Rozprawy doktorskie na temat „Cross-sectional Regression”

Drinking groundwater is the primary way humans accumulate arsenic. Chronic exposure to inorganic arsenic (iAs) (over decades) has been shown to be associated with multiple health effects at low levels (5-10 ppb) including: cancer, elevated blood pressure and cardiovascular disease, skin lesions, renal failure, and peripheral neuropathy. Using hypertension (or high blood pressure) as a surrogate marker for cardiovascular disease, we examined the effect of iAs alone and in a mixture with other metals using a cross-sectional study of adults in United States (National Health and Examination Survey, NHANES, 2005-2010) adjusting for covariates: urinary creatinine level (mg/dL), poverty index ratio (PIR, measure of socioeconomic status, 1 to 5), age, smoking (yes/no), alcohol usage, gender, non-Hispanic Black, and overweight (BMI>=25). A logistic regression model suggests that a one-unit increase in log of inorganic arsenic increases the odds of hypertension by a factor of 1.093 (95% Confidence Interval=0.935, 1.277) adjusted for these covariates , which indicates that there was not significant evidence to claim that inorganic arsenic is a risk factor for hypertension. Biomonitoring data provides evidence that humans are not only exposed to inorganic arsenic but also to mixtures of chemicals including inorganic arsenic, total mercury, cadmium, and lead. We tested for a mixture effect of these four environmental chemicals using weighted quantile sum (WQS) regression, which takes into account the correlation among the chemicals and with the outcome. For one-unit increase in the weighted sum, the adjusted odds of developing hypertension increases by a factor of 1.027 (95% CI=0.882,1.196), which is also not significant after taking into account the same covariates. The insignificant finding may be due to the low inorganic arsenic concentration (8-620 μg /L) in US drinking water, compared to those in countries like Bangladesh where the concentrations are much higher. Literature provides conflicting evidence of the association of inorganic arsenic and hypertension in low/moderate regions; future studies, especially a large cohort study, are needed to confirm if inorganic arsenic alone or with other metals is associated with hypertension in the United States.

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Esta dissertação propõe modelos parcimoniosos para tarefas de regressão e classificação em conjuntos de dados exclusivamente seccionais, mantendo-se a hipótese de amostragem aleatória. Os modelos de regressão são lineares, estimados por Mínimos Quadrados Ordinários resolvidos pela Decomposição QR, apresentando solução única sob posto cheio ou não da matriz de regressores. Os modelos de classificação são não lineares, estimados por Máxima Verossimilhança utilizando uma variante do Método de Newton, nem sempre apresentando solução única. A parcimônia dos modelos de regressão é fundamentada na prova matemática de que somente agregará acurácia ao modelo o regressor que apresentar módulo da estatística de teste, em um teste de hipótese bicaudal, superior à unidade. A parcimônia dos modelos de classificação é fundamentada em significância estatística e embasada intuitivamente no resultado teórico da existência de classificadores perfeitos. A Programação Genética (PG) realiza o processo de evolução de modelos, explorando o espaço de busca de possíveis modelos, constituídos de distintos regressores. Os resultados obtidos via Programação Genética Econométrica (PGE) – nome dado ao algoritmo gerador de modelos – foram comparados aos proporcionados por benchmarks em oito distintos conjuntos de dados, mostrando-se competitivos em termos de acurácia na maior parte dos casos. Tanto sob o domínio da PG quanto sob o domínio da econometria, a PGE mostrou benefícios, como o auxílio na identificação de introns, o combate ao bloat por significância estatística e a geração de modelos econométricos de elevada acurácia, entre outros.<br>This dissertation proposes parsimonious models for regression and classification tasks in cross-sectional datasets under random sample hypothesis. Regression models are linear in parameters, estimated by Ordinary Least Squares solved by QR Decomposition, presenting a unique solution under full rank of the regressor matrix or not. Classification models are nonlinear in parameters, estimated by Maximum Likelihood, not always presenting a unique solution. Parsimony in regression models is based on the mathematical proof that accuracy will be added to models only by the regressor that presents a test statistic module higher than a predefined value in a two-sided hypothesis test. Parsimony in classification models is based on statistical significance and, intuitively, on the theoretical result about the existence of perfect classifiers. Genetic Programming performs the evolution process of models, being responsible for exploring the search space of possible regressors and models. The results obtained with Econometric Genetic Programming – name of the algorithm in this dissertation – was compared with those from benchmarks in eight distinct cross-sectional datasets, showing competitive results in terms of accuracy in most cases. Both in the field of Genetic Programming and in that of econometrics, Econometric Genetic Programming has shown benefits such as help on introns identification, combat to bloat by statistical significance and generation of high level accuracy models, among others.

The reunification of West Germany and East Germany occurred in 1990 and had a great impact on the country. This essay investigates the impact that reunification had on the poverty structure of West Germany on the long-run. The results indicate that reunification had a negative impact on poverty since it increased the poverty rate by 4.88 percentage point in 2000 and by 6.16 percentage point in 2005. The structure of the poor population slightly changed the year following the reunification. Five years later, the structure of the poor population was similar to what it was before the reunification. However, during this period, the income transfer became more efficient since it decreased poverty by 6 percentage point to 16 percentage point more after reunification than it used to do before.

