziari. Il criterio di combinazione segue l'idea generale di combinare linearmente misure di performance esistenti in letteratura. Questi pesi vengono determinati attraverso un problema di ottimizzazione di combinazione convessa dei pesi di tali misure. La funzione del criterio di ottimizzazione tiene esplicitamente conto del trade-off rischio-rendimento. Gli asset vengono valutati su una finestra temporale costruita su base storica. Per costruzione, e per l'approccio di valutazione effettuato su una finestra temporale fissa, i pesi della combinazione delle misure stimate possono variare nel tempo, consentendo quindi cambiamenti nelle preferenze nelle misure di performance. L'approccio proposto è implicitamente robusto per le caratteristiche dinamiche della funzione di densità dei rendimenti e di come queste possono infuenzare la valutazione delle misure di performance (che rappresentano i valori di input dell'algoritmo di screening). Il risultato finale della combinazione lineare delle misura di performance è un indice composito, che può essere quindi essere utilizzato per creare screening sui titoli finanziari. Un'applicazione empirica illustra l'utilizzo dell'algoritmo di screening in un schema semplificato di allocazione di portafoglio. Il capitolo è a firma congiunga con professori Monica Billio (Università Ca 'Foscari di Venezia) e Massimiliano Caporin. Il quarto capitolo esamina il contagio finanziario utilizzando un approccio a cambio di regime (regime switching) basato sulle vine copula. Le vine copula permettono di operare facilmente in un contesto multivariato attraverso l'uso della decomposizione pair-copula (a copula bivariate), introdotto da Aas et al. (2009). Le serie degli indici finanziari (dette le marginali delle copula) sono modellate da processi GARCH a memoria lunga con la volatilità che entra nell'equazione delle media, Christensen et al. (2010). In particolare, questi modelli ben catturano la dipendenza lunga che caratterizza le serie finanziarie, consentendo inoltre effetti asimmetrici nell'equazione GARCH ed includendo l'impatto delle innovazioni nella media. Nel lavoro, le funzioni copula vengono utilizzate per modellare la struttura delle dipendenze tra i mercati finanziari. L'obiettivo del capitolo è quello di utilizzare il processo GARCH a memoria lunga per filtrare le serie marginali e successivamente utilizzare l'approccio a cambio di regime. Le diverse famiglie di copula utilizzate in ciascun regime, permettono di avere diverse strutture di dipendenza tra gli indici azionari nei regimi considerati. Diebold e Inoue (2001) hanno evidenziato come i processi a memoria lunga e a cambio di regime possano portare a risultati fuorvianti. Infatti, la memoria lunga può venire facilmente scambiata per dei cambiamenti strutturali nelle serie e viceversa. Nel nostro caso, la memoria lunga e il cambio di regime vengono utilizzati in modo complementare, dal momento che vengono applicate lungo diverse dimensioni; rispettivamente, univariata e multivariata. L'analisi empirica si concentra sui principali paesi europei (Germania, Francia, Italia, Spagna e Paesi Bassi), al fine di individuare contagio finanziario o integrazione finanziaria. Il capitolo rappresenta una versione preliminare del lavoro, dove gli indici azionari sono stati modellati mediante il processo esponenziale GARCH a memoria lunga (FIEGARCH). Lo studio è a firma congiunta con il professor Bent Jesper Christensen (CREATES - Università di Aarhus).

