Faculdades Guarulhos

ABSTRACT We examine whether a simple quantitative measure of language can be used to predict individual firms' accounting earnings and stock returns. Our three main findings are: (1) the fraction of negative words in firm‐specific news stories forecasts low firm earnings; (2) firms' stock prices briefly underreact to the information embedded in negative words; and (3) the earnings and return predictability from negative words is largest for the stories that focus on fundamentals. Together these findings suggest that linguistic media content captures otherwise hard‐to‐quantify aspects of firms' fundamentals, which investors quickly incorporate into stock prices.

This guideline presents recommendations for the management of patients with hereditary gastrointestinal cancer syndromes. The initial assessment is the collection of a family history of cancers and premalignant gastrointestinal conditions and should provide enough information to develop a preliminary determination of the risk of a familial predisposition to cancer. Age at diagnosis and lineage (maternal and/or paternal) should be documented for all diagnoses, especially in first- and second-degree relatives. When indicated, genetic testing for a germline mutation should be done on the most informative candidate(s) identified through the family history evaluation and/or tumor analysis to confirm a diagnosis and allow for predictive testing of at-risk relatives. Genetic testing should be conducted in the context of pre- and post-test genetic counseling to ensure the patient's informed decision making. Patients who meet clinical criteria for a syndrome as well as those with identified pathogenic germline mutations should receive appropriate surveillance measures in order to minimize their overall risk of developing syndrome-specific cancers. This guideline specifically discusses genetic testing and management of Lynch syndrome, familial adenomatous polyposis (FAP), attenuated familial adenomatous polyposis (AFAP), MUTYH-associated polyposis (MAP), Peutz-Jeghers syndrome, juvenile polyposis syndrome, Cowden syndrome, serrated (hyperplastic) polyposis syndrome, hereditary pancreatic cancer, and hereditary gastric cancer.

ABSTRACT The returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each year between 1985 and 1998, we find that the equity premium is around three percent (or less) in the United States and five other markets.

ABSTRACT A Sunday New York Times article on a potential development of new cancer‐curing drugs caused EntreMed's stock price to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. It closed above 30 in the three following weeks. The enthusiasm spilled over to other biotechnology stocks. The potential breakthrough in cancer research already had been reported, however, in the journal Nature , and in various popular newspapers (including the Times ) more than five months earlier. Thus, enthusiastic public attention induced a permanent rise in share prices, even though no genuinely new information had been presented.

ABSTRACT This article investigates the change in operating performance of firms as they make the transition from private to public ownership. A significant decline in operating performance subsequent to the initial public offering (IPO) is found. Additionally, there is a significant positive relation between post‐IPO operating performance and equity retention by the original entrepreneurs, but no relation between post‐IPO operating performance and the level of initial underpricing. Post‐issue declines in the market‐to‐book ratio, price/earnings ratio, and earnings per share are also documented.

ABSTRACT Most privatization programs begin with a period of partial privatization in which only non‐controlling shares of firms are sold on the stock market. Since management control is not transferred to private owners it is widely contended that partial privatization has little impact. This perspective ignores the role that the stock market can play in monitoring and rewarding managerial performance even when the government remains the controlling owner. Using data on Indian state‐owned enterprises we find that partial privatization has a positive impact on profitability, productivity, and investment.

ABSTRACT We examine debenture yields over the period 1983–1991 to evaluate the market's sensitivity to bank‐specific risks, and conclude that investors have rationally reflected changes in the government's policy toward absorbing private losses in the event of a bank failure. Although this evidence does not establish that market discipline can effectively control banking firms, it soundly rejects the hypothesis that investors cannot rationally differentiate among the risks undertaken by the major U.S. banking firms.

ABSTRACT This paper derives a closed‐form solution for European options on pure discount bonds, assuming a mean‐reverting Gaussian interest rate model as in Vasicek [8]. The formula is extended to European options on discount bond portfolios.

ABSTRACT I exploit the adoption of state‐level labor protection laws as an exogenous increase in employee firing costs to examine how the costs associated with discharging workers affect capital structure decisions. I find that firms reduce debt ratios following the adoption of these laws, with this result stronger for firms that experience larger increases in firing costs. I also document that, following the adoption of these laws, a firm's degree of operating leverage rises, earnings variability increases, and employment becomes more rigid. Overall, these results are consistent with higher firing costs crowding out financial leverage via increasing financial distress costs.

This paper addresses the agency problem between controlling shareholders and minority shareholders. This problem is common among public firms in many countries where the legal system does not effectively protect minority shareholders against oppression by controlling shareholders. We show that even without any explicit corporate governance mechanisms protecting minority shareholders, controlling shareholders can implicitly commit not to expropriate them. Stock prices of such companies are significantly higher and firms are more likely go public because of this reputation effect. Moreover, insiders divest shares gradually over time, at a rate that is negatively related to the degree of moral hazard.