Dengue, a group of four similar viruses transmitted through the bite of a mosquito, is estimated to infect upwards of 100 million annually in over 100 nations throughout the global equatorial belt. Distribution of global dengue is highly skewed as Southeast Asian and Western Pacific regions endure 75% of the global dengue burden. Similar to other regional countries, Malaysia has been rapidly urbanizing, which has supported a hyperendemic dengue state. The biological pathway by which dengue infection causes a wide range of clinical manifestations, spanning asymptomatic to life-threatening severe complications, is not comprehensively understood. Historically, severe dengue complications have primarily occurred in children. Consequentially, the majority of the dengue biological pathway research has been conducted on children; however, extrapolation of research findings to adults may be inappropriate as dengue manifestations have differed between age groups. As developing countries undergo epidemiologic transitions and dengue continues to spread geographically to non-endemic regions, youth and adult populations have been subjected to more of the severe dengue burden. Epidemiology and laboratory-based evidence has supported both memory T-cell and antibody independent enhancement hypotheses to explain the biological pathway of severe dengue. Both hypotheses employ the central idea that a primary infection alters immune components so that during a secondary heterotypic dengue infection, an individual is more at risk for severe complications. Monocytes, immune cells that are pivotal in both hypotheses, have been highly examined through in vivo and in vitro experimentation; however, epidemiological evidence for monocyte involvement is incomplete. The primary objective of the study was to examine if a difference in absolute monocyte count, considering independent risk factors, is present in individuals with primary and secondary dengue infections. A secondary dengue infection was found to raise absolute monocyte count during the defervescence phase of dengue illness in individuals aged 15 years and older 0.71 ± 0.15 (x10^9) compared to those experiencing primary dengue infection. Gender and distance of study participants' residences from Hospital Ampang were found to be risk factors for the relationship of interest; whereas, age and race were not found to be significant risk factors. The study helps expand current knowledge of the severe dengue biological pathway with respect to immunological differences between primary and secondary dengue infections. Further research is needed to confirm and expand the findings of this initial study, specifically to include infecting dengue serotype, education, and socioeconomic status which are known dengue risk factors.

China's rapid economic growth and the development of its domestic stock market have attracted considerable attention from foreign investors. China's economic financial expansion, however, has emerged from an environment of state planning and radical socialist ideology. With a view of providing investors with a better understanding of the risk and return relationship in the Chinese A-share market over the past decade, this thesis adapts several empirical models to the circumstances in China and conducts four empirical analyses. First, in order to rationalize foreign investors' entry into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

China's rapid economic growth and the development of its domestic stock market have attracted considerable attention from foreign investors. China's economic financial expansion, however, has emerged from an environment of state planning and radical socialist ideology. With a view of providing investors with a better understanding of the risk and return relationship in the Chinese A-share market over the past decade, this thesis adapts several empirical models to the circumstances in China and conducts four empirical analyses. First, in order to rationalize foreign investors' entry into the A-share market, the thesis compares the diversification benefits in three China-related stock markets, namely the A-share, the B-share and the H-share markets in a mean-variance framework using daily, weekly and monthly data respectively. The results suggest that of the three stock markets, the B-share market generates the highest average annual returns while the A-share market has the most significant diversification benefits regardless of whether the analysis is undertaken implementing a traditional mean-variance framework or a downside risk framework. Next, an empirical analysis using the Fama and MacBeth two-pass procedure is undertaken to test the relationship between beta, firm factors and stock returns. Similar to the findings in other stock markets, the results of this analysis show that the static betas for individual stocks fail to capture variation in stock returns in the A-share market. In contrast, the effects of book-to-market and trading volume are significant in the sample period. However, the fact that none of these factors have a persistent role in explaining stock returns suggests a possible change in the investment philosophy of Chinese domestic investors over the past decade. In the third analysis, two global betas are incorporated into the cross-sectional regressions in a bid to examine the integration or segmentation of the A-share market with the world and Hong Kong stock markets. Specifically, both time-varying betas and static betas are used in the analysis. The results suggest that there is no beta effect and the A-share marke t is totally segmented from both the world and Hong Kong stock markets. Finally, when the segmentation and integration status of the A-share market is further examined using the Maximum Likelihood Estimation framework without beta estimation and the assumption of a linear relationship between beta and stock returns, the findings suggest that the A-share market is becoming increasing integrated with the B-share and the Hong Kong stock markets.