Mestrado em Marketing
A experiência televisiva em Portugal está a mudar. Com efeito, a passagem da era analógica para a era digital faz com que as potencialidades oferecidas pela televisão aproximem a experiência televisiva da navegação na Internet. A passagem para a era digital é marcada pelo switch-off da televisão analógica agendado, a nível europeu, para o ano de 2012. Este trabalho pretende por um lado, perceber quais serão as novas formas de consumo de televisão por parte dos telespectadores e por outro, tentar antecipar como é que as operadoras nacionais de televisão de sinal aberto poderão encontrar novas formas de financiamento num meio que, muito brevemente, será totalmente digital. Será também objecto de estudo, analisar o grau de conhecimento e de possível utilização das novas potencialidades associadas à TDT por parte dos telespectadores. Foram enviados questionários a decisores de operadoras nacionais de televisão de sinal aberto, de empresas de distribuição de conteúdos, de agências de publicidade e de anunciantes, obtendo-se uma amostra de 26 respondentes em 32 inquiridos. Com base na análise dos dados recolhidos, concluiu-se que é fundamental por um lado, integrar o telespectador na passagem para a era digital e por outro, conseguir que as operadoras nacionais de televisão de sinal aberto encontrem novas formas de aproveitamento do investimento publicitário. Uma conclusão importante deste trabalho é ter ficado claro que a grande arma das televisões para ultrapassar os desafios futuros se mantém quase inalterável: é o foco na produção, na criatividade, na inovação e na modernidade dos conteúdos.
Television in Portugal is under change. Digital is gaining momentum, allowing for an internet like experience and leaving the analogue era behind. In 2012 analogue will be switched-off Europe wide. This paper intends to understand new ways of consumption on behalf of viewers, if any, and to anticipate how Free-To-Air (FTA) national TV operators will be able to finance its operations, given that from production to reception everything will be digital. We will also analyse viewers' understanding of the Digital Terrestrial Television (DTT) and possible uses of the innovations associated. Questionnaires were sent to decision-makers of FTA national TV operators, to content distributors, advertising agencies, with a 26 response to 32 inquired. From the analysed data, we understand that it is essential to guide the viewer in the conversion from analogue to digital TV, and that FTA national TV operators find new means to benefit from advertising investment. It has also been made clear that TV operators' greatest asset hasn't changed; focus must be on production, creativity, innovation and novelty of content.

Vi lever i en föränderlig värld där aktiemarknaden är en komplex miljö. Att fatta välgrundande beslut på aktiemarknaden är svårt för investerare, som  därmed samlar in all den information som finns tillgänglig. Den redovisning och information som företag lämnar ifrån sig är utformad genom en avvägning mellan kostnader och nytta, som kallas Cost Constraint. Ytterligare en avvägning som företag använder sig av gällande upprättandet av redovisning är att inte ge ut för mycket information och därmed ”skydda” sig från konkurrenter. Studiens huvudsakliga syfte är att kartlägga och jämföra hur investerare och banker tar beslut baserat på den redovisning som företag publicerar, som kan vara påverkad av Cost Constraint. Vidare ämnar studien identifiera och beskriva de åtgärder som beslutsfattare tar för att skapa ett bättre beslutsunderlag. För att besvara studiens syfte och frågeställningar har vi använt oss av en deduktiv ansats och en kvalitativ forskningsstrategi. Urvalet till studien består av stora svenska företag, banker och investmentbolag samt privata investerare. Studien visar att begreppet Cost Constraint är okänt av aktörerna i studien men arbetssättet är väl känt. Studien är baserad på att kartlägga om avvägning gällande Cost Constraint påverkar de investerings- och beslutsprocesser som tas av investerare och banker. Studien visar att problematiken gällande avvägningarna som finns i företag är känt att investerare och banker. Resultatet från studien visar att dagens avvägningar inte påverkar investerare och banker negativt i deras investerings- och beslutsprocess, men respondenterna från de båda perspektiven påpekar vikten av att informationsskillnaden mellan företag och dess intressenter inte får bli för stor.
We live in a ever changing world where the stock market is a complex environment. To make informed decisions in the stock market is difficult for investors, and therefore they need to collect all available information. The accounting and information that companies relinquishes is formed by a balance between costs and benefits, which is called Cost Constraint. Another trade- off that companies use when they establish their accounting is to not give out too much information to " protect " themselves from competitors. The study's main purpose is to identify and compare how investors and banks take decisions based on the recognition that companies publish their accounting, which may be influenced by Cost Constraint. Furthermore, the study intends to identify and describe the actions that investors and bankers take to create a better basis for decisions. In order to answer the study's purpose and research questions, we used a deductive approach and a qualitative research approach. The sample for the study consists of large Swedish companies, banks and investment companies and private investors. The study shows that the concept of Cost Constraint is unknown by the participants in the study but the approach of Cost Constraint is well known. The study is based on mapping Cost Constraint and its affects on the investment and decision, taken by investors and banks. The study shows that the problem regarding the trade- offs performed by the companies, is known to investors and banks. Results from the study show that today's trade- offs will not affect investors and banks negatively in their investment process and decision making. The participants in the study point out the iv importance of the difference in information between the company and its stakeholders must not be to large.

