125 research outputs found
Jumps diffusion and jump risk pricing
No full textEvery day market operators exchange tens of thousand of stocks, creating an extremely rich information set to study price dynamics. Indeed, the pattern followed by asset returns have been a fundamental topic in finance literature for decades. Several studies provide evidence, Ball and Torous (1983), Jarrow and Rosenfeld (1984), and Jorion (1988) among others, that stock prices show sudden but infrequent movements of large magnitude, that are commonly known as jumps. Thus, it is a standard to design the dynamic of stock prices as a combination of a continuous diffusion component, plus discontinuous jumps. Because of their relevance in economics, finance, and decision sciences, the present thesis focuses on jumps in stock returns. Note, Chapters 1 and 2 represent two different papers, respectively entitled “Jump risk and pricing implications” and “The cross-sectional diffusion of jumps and the identifcation of collective sectorial movements”, each of them develops the main theme in a different direction. Chapter 1: construction of a jump risk factor. A central model in the description of market returns and risks is the Sharpe (1964), Lintner (1965), Mossin (1966) and Black (1972) CAPM. Subsequently, Fama and French (1993) and Carhart (1997) among others, proposed alternative asset-pricing models that add to the CAPM additional risk sources. Chapter 1 contributes to the existing literature by proposing a factor which captures investors fear of future jumps. Moreover, we add it to the Carhart (1997) model, thus putting forward a 5-factor model, and show that not only our factor is able to capture common variation in stock returns, but also that its use improves the model performance. We additionally compute the risk premiums for the five risk sources of the model and find that they are always positive and not signifcantly different from their factor means. In doing this we employ all CRSP stocks over the 1925-2014 sample period, which leads to 89 years of assets prices and more than 24,000 stocks.
Chapter 2: cross-sectional jump diffusion. Even if there is evidence of price jumps in various markets, there is still little understanding about their cross-sectional diffusion. Chapter 2 investigates the presence of contemporaneous jumps among a large number of stocks, the multivariate jumps (or MJs), using a high-frequency dataset of considerable dimension. The database includes 1-minute prices for all 3,509 stocks belonging to the Russell 3000 index between January 2, 1998 and June 5, 2015 (4,344 days), data that we treat both as a whole as well by focusing on its 11 industries. Using the information about MJs, we then propose two indexes which summarize data on cross-sectional jump diffusion: the daily diffusion index (or DID), and the intraday diffusion index (or DII). Results confirm the usefulness of both DID and DII, which trends and residuals show more and higher spikes in correspondence of important economic moments, as in 2008 and 2010. Moreover, we observe a positive and signifcant association of diffusion indexes with the market, and highlight that limiting the analysis to systemic events could be misleading and incomplete, while we suggest a combined use of systemic and non-systemic MJs. We additionally establish a relationship between detected MJs and market-level news. Our results have important implication not only for asset allocation and hedging, but also in asset pricing. Regarding this last point, by including our diffusion indexes to the CAPM model, we prove that DID and DII capture common variation in stock returns that is missed by the market factor. This advocates to employ mulivariate jump information to build a factor capturing the cross-sectional jump risk, which could then be added, e.g., to the 5-factor model we propose in Chapter 1
Financial distress during the pandemic: the role of government support
No full textWe investigate how (the timing of) economic support measures during the COVID-19 pandemic affected household financial distress across Europeans aged 50 and older. Using SHARE data, we track changes in financial well-being before, during and after the pandemic. Using policy data from the Oxford COVID-19 Government Response Tracker, we distinguish between countries that implemented support at an early versus a later stage. Exploiting a triple-difference identification strategy, we show that timely government interventions significantly reduced financial distress for
working-age households experiencing job interruption, while delayed responses led to increased financial strain. The effect is robust to different specificities of the identification strategy. Our findings highlight the importance not only of the generosity, but also of timing of fiscal support in times of