Doctor of Philosophy<br>Department of Civil Engineering<br>Sunanda Dissanayake<br>Lane-departure crashes are the most predominant crash type in Kansas which causes very high number of motor vehicle fatalities. Therefore, the Kansas Department of Transportation (KDOT) has implemented several different types of countermeasures to reduce the number of motor vehicle fatalities associated with lane-departure crashes. This research was conducted to estimate the safety effectiveness of commonly used lane-departure countermeasures in Kansas on all crashes and lane-departure crashes using Crash Modification Factors (CMFs). Paved shoulders, rumble strips, safety edge treatments and median cable barriers were identified as the commonly used lane-departure countermeasures on both tangent and curved road segments while chevrons and post-mounted delineators were identified as the most commonly used lane-departure countermeasures on curved road segments. This research proposes a state-of-art method of estimating CMFs using cross-sectional data for chevrons and post-mounted delineators. Furthermore, another state-of-art method is proposed in this research to estimate CMFs for safety edge treatments using before-and-after data. Considering the difficulties of finding the exact date of implementation of each countermeasure, both cross-sectional and before-and-after studies were employed to estimate the CMFs. Cross-sectional and case-control methods, which are the two major methods in cross-sectional studies were employed to estimate CMFs for paved shoulders, rumble strips, and median cable barriers. The conventional cross-sectional and case-control methods were modified when estimating CMFs for chevrons and post-mounted delineators by incorporating environmental and human behaviors in addition to geometric and traffic-related explanatory variables. The proposed method is novel and has not been used in the previous cross-sectional models available in the literature. Generalized linear regression models assuming negative binomial error structure were used to develop models for cross-sectional method to estimate CMFs while logistic regression models were used to estimate CMFs using case-control method. Results showed that incorporating environmental and human-related variables into cross-sectional models provide better model fit than in conventional cross-sectional models. To validate the developed models for cross-sectional method, mean of the residuals and the Root Mean Square Error (RMSE) were used. For the case-control method, Receiver Operational Characteristic (ROC) was used to evaluate the predictive power of models for a binary outcome using classification tables. However, it was seen that the case-control method is not suitable for estimating CMFs for all crashes since the range of the crash frequency is wide in each road segment. A regression-based method of estimating CMFs using before-and-after data was proposed to estimate CMFs for safety edge treatments. This method allows researchers to identify the safety effectiveness of an individual CMFs on road segments where multiple treatments have been applied at the same time. Since this method uses road geometric and traffic-related characteristics in addition to countermeasure information as the explanatory variables, the model itself would be the Safety Performance Function (SPF). Therefore, developing new SPF is not necessary. Finally, the CMFs were estimated using before-and-after Empirical Bayes method to validate the results from the regression-based method. The results of this study can be used as a decision-making tool when implementing lane-departure countermeasures on similar roadways in Kansas. Even though there are readily available CMFs from the national level studies, having more localized CMFs will be beneficial due to differences in traffic-related and geometric characteristics on different roadways.

<p>The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama & French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different countries than US, however more out-of-sample studies need to be conducted.</p><p>To our knowledge there are very few studies using the Swedish data and this thesis contributes to that small pool of studies. Moreover, the studies testing the CAPM use the unconditional version of the model. There are some papers suggesting the use of a conditional CAPM that would exhibit better explanatory powers than the unconditional CAPM. Different ways of conditioning the CAPM have been proposed, but one that we think is the least complex and possible to make use of in the business world is the dual-beta model. This conditional CAPM assumes a different relationship between beta and stock returns during the up markets and down markets. Furthermore, the model has not thoroughly been tested outside the US. Our study is the first to use the dual-beta model in Sweden. In addition, the momentum effect has lately been given some attention and Fama & French‟s (1993) three factor model has not been able to explain the abnormal returns related to that anomaly. We test the Fama & French three factor model, CAPM and Carhart‟s four factor model‟s explanatory abilities of the momentum effect using Swedish stock returns. Ultimately, our aim is to find the best model that describes stock return cross-section on the Stockholm Stock Exchange.</p><p>We use returns of all the non-financial firms listed on Stockholm Stock Exchange between September, 1997 and April, 2010. The number of companies included in our time sample is 366. The results of our tests indicate that the small firm effect, book-to-market effect and the momentum effect are not present on the Stockholm Stock Exchange. Consequently, the CAPM emerges as the one model that explains stock return cross-section better than the other models suggesting that Beta is still a proper measure of risk. Furthermore, the conditional version of CAPM describes the stock return variation far better than the unconditional CAPM. This implies using different Betas to estimate risk during up market conditions and down market conditions.</p>