Esta tese tem como objetivos: [i] estabelecer os fatores preponderantes para a decisão de investimentos em ativos capazes de gerar de renda mensal de longo prazo; [ii] desenvolver ferramentas de avaliação do investimento para auxiliar na tomada de decisão; e [iii] identificar as expectativas dos investidores, com o intuito de construir um conjunto de premissas para o desenvolvimento de produtos mais ajustados aos seus anseios. Isto é feito por meio de análise comparativa com outras oportunidades de investimento, que leva em conta as expectativas, o humor e as características culturais, racionais, emocionais do investidor e do ambiente externo que o cerca. Para isso é necessário ampliar o conhecimento no campo da análise do comportamento do investidor, com base em sua percepção e expectativas acerca da oportunidade de investimento para a geração de renda mensal de longo prazo (RMLP). É preciso conhecer melhor as raízes das necessidades, desejos e aspirações do ser humano, e da diversidade proveniente das características particulares de cada indivíduo que vive em uma sociedade moderna e organizada, em um mundo que está evoluindo muito rapidamente, com escassez de recursos naturais, de energia e que apresenta grandes mudanças na estrutura da sociedade, das ciências econômicas, do conhecimento e do trabalho, e que, em seu íntimo, busca a felicidade no que entende ser melhor, principalmente para si e para a sua família.
This thesis aims: [i] to establish the predominant factors in the decision-making of investment in assets capable of generating long-term income; [ii] to develop tools for evaluating the investment to assist in the decision-making, and [iii] to identify the expectations of investors, with the aim of building a set of assumptions for the development of products more tailored to their desires. This is done through comparative analysis with other opportunities for investment, which takes into account the expectations, mood, and cultural, rational, and emotional characteristics of the investor and the environment that surrounds him. To this end, it is necessary to expand the knowledge in the field of analysis of the investors behavior, based on his perception and expectations about the investment opportunity for the generation of \"long-term monthly income\" (RMLP). We need to understand better the roots of the needs, desires, and aspirations of human beings, and diversity resulting from the particular characteristics of each individual who lives in a modern and organized society, in a world that is evolving very quickly, with scarcity of natural resources and energy, and that presents great changes in the structure of society, of economic sciences, knowledge and work, and who at his core, seeks the happiness in what he thinks is best, especially for himself and his family.