crisis
Poverty and Influenza/Pneumococcus Vaccinations in Older People: Data from The Survey of Health, Ageing and Retirement in Europe (SHARE) Study
No full textVaccine acceptance seems to be lower in poor people. The determinants of the lower vaccine coverage in poor people are not established. Therefore, we aimed to explore the association between poverty and influenza/pneumococcus vaccinations and the factors potentially associated with vaccination’s coverage in poor people. The data of the Survey of Health, Ageing and Retirement in Europe (SHARE), an ongoing longitudinal, multi-disciplinary, and cross-national European study where used. Poverty was defined using information on income and household size. Among 47,370 participants initially included in the SHARE study, 12,442 were considered poor. In the multivariable logistic regression analysis, “Household size” was associated with a significantly lower vaccination probability, meanwhile “Age”, “Years of education”, “Regularly taking prescription drugs”, and the level of income were significantly associated with higher probabilities of both influenza and pneumonia vaccinations. The “Number of illnesses/health conditions” was significantly associated with a higher probability of getting vaccination against influenza and against pneumococcus. In conclusion, among poor older people, several specific factors could be identified as barriers for the vaccinations against influenza or pneumococcus that are unique to this segment of the population, such as living with the family and having a job
Alinhamento operacional: um mosaico de interesses, conhecimento, ações e resultado
No full textTese (doutorado) - Universidade Federal de Santa Catarina, Centro Tecnológico. Programa de Pós-Graduação em Engenharia de Produção.O alinhamento operacional nas organizações é uma alternativa de gestão para assegurar maior performance aos processos. O presente trabalho é um estudo de caso em uma concessionária de distribuição de energia elétrica brasileira, utilizando como contexto o call center e os seus processos sustentadores, sobre os quais foi estudado o alinhamento operacional. Tem por objetivo propor um modelo de verificação de alinhamento operacional com base no alinhamento integrado de resultado, conhecimento, ações e interesses para fomentar o alinhamento operacional de processos. Na abordagem teórica preocupou-se em reunir aspectos associados ao alinhamento estratégico (vertical) e operacional (horizontal) sob diversas nuances, para convergir em um modelo que possibilite experimentar, avaliar e concluir sobre a aplicação prática desse tipo de alinhamento. A pesquisa consistiu na observação assistemática em 25 reuniões durante 5 anos, em um grupo, em média, de 20 gestores de call center de outras empresas do setor elétrico onde foi estruturado o conhecimento e experiência para fundamentar a variável base e os fatores de influência na performance do call center. Em uma concessionária brasileira foi realizado experimento envolvendo três áreas sustentadoras do call center pelo período de um ano, caracterizando o grupo do experimento e outras duas áreas como grupo de controle. O modelo submetido ao experimento consistiu na formação de equipe com atribuições tais que naturalmente apliquem os conceitos de equipes autogerenciadas e das quatro variáveis propostas: resultado, conhecimento, ações e interesse. O resultado do experimento foi verificado pela evolução da variável observada, na performance do call center e pela percepção dos agentes, confirmando os conceitos aplicados e o resultado do experimento. Seguiu-se a pesquisa modelo envolvendo os grupos do experimento e de controle para observar e concluir sobre o alinhamento operacional. Para viabilizar tal pesquisa foi utilizado um ambiente de processos críticos, cujas equipes possuam: a) competências para desenvolver suas atividades; b) bom nível de desempenho anterior ao experimento; c) subordinações distintas; d) exigência de alinhamento estratégico; e) envolvimento em atividades operacionais intensivas; f) exigência de elevado conhecimento e envolvimento multidisciplinar; g) a fundamental necessidade de entendimento entre as partes. Como resultado prático visa demonstrar, que processos cujas equipes estejam alinhadas pelas quatro variáveis são mais produtivas e seus resultados são aceitos de forma coletiva. As conclusões foram positivas, o resultado obtido no experimento pôde ser comprovado por meta e reconhecido pelo cliente final dos processos como eficazes. Permitiu de forma complementar concluir sobre aspectos associados ao tipo de atividade das equipes envolvidas, assim como que o fomento do alinhamento operacional evidenciou a contribuição para o alinhamento estratégico constatado pelo modelo de verificação experimentado