<p>Small firms often have inadequate access to the capital necessary for sucessful management. The Swedish Government introduced in the mid-1990s allowance rules that facilitate retention of profit for sole proprietorships and partnership firms. The tax credits arising from the allowances give certain benefits as a source of financing compared to traditional forms of credits. Among the more essential benefits are that the payment for some parts of the tax credit can be put on hold almost indefinitely, or alternatively never be paid. The firms are free to use these means, and the responsibility of future payment of the postponed tax debt stays with the individual firms. The comprehensive purpose of the dissertation may be stated as to increase the understanding of small Swedish firms, especially sole proprietorships, utilizing possibilities for allowances for income smoothing and internal financing. At the beginning the dissertation describes case studies, comprising a smaller selection of microfirms. With a starting-point from the accounted and reported income-tax returns, alternative calculations are made where additional positive tax and finance effects appear possible to obtain. One purpose of these studies is to increase the insight regarding the possibilities of income smoothing and internal financing that arise from utilizing these allowances. </p><p>These studies also illuminate, to what extent and in what way they are being used in reality. Another objective of these studies is to give a more substantive insight into the technics behind the different allowances, appropriation to positive or negative interest rate allocation appropriation or dissolving of tax allocation reserve appropriation or dissolving of “expansion fund” Theories regarding the creation of resources, through building of capital, and theories on financial planning and strategy are studied. The purpose is to find support for the choice of theoretical grounded underlying independent variables that can be used in cross-sectional studies to explain the use of the possibilities of appropriations. Theories of finance that are of greatest interest, in the operationalisation of these variables, are theories that discuss the choices of different financing alternatives for small firms. The “pecking order theory”, describes the firm’s order of priority when choices of finance alternatives are made. The concept of “financial bootstrapping” expands the frame for different forms of financing choices that especially very small firms have at their disposal.</p><p>The last part of the theoretical frame deals with the phenomenon of “income smoothing,” which can be translated as leveling out profits/losses. A number of financial and non-financial variables are supported by and operationalised from these financial theories e.g., return on sales, capital turnover, quick ratio and debt-to-equity ratio, respectively age, gender and line of business. Cross-sectional studies are implemented for the taxation years of 1996 and 1999, on databases that have been extracted from Statistics Sweden. The group of 87,276 sole proprietorships included in the study were required to complete tax returns and pay taxes for the business activity according to the supporting schedule, N2, information from the sole proprietorships’ income statement and balance sheet in an accounting statement that comes with the income tax return form. The possibilities of allowances are considered as dependent variables. The intention of the cross-sectional studies is to survey and describe the utilization of possible allowances, with the support of the financial and non-financial independent variables. The connection of these variables to the decision of sole proprietorships to appropriate to the tax allocation reserve is also summarized in a logistic regression model. A number of theoretically based propositions are made for the purpose of observing how the variables are connected to the chances that sole proprietorships actually appropriate to this form of allowance. Appropriation to the tax allocation reserve stands out as the most practiced form of allowance. The studies also clarify that utilization varies among different forms of allowances, but that not all firms that have the prerequisites to utilize the possibilities really do so to the full. A further utilization of the different possibilities of allowances is often conceivable. For the sole proprietorships that are not utilizing these possibilities, the allowances should be considered eligible as a contribution to internal financing and to increase access to capital.</p>

Denna uppsats försöker besvara frågan: Vad förklarar skillnader i trångboddhet mellan OECD:s medlemsländer? Detta görs genom tvärsnittsstudie där jag analyserar vilken effekt faktorerna Hyresreglering, Reglering av byggbranschen, Demografiska förändringar, Styrande regeringsparti och Välstånd har på Trångboddheten. Tjugonio av OECD:s medlemsländer har tagits med i analysen. Med hjälp av en multipel linjär regression baserat på observationsdata från variablerna presenteras resultaten. Slutsatserna är att Reglering av byggbranschen och Välstånd har störst effekt på Trångboddheten.<br>This paper attempts to answer the research question: What explains the differences in housing density between the members of the OECD? This is done by a cross-sectional study in which I analyze the impact of rent regulation, regulation of the construction industry, demographic changes, executive government party and wealth has on the dependent variable housing density. Twenty-nine of the OECD members have been included in the analysis. The paper is using a multiple linear regression to analyze the results. The conclusions are that the regulation of the construction industry and wealth has the greatest effect on housing density.

The class of models which is studied in this paper, multi-unit longitudinal models, combines both the cross-sectional and the longitudinal aspects of observations. Many empirical investigations involve the analysis of data structures that are both cross-sectional (observations are taken on several units at a specific time period or at a specific location) and longitudinal (observations on the same unit are taken over time or space). Multi-unit longitudinal data structures arise in economics and business where panels of subjects are studied over time, biostatistics where groups of patients on different treatments are observed over time, and in situations where data are taken over time and space. Modelling issues in multi-unit longitudinal models with random coefficients and patterned correlation structure are illustrated in the context of two data sets. The first data set deals with short time series data on annual death rates and alcohol consumption for twenty-five European countries. The second data set deals with glaceologic time series data on snow temperature at 14 different locations within a small glacier in the Austrian Alps. A practical model building approach, consisting of model specification, estimation, and diagnostic checking, is outlined. (author's abstract)<br>Series: Forschungsberichte / Institut für Statistik