Sur fond d’incertitude radicale, les entrepreneurs ne peuvent s’en remettre à un calcul précis de rentabilité. Pour les anticipations d’investissement, ils ont recours à leurs esprits animaux, c’est-à-dire un jugement analogique instinctif sur le futur associé à une décision émotionnelle automatique par rapport à lui en fonction de motivations. La notion remonte à l’Antiquité. Elle était synonyme d’influx nerveux. Si l’on interroge les neurosciences d’aujourd’hui, ce sont les marqueurs somatiques qui l’éclairent. Nos émotions servent à arrêter la réflexion, restreindre l’espace des possibles et valoriser certaines options. Elles contribuent à l’intelligence de nos décisions. C’est l’excès, de cognition ou d’émotion, qui est à éviter. Les émotions servent également à réviser ou renforcer nos croyances. Par leur mouvement propre, elles peuvent créer des cycles, ce que nous proposons d’appeler « le paradoxe de la confiance ». Une confiance élevée prépare le terrain de la chute future. À l’inverse, une confiance basse met peu à peu en place les conditions du retournement de conjoncture. Notre travail propose une analyse du raisonnement inductif en économie, à l’origine de l’élaboration de scénarios anticipatifs. Le capital culturel et symbolique semble également orienter les esprits animaux. Notre enquête empirique établit l’existence d’un lien entre capital culturel et prise de risque. Elle dessine aussi une typologie des esprits animaux à même de saisir l’hétérogénéité des entrepreneurs. 11 familles sont dégagées, en fonction de leurs motivations, émotions, capitaux culturels, comportements d’investissement et scénarios anticipatifs privilégiés
In a background of fundamental uncertainty, entrepreneurs cannot rely on a precise calculus of profitability. For their investment expectations, they have to lean on their animal spirits, that is an analogical, instinctive judgment about the future associated with an automatic emotional decision under the guidance of motivations. The notion traces back to the Ancient times. She was then synonymous with “nerve impulse”. Nowadays, if one probes neuroscience, it appears that somatic markers could shed some light on them. Emotions are useful to stop thoughts, restrict the states of nature and value certain options. They contribute to the intelligence of decisions. It is the excess, be it of cognition or emotion, that is detrimental. Emotions also serve to update or strengthen our beliefs. By their own momentum, they can create cycles, which I propose to dub “the confidence paradox”. When confidence is high, the terrain for the future fall is being prepared. Conversely, when it is low, little by little the conditions for a reversal are being staged. Our work proposes an analysis of inductive reasoning responsible for the elaboration of anticipative scripts. Cultural and symbolic capital also appears to come into play. Our empirical inquiry establishes a link between cultural capital and risk-taking. It outlines as well a clustering of animal spirits so as to grasp the heterogeneity of entrepreneurs. 11 different sorts are outlined and sorted by their motivations, emotions, cultural capital, investment behaviors and preferred anticipative scripts

The recent rise in the importance of the Indian stockmarket as an avenue of investment for the household sector and a source of funds for corporations provided the primary motivation for this research effort: an investigation into the informational efficiency of the Madras Stock Exchange, one of the four major stock exchanges in India. A stockmarket is informationally efficient if expectations formation in the market is characterised by the rational expectations hypothesis. Direct observations of share price expectations, specifically collected for the purposes of this thesis, are used in the analysis to obviate inference problems associated with typical stock market informational efficiency test procedures. In general it is found that informational efficiency is not an appropriate characterisation of expectations formation in the market and that traders rely on rules of thumb to generate stock price forecasts. As such it is unlikely that the kind of speculative behaviour witnessed in the Indian stockmarket in the last 150 years can be entirely explained by expectations revision that correctly reflects the implications of major information changes. It is recognised that the structure of incentives faced by stock traders are such that it may not be worth their while to refine their forecasting procedures. Essentially as starting hypotheses to build further on the results presented in this thesis, the existing regulations and institutional arrangements in the Indian stockmarket are examined to see what form public intervention should take in order to make the market more informationally efficient.

Thesis (Ph.D.)--York University, 2006. Graduate Programme in Business Administration.
Typescript. Includes bibliographical references (leaves 179-188). Also available on the Internet. MODE OF ACCESS via web browser by entering the following URL: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:NR29527

We investigate the use of market-based expectations to test the CAPM and the conditional CAPM using a generalised method of moments framework. This method is valid under much weaker distributional assumptions and provides the procedure with robustness that commonly employed tests lack. Expected returns are derived from projected price levels of individual securities that are supplied in the form of twelve{u00AD}month consensus (median) target price forecasts. The annual forecasts, updated each month, are combined with dividend expectations to calculate the necessary time series of continuous expected returns. As such, we are able to avoid the use of instrumental variable models that, we argue, are likely to suffer from overfitting data concerns. In fact, we find that expected returns estimated from analyst data, while certainly not perfect, provide a better fit in comparison to the existing instrumental variable models. In considering the testable implication of the model via a vector of orthogonality conditions, we find that using market-based expectations to test the CAPM directly leads to a rejection. Overall, the CAPM tends to underestimate returns, producing pricing errors that are large, positive and statistically significant. Our results link in with the existing asset pricing literature that also attempts to apply forward-looking data derived from analyst forecasts. The conditional CAPM, a model that benefits from time-varying parameters that are updateable in accordance with changes to the information set, is also rejected. Market based expectations are used to parameterise the marginal rate of substitution. While the results of our tests of the conditional CAPM indicate that the model is able to perform better than those reported in previous studies, it continues to consistently underestimate returns in contravention to the null hypothesis. This indicates that the market, as the sole risk factor of the model, is not enough to explain the variation of returns across assets. While beta-risk may be priced, the CAPM may not account for all priced risk factors.