Abstract. We describe and begin to evaluate a parameterization to include the vertical transport of hot gases and particles emitted from biomass burning in low resolution atmospheric-chemistry transport models. This sub-grid transport mechanism is simulated by embedding a 1-D cloud-resolving model with appropriate lower boundary conditions in each column of the 3-D host model. Through assimilation of remote sensing fire products, we recognize which columns have fires. Using a land use dataset appropriate fire properties are selected. The host model provides the environmental conditions, allowing the plume rise to be simulated explicitly. The derived height of the plume is then used in the source emission field of the host model to determine the effective injection height, releasing the material emitted during the flaming phase at this height. Model results are compared with CO aircraft profiles from an Amazon basin field campaign and with satellite data, showing the huge impact that this mechanism has on model performance. We also show the relative role of each main vertical transport mechanisms, shallow and deep moist convection and the pyro-convection (dry or moist) induced by vegetation fires, on the distribution of biomass burning CO emissions in the troposphere.

ABSTRACT During 2005 to 2007, the SEC ordered a pilot program in which one‐third of the Russell 3000 index were arbitrarily chosen as pilot stocks and exempted from short‐sale price tests. Pilot firms’ discretionary accruals and likelihood of marginally beating earnings targets decrease during this period, and revert to pre‐experiment levels when the program ends. After the program starts, pilot firms are more likely to be caught for fraud initiated before the program, and their stock returns better incorporate earnings information. These results indicate that short selling, or its prospect, curbs earnings management, helps detect fraud, and improves price efficiency.

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event‐risk framework of Duffie, Pan, and Singleton (2000) , we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy‐and‐hold strategies. Jumps in prices and volatility both have important effects.

In this paper we study high-dimensional time series that have the generalized dynamic factor structure. We develop a test of the null of k0 factors against the alternative that the number of factors is larger than k0 but no larger than k1>k0. Our test statistic equals maxk0<kk1(γk−γk+1)(γk+1−γk+2), where γi is the ith largest eigenvalue of the smoothed periodogram estimate of the spectral density matrix of data at a prespecified frequency. We describe the asymptotic distribution of the statistic, as the dimensionality and the number of observations rise, as a function of the Tracy–Widom distribution and tabulate the critical values of the test. As an application, we test different hypotheses about the number of dynamic factors in macroeconomic time series and about the number of dynamic factors driving excess stock returns.

ABSTRACT Kothari, Shanken, and Sloan (1995) claim that β s from annual returns produce a stronger positive relation between β and average return than β s from monthly returns. They also contend that the relation between average return and book‐to‐market equity (BE/ME) is seriously exaggerated by survivor bias. We argue that survivor bias does not explain the relation between BE/ME and average return. We also show that annual and monthly β s produce the same inferences about the β premium. Our main point on the β premium is, however, more basic. It cannot save the Capital asset pricing model (CAPM), given the evidence that β alone cannot explain expected return.

While vote-buying is common, little is known about how politicians determine who to target. We argue that vote-buying can be sustained by an internalized norm of reciprocity. Receiving money engenders feelings of obligation. Combining survey data on vote-buying with an experiment-based measure of reciprocity, we show that politicians target reciprocal individuals. Overall, our findings highlight the importance of social preferences in determining political behavior.

ABSTRACT An uninformed observer using the tools of mean variance and security market line analysis to measure the performance of a portfolio manager who has superior information is unlikely to be able to make any reliable inferences. While some positive results of a very limited nature are possible, e.g., when there is a riskless asset or when information is restricted to be “security specific,” in general anything is possible. In particular, a manager with superior information can appear to the observer to be below or above the security market line and inside or outside of the mean‐variance efficient frontier, and any combination of these is possible.

This study had as objective to propose a new approach for quality evaluation of variety trials for determination of cropping and use values (VCU), which considers three attributes simultaneously: magnitude of the residual variation, replication number, and genetic control of the trait under selection. It was also emphasized the need for using shrinkage estimators/predictors of genotypic values instead of unshrunk phenotypic means of varieties, i.e., the procedures should consider the genetic coefficient of determination of the traits, as well as the eventual heterogeneity of residual variance within varieties. Targeting an accuracy of 90%, it was concluded that Snedecor F test values associated to treatment effects in the analysis of variance should be above 5.0. The magnitude of genotypic variability of the traits is also involved in the F statistics. This means that the approach of fixing minimum values for replication number and maximum values for residual variation coefficient (CVe) is not sufficient. For traits related to yield (with low genetic coefficient of determination) the normally used replication number, between two and four, does not permit to reach the targeted accuracy, even if residual variation coefficients below 10% are aimed, and the experimentation is conducted on several sites and years. For that target accuracy it is recommended the use of at least six replications. It was also shown that shrinkage estimators provide more precise and reliable inferences concerning genotypic means of the varieties, and their use is encouraged. KEY-WORDS: Accuracy; shrinkage estimator; variance heterogeneity; biased estimator; variation coefficent.

Higher reversible capacity of 333 mA h g ⁻¹ in Na cell is demonstrated for hard carbon derived from HCl-treated argan.

This article investigates the change in operating performance of firms as they make the transition from private to public ownership. A significant decline in operating performance subsequent to the initial public offering (IPO) is found. Additionally, there is a significant positive relation between post-IPO operating performance and equity retention by the original entrepreneurs, but no relation between post-IPO operating performance and the level of initial underpricing. Post-issue declines in the market-to-book ratio, price/earnings ratio, and earnings per share are also documented.