Denna studie undersöker om periodiseringskvalitet är en prissatt riskfaktor för nordiska företag som är noterade på en reglerad marknad under perioden 2010–2019. Tidigare studier menar att periodiseringskvalitet utgör en proxy för informationsrisk, men olika författare framställer olika slutsatser i frågan huruvida periodiserings­kvalitet är en prissatt riskfaktor eller inte. Med den av McNichols (2002) modifierade Dechow &amp; Dichev modellen (2002) mäter vi periodiseringskvalitet som standard­avvikelsen av residualer från regressioner som kopplar periodiseringar till kassaflöden. Vi mäter riskpremien genom att dela in företagen i kvintiler baserad på periodiseringskvalitet och tillämpar en likaviktad portfölj som säljer företagen i de två kvintilerna med högst periodiseringskvalitet och köper företagen i kvintilerna med lägst periodiseringskvalitet. Vi finner en signifikant negativ koefficient i en två-stegs tvärsnittsregressionen som visar att periodiseringskvalitet inte utgör en prissatt riskfaktor för nordiska företag.<br>This study investigates if accruals quality is a priced risk factor for Nordic countries being traded on a regulated market in the Nordic countries during 2010–2019. Earlier studies argue that accruals quality is a proxy for information risk, but different authors find different results regarding whether accruals quality is a priced risk factor or not. By using the Dechow &amp; Dichev model (2002), modified by McNichols (2002), we measure accruals quality as the standard deviation of regressions that match accruals to cash flow. We measure the risk premium by dividing the entities into quintiles and use an equal-weighted portfolio that sells the stocks in the two quintiles with the highest accruals quality and buys the two quintiles with the lowest accruals quality. We find a significant negative coefficient in a two-stage cross-sectional regression which shows that accruals quality is not a priced risk factor in the Nordic countries.

Made available in DSpace on 2015-03-05T19:11:30Z (GMT). No. of bitstreams: 0 Previous issue date: 29<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>O propósito desta dissertação foi verificar se o Modelo de Precificação de Ativos de Capital baseado no Consumo (CCAPM) é consistente com os dados de quatro países latino-americanos: Brasil, Chile, Colômbia e México. Para alcançar este objetivo foi realizada uma regressão cross-sectional dos prêmios de risco médios sobre os betas de consumo de cada ativo em cada país analisado. Adicionalmente, de forma análoga a Lintner (1965) e Levy (1978), foi verificado se a variável ‘variâncias residuais’ mostrava-se estatisticamente significante nas regressões cross-sectional, o que seria inconsistente com o modelo. Os resultados empíricos, baseados em estimativas corrigidas para o problema dos erros nas variáveis, demonstram que há uma relação estatisticamente significativa entre os prêmios de risco médios e os betas de consumo nos países acima mencionados, com exceção do México. Apesar disto, o poder explicativo do modelo, dado pelo coeficiente de determinação R2 ajustado, foi muito baixo em todos os países. Quanto à v<br>The purpose of this thesis is to verify whether the Consumption based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. In order to reach this goal, a cross-sectional regression of the consumption betas on the mean excess returns of each asset is performed for each country analyzed. Also, similar to the studies of Lintner (1965) and Levy (1978), it is verified whether the variable ‘residual variance’ has statistical significance in the cross-sectional regressions, which would be inconsistent with the model. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with exception of Mexico. Despite this, the explanatory power of the model, given by the adjusted coefficient of determination (R2), is very small in all countries. Concerning the variable ‘residual variance’, it is statistically significant for the Brazilian and Me

L’étude du rôle de l’activisme actionnarial des hedge funds (HF) en matière de gouvernancedans la création de valeur des entreprises françaises constitue l’objet principal de cette thèse.Les réflexions menées, issues de la théorie de la gouvernance nous ont permis d’apporter lespremiers éléments de réponse à notre question centrale. L’approche exploratoire de cephénomène nous a conduits à déterminer un modèle français de l’activisme des HF. De notreapproche hypothético-déductive, nous avons pu élaborer un profil type des entreprises viséescotées et examiner les déterminants de la réaction du marché financier avant de mesurerl’effet de l’activisme des HF sur la création de valeur. Il en ressort que ce dernier est àl’origine de nouvelles situations d’équilibre organisationnel. Il est toutefois entravé par laréticence de la coalition de contrôle, renforcée par les caractéristiques spécifiques de lagouvernance et du contexte juridique en France, à entreprendre ces aménagements. Résultat,des coûts de conviction excessifs, des coûts d’enracinement et l’attentisme des investisseurssur le marché français. Contrairement aux investisseurs traditionnels, il est à admettre quel’activisme des HF est un mécanisme alternatif de contrôle efficient, là où certainsmécanismes de gouvernance actionnariale et partenariale semblent être insuffisammentdisciplinaires. Cependant, il est insuffisant pour inciter la coalition de contrôle à agir dansl’intérêt des différentes parties prenantes de l’entreprise. En France, la concentration et lanature actionnariale limitent, voire bloquent, les actions activistes des HF, contrairement auxentreprises américaines où le capital n’est pas verrouillé. La performance des entreprisesfrançaises est donc l’apanage du pouvoir managérial face à une influence activiste des HF<br>This research aims to analyse the role of hedge fund (HF) activism in corporate governanceand French firms value creation. The reflections devoted the theory of governance haveenabled us to provide first elements to our central question. The exploratory study allowed usto determine a French model of HF activism. Our hypothetical-deductive approach enabledus to develop a typical profile of a target-listed firm and to examine the determinants of themarket reaction before measuring the effect of HF activism on value creation. The resultsshow that HF activism is causing new organizational equilibrium situations. However, it isopposed by the reluctance of the control coalition due to French governance and legalcontext. Hence, the exorbitant costs of activism in addition to entrenchment problems andinvestors wait-and-see attitude on the French market. As opposed to traditional investors, HFactivism appears as an efficient alternative control mechanism, where some shareholder andstakeholder governance mechanisms seem to be insufficiently disciplinary. Still, HF activismis unable to encourage the reluctant control coalition to act in the firms’ stakeholders’interest. In France, the controlling and family shareholders are opposed to HF activism. It ismore difficult for them to act as they do in American firms where capital is not locked. Thevalue creation is thus confined to managerial power over HF activism