D.Econ.
Uncertainty is an element that pervades the very existence of man. As one moves through time, almost every decision that one takes is associated with some degree of uncertainty. As one departs from one moment in time to another, one's journey comprises choices and expectations relating to all matters of life. A choice is made when one decides to adopt one or more courses of action from a set of available alternatives. The uncertainty associated with each decision is not merely whether or not the correct choice was made, but more in terms of whether or not the expected outcome will be realised. The time between the moment a decision is made and the future moment in which the outcome is expected to be realised, is permeated with the essence of uncertainty.

Defence date: 16 June 2006
Examining board: Pierre-Marie Dupuy (Supervisor, Professor of International Law, EUI) ; Ernst-Ulrich Petersmann (Prof. of International and European Law, EUI) ; Emmanuel Gaillard (Prof. of Private International Law and International Arbitration, University of Paris XII) ; Andrea Giardina (Prof. of International Law, University of Rome "La Sapienza)
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
The treatment of foreign investors and of their investments on the territory of a host State is often subject to a bilateral investment treaty (BIT) signed by the national State of the investors and the host State. These BITs usually contain a clause in which the two States offer fair and equitable treatment (FET) to the foreign investors on their territory. Moreover, this clause has become a norm of customary law, implying that investors may rely on it even outside the context of the BIT. Foreign investors whose rights under this clause have not been respected may bring the State in front of an international tribunal. This dissertation analyses not only the conventional and customary framework se the FET clause but also its scope and all its applications in the existing case law. This dissertation tackles the standard of fair and equitable treatment by applying four conceptual frames: the legal basis of FET, its nature as a standard, its content and finally the implications of its breach. The first two chapters explore the two classical sources of international law as possible sources for FET. The main sources of FET lie in a rich conventional framework, mainly bilateral and regional. Yet the high number of BITs does not appear to offer a uniform model of FET clauses, quite the opposite; the book offers a classification of the FET clauses found in more than 400 BITs. Having concluded that the conventional framework is essential to FET, the dissertation turns to the examination of the possible customary character of FET and argues that the view equating FET with the International Minimum Standard is erroneous and it limits the scope of FET. Alternatively, it suggests that the FET standard is an independent standard of customary nature. Then the dissertation looks at the nature of FET, that of being a standard and retains three direct consequences for its meaning: its flexibility, the absence of a fixed content and its evolutionary character. With these three characteristics in mind, it proceeds to the third conceptual framework, the content of FET. Although no fixed content may be given to it, it identifies and develops each one of those situations in which the FET standard has already been applied. Finally, the last conceptual framework aims at discussing the final act of a FET claim, i.e. the amount of compensation awarded. It argues that FETis a standard which balances the interests and behaviours of both the States and the investors, at the stage of compensation.