L'infezione della democrazia illiberale in Europa tra Ungheria e Italia : un commento a La sindrome ungherese in Europa : media, diritto e democrazia in un'analisi di Law and Politics
No full textThis paper analyses and comments Lucia Bellucci’s La sindrome ungherese in Europa. Media, diritto e democrazia in un’analisi di Law and Politics. The book describes the recent changes in the Hungarian legal system and focuses especially on the Hungarian media law. The author compares it with the Italian media law, which is illustrated as well, and draws the conclusion that the rise of illiberal democracy is not only a reality for Hungary, but also a concrete risk for Italy
Frammenti dell'attrice-giardiniera
No full textLorenza Zambon is actress, author, director. She has created over the years a few solo performances,autobiographical in tone, that deal with her relationship to the ‘otherness’ of the living. Here sheproposes an assembly of fragments from her plays. These texts have been composed to be told in aspecial intimate relationship with the audiences and the sites of performances, be they gardens,woods, landacapes; thus the voice performs a monologue and the style leads towards orality. Theassembly is organized along some key-words, precious to the author, and precisally ‘tree’, ‘macro(forest)’, ‘micro (moss)’, ‘to name’ and ‘wild’
From Retirement to the Pandemic: Unveiling the Impact of Key Life Events Using SHARE Data
No full textSHARE (Survey on Health, Ageing, and Retirement in Europe) pro-vides comprehensive data to study the effects of social, health, economic, and envi-ronmental policies on the lives of individuals aged 50 and over in Europe. We show how SHARE can be used to analyse the effects of retirement on various aspects of individual well-being, including cognitive abilities, familiarity with digital tech-nologies, and financial hardship. We illustrate how retrospective SHARE data can help evaluate the long-term effects of early-life circumstances, such as access to education and childhood family conditions, on lifetime earnings, and the impact of maternity leave policies on job interruptions over the life course. Lastly, the paper discusses how SHARE data collected during the pandemic have been used to assess the economic impact of COVID-19, with a focus on age-related inequal-ities. Through these diverse applications, SHARE data offer valuable insights into the complex dynamics of ageing, health, and economic well-being
The economic impact of the first wave of the pandemic on 50+ Europeans
No full textWe analyse the effects of the first wave of the COVID-19 crisis on the economic situation of 50+ Europeans. We construct a financial distress indicator that captures experiencing an income loss, difficulties to make ends meet and the need to postpone payments. We find that education and income before the pandemic has a protective role, and so does being past retirement age. For households under retirement age, instead, the pandemic has exacerbated inequalities. We also investigate whether households report worse difficulties in making ends meet compared to the pre-COVID-19 period. We show that their ability to make ends meet worsens more with income losses during the pandemic compared to losses experienced in the two-year period before the pandemic
Frammenti dell’attrice-giardiniera
No full textLorenza Zambon, attrice-autrice, ha ideato negli anni una serie di a-solo di timbro autobiografico,accompagnati da musica dal vivo, che entrano nel cuore della sua relazione all’alterità del vivente. Quipropone un montaggio di frammenti tratti dai testi delle sue performance. Si tratta di note scritte per essere raccontate a voce, in un particolare rapporto d’intimità con i partecipanti e i luoghi stessi dellarappresentazione, per elezione giardini, boschi, paesaggi interi; ecco perché hanno un ritmomonologante e tendono all’oralità. Il montaggio è organizzato lungo alcune parole-chiave che sonocare all’autrice: ‘albero’, ‘macro(foresta)’, ‘micro(muschio)’, ‘nominare’, ‘selvatico’.Lorenza Zambon is actress, author, director. She has created over the years a few solo performances,autobiographical in tone, that deal with her relationship to the ‘otherness’ of the living. Here sheproposes an assembly of fragments from her plays. These texts have been composed to be told in aspecial intimate relationship with the audiences and the sites of performances, be they gardens,woods, landacapes; thus the voice performs a monologue and the style leads towards orality. Theassembly is organized along some key-words, precious to the author, and precisally ‘tree’, ‘macro(forest)’, ‘micro (moss)’, ‘to name’ and ‘wild’
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