Submitted by Kym Marcel Martins Ardison (kymmarcel@gmail.com) on 2015-04-06T19:04:20Z No. of bitstreams: 1 Tail Risk - Original.pdf: 817189 bytes, checksum: 02561a6a7cb94d1480a4f78933486df4 (MD5)<br>Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-04-28T12:21:10Z (GMT) No. of bitstreams: 1 Tail Risk - Original.pdf: 817189 bytes, checksum: 02561a6a7cb94d1480a4f78933486df4 (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-05-04T12:33:49Z (GMT) No. of bitstreams: 1 Tail Risk - Original.pdf: 817189 bytes, checksum: 02561a6a7cb94d1480a4f78933486df4 (MD5)<br>Made available in DSpace on 2015-05-04T12:37:02Z (GMT). No. of bitstreams: 1 Tail Risk - Original.pdf: 817189 bytes, checksum: 02561a6a7cb94d1480a4f78933486df4 (MD5) Previous issue date: 2015-02-12<br>This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

碩士<br>元智大學<br>商學碩士班(財務金融學程)<br>100<br>We investigate whether changes in labor intensity have predicting power in the long-term future stock return. We find that the predictive ability is statistically significant after controlling for pricing factors mentioned in literatures, such as size, book-to-market ratio, momentum, asset growth, asset turnover, capital investment, R&;D intensity, accruals, financial constraint, labor intensity and ROE using Fama-MacBeth regression. The relation between changes in labor intensity and stock return is significantly positive either in ordinary least squares, log-value weighted least squares and value-weighted least squares method. Furthermore, we also examine the impacts of changes in labor intensity before and after 1990, and find that the proposed effect is more pronounced after 1990s.

Innovative ways to conduct disease surveillance are required to address the complexity of Ciguatera Fish Poisoning (CFP). Mixed methods were employed to explore CFP epidemiology and interdisciplinary approaches to its surveillance in the Turks and Caicos Islands (TCI). Quantitative analyses of cross-sectional data collected by the TCI’s National Epidemiology and Research Unit in 2010 demonstrated that a low percentage of residents reported lifetime histories of illness following fish consumption (3.9%). Furthermore, gender, age, island, and home remedy use were significantly associated with reported clinic visitation by ill individuals. Next, a multisectoral CFP surveillance model was conceptualized. A qualitative exploration of the model’s hypothetical integration into TCI’s health system revealed that several systemic and contextual factors could influence the future uptake of interdisciplinary CFP surveillance. Targeted interventions are recommended to improve national CFP surveillance and to facilitate the growth of interdisciplinary networks between stakeholders from TCI’s health, fisheries and environment sectors.<br>Canadian Institutes of Health Research, Ontario Veterinary College, University of Guelph, Ministry of Health and Human Resources of the Turks and Caicos

Estimar e avaliar modelos de Asset Pricing não é uma tarefa elementar. Os resultados obtidos dependem do método utilizado, das hipóteses que são tomadas, nos dados usados, etc. Apesar dos esforços para se encontrar estatísticas precisas, não existe consenso em relação ao método que deve ser usado para testar os modelos, que ajustes são necessários aplicar a esse método, que dados devem ser utilizados, entre outras coisas. Esta tese ajuda a mostrar que diferentes métodos podem levar a conclusões consideravelmente diferentes no que aos modelos testados/avaliados diz respeito. Apesar de alguma evidência a favor dos tradicionais métodos de regressão OLS e GLS, em especial quando se trata de estimar o prémio de risco, não é possível dizer que este é o melhor método, ou muito menos que é perfeito. A aceitação do CAPM ou do FF3 depende fortemente do método e dos dados usados, o que significa que ambos são rejeitados com a mesma facilidade com que são aceites. No entanto, devido à potência relativamente baixa dos testes multivariados, é expectável que os modelos sejam rejeitados bastante menos vezes do que seria suposto. Parece também não haver uma performance significativamente melhor de um dos modelos em relação ao outro.<br>Estimating and testing asset pricing models is not a straightforward task. Results depend on the method used, on the assumptions made, on the data used, etc. Despite all efforts to find the most accurate statistics, there is not a consensus on which method to use to test the models, which adjustments those methods need, which data shall be employed, among other issues. I have helped to show that different methods can lead to quite different conclusions regarding the estimated/evaluated models. Despite some evidence in favour of traditional OLS and GLS cross-sectional regressions, especially concerning estimation, it cannot be said that this model is the best one and it is far from being perfect. The acceptance of the CAPM and FF3 models heavily depends of the method and data used, i.e., they are accepted with the same easiness as they are rejected. As multivariate tests have quite low power, it is to expect that models are rejected much less frequently than they should be. Also, none of them seems to perform significantly better than the other.