Defence date: 22 April 2002
Examining board: Prof. Daniel Verdier (supervisor, EUI) ; Prof. Colin Crouch (EUI) ; Prof. Raymund Werle (MPIfG, Köln) ; Prof. Philipp Genschel (Int. Univ. Bremen)
PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017

For more than three decades, the World Economic Forum’s annual Global Competitiveness Reports have studied and benchmarked the many factors underpinning national competitiveness. The quality of higher education and training is considered particularly crucial to ensure national competitiveness. The globalizing economy requires countries to nurture pools of well-educated workers who are able to perform complex tasks and adapt rapidly to their changing environment and the evolving needs of the economy. Vocational and continuous on-the-job training and the constant upgrading of workers’ skills is critical to sustain the economical status of the country. Despite the acknowledgement that education, training and development (ETD) is a key driver for a country's economical sustainability and growth, the contributions that companies make to this effect are a concern. This is ascribed to the difficulties experienced in companies regarding the management of ETD. In this study it is postulated that communication problems are at the heart of the challenges which are experienced in managing ETD. Strategic conversation is proposed as one of the methods to address the communication and performance shortcomings experienced by business and ETD managers. It is argued that if the level of conversations is raised to make them strategic, the potential to optimise results and make an impact at organisational and national level is increased. Hence, the purpose of this study was to propose a Strategic ETD Conversation (SETDC) model to optimise Return on Occupational Training Expectations (ROTE) that would contribute towards the achievement of organisational and national strategic goals. In lieu of the limited empirical research available on the strategic conversation phenomenon in general, the purpose of this study was inter alia to conduct empirical research to explore the essence of strategic ETD conversations in order to propose a model of practical value to ETD managers. Hence, the empirical research was situated in both an explorative paradigm and a pragmatic paradigm with the aim to provide practical solutions and an instrument to successfully engage in strategic ETD conversations which would enhance the quality of ETD and thus contribute to global competitiveness.
Educational Leadership and Management
D. Ed. (Education Management)

Asset prices are forward looking. Therefore, expectations play a central role in shaping asset prices. In this dissertation, I challenge the rational expectation assumption that has been influential in the field of asset pricing over the past few decades. Different from previous approaches, which typically build on behavioral theories originated from psychology literature, my approach takes data on subjective beliefs seriously and proposes empirically grounded models of subjective beliefs to evaluate the merits of the rational expectation assumption. Specifically, this dissertation research: 1). collects and analyzes data on investors' actual subjective return expectations; 2). builds models of subjective expectation formation; 3). derives and tests the models' implications for asset prices. I document the results of the research in two chapters. In summary, the dissertation shows that investors do not hold full-information rational expectations. On the other hand, their subjective expectations are not necessarily irrational. Rather, they are bounded by the information environment investors face and reflect investors' personal experiences and preferences. The deviation from fully-rational expectations can explain asset pricing anomalies such as cross-sectional anomalies in the U.S. stock market. In the first chapter, I provide a framework to rationalize the evidence of extrapolative return expectations, which is often interpreted as investors being irrational. I first document that subjective return expectations of Wall Street (sell-side, buy-side) analysts are contrarian and counter-cyclical. I then highlight the identification problem investors face when theyform return expectations using imperfect predictors through Kalman Filters. Investors differ in how they impose subjective priors, the same way rational agents differ in different macro-finance models. Estimating the priors using surveys, I find Wall Street and Main Street (CFOs, pension funds) both believe persistent cash flows drive asset prices but disagree on how fundamental news relates to future returns. These results support models featuring heterogeneous agents with persistent subjective growth expectations. In the second chapter, I propose and test a unifying hypothesis to explain both cross-sectional return anomalies and subjective return expectation errors: some investors falsely ignore the dynamics of discount rates when forming return expectations. Consistent with the hypothesis: 1) stocks' expected cash flow growth and idiosyncratic volatility explain significant cross-sectional variation of analysts' return forecast errors; 2). a measure of mispricing at the firm level strongly predicts stock returns, even among stocks in the S&P500 and at long horizon; 3). a tradable mispricing factor explains the CAPM alphas of 12 leading anomalies including investment, profitability, beta, idiosyncratic volatility and cash flow duration.

