Two essays on the predictability of asset prices: Benchmarking problems and long horizon abnormal returns and, Low R square in the cross section of expected returns

This dissertation consists of two essays on predictability of asset prices. Benchmarking problems and long horizon abnormal returns and, Low R-square in the cross section of expected returns . Long run abnormal returns following Initial Public Offerings (IPOs), Seasoned Equity Offers (SEO) and other firm level events are well documented in the finance literature. These findings are difficult to reconcile in an efficient markets world. I examine the seriousness of potential benchmarking errors on the measurement of abnormal returns. I find that the simpler, more parsimonious models perform better in practice and finds that excess performance is not predictable regardless of the APM. Thus, the long run underperformance following SEOs found in the literature is consistent with market efficiency because excess performance itself is not predictable. In the other essay, Low R-square in the cross section of expected returns , I examine the “low R-square†phenomenon observed in the literature. CAPM predicts exact linear relationship between return and betas (SML). This means that estimated time series betas for firms should be related with firms\u27 future returns. However, the estimated betas have almost no relationship with future returns. The cross-sectional R2 are surprising low (3% average) while time series R2 are higher (around 30 % average). He develops a simple asset pricing model that explains this phenomenon. Even in a perfect world where there are no errors in the benchmark measurement or estimation of the price of market risk the difference in R-squares can be quite large due to the difference in variance between the market and average returns. I document that market variance exceeds the variance of average returns, with few exceptions, for the last 74 years

Re-examining inflation and inflation uncertainty in developed and emerging countries

This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed

Re-examining inflation and inflation uncertainty in developed and emerging countries

This study examines the relationship between inflation and inflation uncertainty for both developed and emerging countries using the asymmetric power GARCH model. We find new evidence that suggests that positive inflationary shocks have stronger impacts on inflation uncertainty for mainly Latin American countries. We also find that inflation causes inflation uncertainty for most countries but the evidence for causality of the opposite direction is mixed

PVDF/BaTiO3/carbon nanotubes ternary nanocomposites: Effect of nanofillers and processing

Ternary thermoplastic systems based on poly(vinylidene fluoride), PVDF, filled with barium titanate, BaTiO3, submicrometric particles and carbon nanotubes, CNT, were prepared. Their structure and morphology were studied as a function of composition and finally correlated with thermal and mechanical properties. High energy ball milling, HEBM, under cryogenic conditions and subsequent hot pressing were used to obtain films with quite uniform dispersion of the nanofillers. The presence of BaTiO3 particles and CNT did not modify the thermodegradation mechanism of the PVDF. However, enough amount of BaTiO3 seemed to inhibit the volatility of the products of pyrolysis, hindering the decomposition of PVDF. The presence of CNT favored the PVDF thermodegradation probably due to improved heat transmission by an increase in the thermal conductivity. Variations in PVDF thermal transitions were more dependent of processing conditions. Improvements in the mechanical properties of PVDF were ascribed to a reinforcing effect of the fillers. This effect only happened below the fraction of percolation of CNT, pointing out that CNT reinforce through an optimum load transfer from the PVDF matrix to the nanofillers

Pressefotografen zwischen dem Ersten und dem Zweiten Weltkrieg

Das Thema meiner Arbeit sind die Pressefotografen die zwischen 1918 und 1939 in Wien tätig waren. Sie sind in einer Biografiensammlung zusammengefasst. Dafür habe ich in der einschlägigen Literatur nach der Geschichte der Pressefotografie gesucht. Ich habe in Zeitungen und Zeitschriften nach Fotografien mit Signatur gesucht. Außerdem habe ich in der "Albertina Datenbank" (Biobibliografie zur Fotografie) und im "Lexikon zur Fotografie in Österreich 1839 bis 1945" von Timm Starl nach Namen geforscht. Die gefundenen Namen habe ich in meine Sammlung aufgenommen. Zu diesen Namen habe ich im "Österreichischen Staatsarchiv" und im "Wiener- Stadt und Landesdesarchiv" nach Daten zu den Personen angefragt. Die Biografiensammlung besthet aus 58 Personen (männlich und weiblich). Sie zeigt die Arbeits- und Lebensweise der Pressefotografen in diesem Zeitraum und die Auswirkungen der politischen Geschenisse darauf.The subject of my paper are the press photographers who worked in Vienna from 1918 to 1939. They are summarized in a group biography. I looked up the history of press photography in litrature. I serched for pictures with signatures in news papers and magazines and allso looked for Names in the "Albertina Datenbank" (Biobibliografie zur Fotografie) and in the "Lexikon zur Fotografie in Österreich 1839 bis 1945" from Timm Starl. I integrated the names that I had found in my collection. I serched for the names in the "Österreichisches Staatsarchiv" and in the "Wiener Stadt- und Landesarchiv" to get dates of the persons. The biography collection contains 58 press photograpers (male and female). It shows the work and worldly wise of them and how political events influenced it

Kinetic study of the intercalation process of dimethylsulfoxide in kaolinite

A kinetic study of the intercalation reaction of dimethylsulfoxide (DMSO) into the layers of kaolinite was carried out. Several kaolinite–DMSO mixtures were analyzed at four temperatures (60, 50, 45 and 40 °C). Structural characterization was done by X-ray diffraction (XRD). The intercalation reaction was followed by XRD of the kaolinite–DMSO intercalates at different reaction times and temperatures. A kinetic analysis of the process was performed considering a two-step simple mechanism for consecutive reactions: ingress of DMSO molecules into the kaolinite galleries and subsequent rotation of DMSO molecules. Finally, the activation energies of the two steps proposed for the global intercalation process were estimated

A near-infrared spectroscopy study on thermal transitions of PMMA and PMMA/SiO2 nanocomposites

In this work infrared spectroscopy in the near infrared (NIR) range is used to study the dynamics of polymethylmethacrylate (PMMA) as a pure polymer and when it is modified with silica nanoparticles. Different ways of analyzing FT-NIR spectra were explored taking the temperature as the variable of the systems: i) bands shifts in terms of the first moment of the wavenumber; ii) bands shifts in terms of an absorbance ratio method and iii) absorbance variations in terms of the integrated absorbance. The spectroscopic analysis allowed to study thermal transitions in PMMA and PMMA based nanocomposites. In particular the method based on the use of an absorbance ratio is the most sensible to analyze the thermal transitions. All bands considered could be used to detect thermal transitions reflecting how the vibrations of the groups CH2; CH3 and C¼O are affected by changes in the free volume of the PMMA. It seems that the PMMA dynamics is more driven by the lateral groups than the backbone of the polymer. The presence of silica nanoparticles, at least when 1% by weight is used, restrains the PMMA motion increasing the relaxation temperatures that can be associated with the glass transitions

Sostenibilidad de recursos energéticos fosiles y minerales: Uso racional de abastecmiento y cosumo

Esta primera parte referente a la “Garantía del Suministro Energético” sirve como introducción al informe realizado por este Grupo de Trabajo sobre “Sostenibilidad de los Recursos Energéticos Fósiles y Minerales: Uso Racional en el Abastecimiento y Consumo”. Queremos, en primer lugar, agradecer al Congreso del Medio Ambiente la oportunidad de poder debatir este tema de trascendencia capital para la economía global y, de forma especial, a José Sierra, Consejero de la Comisión Nacional de Energía su contribución desinteresada e imprescindible para el desarrollo de este trabajo