碩士<br>逢甲大學<br>會計與財稅研究所<br>90<br>The main purposes of the study are to develop a new accruals model which labeled the “WHL model” and to empirically compare the relative examine specification and power effectiveness of Modified-Jones（Dechow et al.,1995）, Margin（Peasnell et al.,2000）and WHL model in detecting business income manipulations. In addition, we also develop a detecting abnormal related-party sales model-RPS model, and examine specification and power effectiveness of RPS model in detecting business related-party sales manipulations. The following conclusions are found in the results of actual certification from the research: 1.Modified-Jones, Margin, WHL and RPS models are well specified when applied to a random sample of firm-years. 2.Our findings suggest that when the expense manipulation amount was attained 7% to 8% of prior period total assets, then the WHL and Margin models are substantially more powerful than Modified-Jones model. 3.Our findings suggest that the WHL model is more powerful than Modified-Jones and Margin models in detecting business inventory manipulation. Specifically, when the inventory manipulation amount was attained 7% of prior period total assets, then the detecting power of the WHL model would be reached to 100%. 4.Regarding the models’ relative power to detecting artificially-induced sales which none cash received from accounts receivable on the end of period, it has been found that when the sales manipulation amount was attained 10% of prior period total assets, then the power of WHL and Modified-Jones models（excluding Margin model）would be reached to 100%. 5.Our findings suggest that the WHL model is more powerful than Modified-Jones and Margin models in detecting business induces sales and cash received from accounts receivable on the end of period. But all of the three models appeared low powers. 6.Our findings suggest that when related-party sales manipulation amount was attained about 20% of prior period total assets, then the detecting power of the RPS model would be reached to 100%. We can learn from the results of the actual certification that the WHL model is more powerful in detecting accruals manipulation. In additional, we suggested that the RPS model appeared well power in detecting related-party sales.

This work proposes to build a profitable dynamic trading strategy. In order to do that it is necessary to forecast the future stock indices prices. First we exploit the forecast power of stock indices assuming that they follow a Geometric Brownian motion. Next, we present an alternative forecasting model that involves cross sectional regression between indices. The latter proves to be more profitable on average than the former.

This thesis examines inter-industry wage differentials in the Czech Republic, using the European Union - Statistics on Income and Living (EU-SILC 2009) survey as our primary data source. Findings show that even after controlling for large number of workers and jobs characteristics wage differences based on industry affiliation still persist. The variation of the inter-industry wage differentials amounts to approximately 5 percent with the maximum wage level difference of 25 percent between the financial sector and agriculture. By applying two distinct methodologies we tested the hypothesis that the inter-industry wage differentials are actually caused by higher concentration of workers with better unmeasured abilities in higher-paying industries. Neither of the two methods rejected the unobserved ability hypothesis. Finally, our analysis also shows that the inter-industry wage differentials can be to a certain extent attributed to rent-sharing and different labour turnover costs across sectors.