Defence date: 6 February 2014
Examining Board: Professor Emeritus Ernst-Ulrich Petersmann, European University Institute (Supervisor); Professor Emeritus Francesco Francioni, European University Institute; Professor Markus Ghering, University of Cambridge; Professor Andreas Ziegler, University of Lausanne.
First made available online 17 May 2019
This thesis seeks to determine whether the evolution of international law has allowed for the concept of cultural genocide to be addressed in spite of its non-codification. It firstly provides an assessment of the evolution of the concept of cultural genocide, from a technique to a process of genocide, also known as 'ethnocide'. Acknowledging that the codification of the concept is unlikely in the future, it therefore undertakes a study of the evolution of international law with regard to the main components of the concept, namely genocide, culture and group. The evolution of the legal concept of 'genocide' raises the question of the interpretation of the international definition of genocide, which is enshrined in the 1948 Convention on the Prevention and Punishment of the Crime of Genocide, so as to encompass instances of cultural destruction. The state of international and domestic judicial practice illustrates the limits of an evolutionary interpretation. In contrast, international law has evolved considerably in relation to the protection of some groups and their culture, so that customary international law, and especially international human rights law, may be deemed to prohibit group cultural destruction and consequently entail State responsibility. The thesis argues that this evolution could ground the articulation of an international law-based approach to the concept of cultural genocide both by allowing for its criminalisation through the crime against humanity of persecution and by providing tools for a stronger framework of State responsibility, especially in the context of genocide prevention. Furthermore, this approach would give rise to the possibility of further conceptualising reparation for the intended cultural damage. Against this background, the thesis firstly draws conclusions as to the irrelevance of enclosing the debate exclusively at the level of the genocide legal framework and, secondly, as to the relevance of cultural genocide as a 'paralegal concept', an understanding which would drive the interpretation of international legal norms, especially in cases involving indigenous peoples' cultural harm.

The concept of legitimate expectations plays a significant role in international investment law. Although it is only in the past roughly fifteen years that the concept has come to the spotlight, its importance and utilization is on the rise. Generally speaking, the concept of legitimate expectations, under certain conditions, allows a foreign investor to claim compensation in situations where the conduct of a host State creates a legitimate and reasonable expectation that the investor may rely on such conduct, and consequently the host State fails to fulfill those expectations, causing damages to the investor. However, the concept of protection of legitimate expectations has stirred up debates as to the legitimacy of its use in investment law and raised concerns due to its imprecise boundaries and excessively extensive interpretation. Accordingly, it is the goal of this thesis to either confirm or refute two main propositions. The first proposition suggests that the principle of protection of legitimate expectations is an established principle of investment law with traceable origins in both domestic law and general international law. The examination of the first proposition addresses theoretical roots of the concept of legitimate expectations justifying its application in investment law together...

碩士
國立高雄應用科技大學
資訊管理系碩士在職專班
99
IPTV has already been a futuring product of Digital Convergence and become more influential and more important through much applying and research in many countries. Basically, IPTV supports digital signal, as now, the cable TV support just analog quality which the customer own, then, the majority of TV customer are not the IPTV customer. The president, Mr. Ma Ying-jeou, announced that next year (2012) will be the original year of digitalization, and the NCC (National Communications Commission) has made a schedule of eintiring digitalized through Taiwan in the year 2013. IPTV will be an important issue of its applying, and this research`s analysis is about the factors of persist using of IPTV. Chung-hwa Telecom is the biggest enterprise that supports the IPTV in Taiwan. In 2011, the amounts of CHT’s members are over 800,000. They are supposed to be powerful representatives of IPTV. It’s very reliable to make a research to them to find the potential ability of IPTV in Taiwan. Besides, CHT’s MOD of IPTV has operated for 7 years, the programming and marketing modification of CHT will support the researchers a chance to study. This research, as the customers of MOD of CHT as the sample, apply satisfaction; ETC theory; invest model by Rusbult, to make an empirical research by questionnaire survey to study the factors of continuing use of IPTV. The tools were used in this research are: PLS(Partial Least Squares)、SPSS. The results as follows: Satisfation, reconition value, and invest scale are remarkable influenced to persistenet using of IPTV. Finally, I hope the results are helpful to the investigation of IPTV’s market. It also donate references and suggestions to the operating company of IPTV.