Contexte: L’arthrite juvénile idiopathique (AJI) est l’une des maladies chroniques auto-immune les plus répandues chez les enfants et est caractérisée par des enflures articulaires (maladie active), de la douleur, de la fatigue et des raideurs matinales pouvant restreindre leur niveau de participation aux activités quotidiennes (par exemple: les loisirs, l’activité physique, la mobilité et les soins personnels) à la maison comme à l’école. Participer aux activités de loisirs et à l’activité physique a des bienfaits au niveau de la santé et du développement de tous les enfants et démontrent aussi des effets positifs qui réduisent les symptômes des maladies chroniques telle l’AJI. Malgré ces bienfaits la participation aux loisirs chez les jeunes avec l’AJI demeure largement sous-étudiée. Objectifs: Cette étude vise à évaluer le niveau de participation aux loisirs et à l’activité physique chez les enfants et les adolescents atteints d’AJI, ainsi qu’à identifier les facteurs liés à la maladie, la personne et l’environnement. Méthodes : L’évaluation du niveau de participation et l’exploration des facteurs associés aux loisirs et à l’activité physique ont été complétés par l’entremise d’une revue systématique de la littérature, l’analyse de données d’un échantillon national représentatif d’enfants canadiens atteints d’arthrite âgés entre 5 et 14 ans (npondéré = 4350), ainsi que l’analyse standardisée du niveau de participation aux loisirs à l’aide du Children’s Assessment of Participation and Enjoyment (n=107) et la mesure objective de l’activité physique par accéléromètre (n=76) auprès d’un échantillon d’enfants (âgés entre 8 et 11 ans ) et d’adolescents (âgés entre 12 et 17 ans) suivis en clinique de rhumatologie à l’hôpital de Montréal pour enfants, Centre Universitaire de Santé McGill. Les résultats cliniques ont été comparés à des données normatives, ainsi qu’à un groupe contrôle sans AJI. Nous avons exploré les facteurs associés avec le niveau de participation aux loisirs et à l’activité physique en utilisant les modèles de régression linéaire multiple et l’analyse hiérarchique. Résultats : Les enfants et les adolescents atteints d’AJI participent à une multitude d’activités de loisirs; cependant ils sont moins souvent impliqués dans des activités physiques et de raffinement en comparaison aux autres types d’activités de loisirs. Ceux avec l’AJI étaient en général moins actifs que leurs pairs sans arthrite et la plupart n’atteignaient pas les recommandations nationales d’activité physique. Les garçons avec l’AJI participent plus souvent à des activités physiques et moins aux activités sociales, de raffinement et de développement de soi en comparaison avec les filles ayant l’AJI. En général, être un garçon, être plus âgé, avoir une meilleure motivation pour participer aux activités de motricité globale, avoir un statut socio-économique plus élevé et être d’origine culturelle canadienne sont associés à un niveau de participation plus élevé aux activités physiques. La préférence pour les activités de raffinement, un niveau d’éducation maternelle plus élevé et être une fille étaient associés à un niveau de participation plus élevé aux activités de raffinement. Conclusion: La participation aux loisirs et à l’activité physique en AJI est un concept complexe et semble surtout être expliqué par des facteurs personnels et environnementaux. L’identification des facteurs associés aux loisirs et à l’activité physique est très importante en AJI puisqu’elle peut permettre aux professionnels de la santé de développer des interventions significatives basées sur les activités préférées des enfants, améliorer l’observance au traitement et promouvoir des habitudes de vie saine.<br>Background: Juvenile idiopathic arthritis (JIA), one of the most common chronic childhood autoimmune diseases, is a heterogeneous inflammatory condition characterised by joint inflammation (i.e. active disease), chronic pain, fatigue and morning stiffness, which may interfere with age-appropriate daily activities (i.e. leisure and physical activity, mobility and self-care), both at home and at school. Involvement in leisure and physical activity is beneficial to the health and development of all children and adolescents, and has also shown to help mitigate the effects of disease among those with chronic conditions such as JIA. Despite the benefits of leisure participation this subject remains vastly understudied in JIA. Objective: The aim of this thesis was to assess participation in leisure and physical activity among children and adolescents with JIA, as well as identify associated disease-related, personal and environmental factors. Methods: The assessment of patterns and exploration of potential predictors of participation in leisure and physical activity in children and adolescents with JIA was completed through a systematic review of the literature, analysis of survey data from a nationally representative sample of Canadian children with arthritis (age range = 5 to 14 years, nweighted = 4350), as well as the standardized assessment of leisure with the Children’s Assessment of Participation and Enjoyment (n=107) and the objective measurement of physical activity with accelerometer (n=76) among a clinical sample of children (age range = 8 to 11 years) and adolescents (age range = 12 to 17 years) with JIA followed at the Rheumatology clinic at the Montreal Children’s Hospital, McGill University Health Center. Clinical data were also compared to normative data and children and adolescents without JIA. We explored factors associated with participation in leisure and physical activity using multiple linear regression models and hierarchical analysis. Results: Children and adolescents with JIA participated in an array of leisure activities; however involvement was least frequent in active physical and skill-based leisure activities compared to other types of activity. Those with JIA were generally less physically active than healthy peers without JIA, and most with JIA did not meet national recommendations for physical activity. Boys with JIA were more likely to engage in physical activities, and less likely to take part in social, skill-based and self-improvement activities than girls with JIA. In general, being a boy, older age, greater mastery motivation for gross motor skills, higher socio-economic status and being of Canadian cultural background were associated with increased participation in more physical activities. Preference for skill-based activities, higher maternal education and being a girl were associated with increased participation in skill-based activities. Conclusion: Participation in leisure and physical activity in JIA is a complex concept and is mostly explained by personal and environmental factors. The identification of factors associated with leisure participation and physical activity is of utmost importance in JIA as it may aid health care professionals to tailor meaningful intervention plans based on preferred activities, improve adherence to treatment and help promote healthier lifestyles.

This research work concentrate on developing digital soil maps to support field based plant phenotyping research. We have developed soil organic matter content (OM), cation exchange capacity (CEC), natural soil drainage class, and tile drainage line maps using topographic indices and aerial imagery. Various prediction models (universal kriging, cubist, random forest, C5.0, artificial neural network, and multinomial logistic regression) were used to estimate the soil properties of interest.