Geographical versus Industrial Diversification: A Mean Variance Spanning Approach

This paper addresses whether country allocation provides benefits over industry allocation in a sample of European country and industry indexes. Strategy performance is compared using a mean-variance spanning test. We find that, for investors with low risk aversion, industry allocation is as good as investing in the complete set of assets. Moreover, in the most recent subperiod coinciding with the inception of the Euro, country and industry diversification are both effective. By contrast, investors with high risk aversion should always mix country and industry portfolios. A striking aspect of our analysis is that we do not find empirical evidence to support the argument that country diversification is a superior approach.Diversification gains, EMU, mean-variance spanning, portfolio allocation strategies

Geographic versus industry diversification: constraints matter

This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic tangency portfolio is not attainable by industry portfolios. Results with upper and lower constraints on portfolio weights as well as an out-of-sample analysis show that geographic diversification almost consistently outperforms industry portfolios, although we cannot establish statistical significance. JEL Classification: G11, G15block-bootstrap tests, Diversification gains, EMU, geographic diversification, industry diversification

Do international portfolio investors follow firms’ foreign investment decisions?

We analyze the interlinkages between foreign direct investment (FDI) and foreign portfolio investment (FPI) between Germany and the major economies. First, we show that Tobin’s q helps explaining the variation of the growth rate of the stock of FDI. Second, we show that foreign and the home stock market returns explain the ariation of the growth rate of the stock of FPI. Most importantly, we find that information about foreign fundamentals is revealed via direct investment. In other words, FDI transactions measured by fitted growth rates of the stock of FDI help explaining current growth rates of the stock of FPI. To our knowledge this observation is the first unambiguous evidence that international portfolio investors follow firms’ expected foreign investment decisions. JEL Classification: F21, F23, G11, G15and Information Spillovers, Foreign Direct Investment, Foreign Portfolio Investment, Investor Heterogeneity, Tobin’s q

When does cash matter? : evidence for private firms

Using a database of more than 180,000 private companies from 2000 to 2009, we find that the benefits of holding more cash vary substantially with a firm’s size and the conditions it faces. Cash holdings matter most for small firms: when there are negative shocks to industry or macroeconomic conditions, a small firm’s cash holdings are positively associated with changes in its sales and assets. Cash is less important for other conditions. Differences in the benefits of cash holdings between large and small firms are traced to a firm’s ability – and willingness – to increase leverage when there is a cash shortfallUtilizando una base de datos de más de 180.000 empresas privadas desde el año 2000 hasta el 2009, encontramos que los benefi cios de mantener más efectivo varían sustancialmente dependiendo del tamaño y de la situación de cada compañía. La tenencia de liquidez afecta, fundamentalmente, a las pequeñas empresas. En casos de shocks negativos en la industria o en la situación macroeconómica, la tenencias de efectivo por parte de empresas pequeñas se asocia positivamente a los cambios en sus ventas y activos. La liquidez es menos relevante en otros casos. Las diferencias en los benefi cios por mantener efectivo entre grandes y medianas empresas se relaciona con la capacidad, y voluntad, de cada una de ellas de aumentar el apalancamiento cuando hay un défi cit de capita

Disagreement about inflation and the yield curve

Este trabajo muestra cómo las discrepancias en torno a la inflación esperada abren una brecha entre las rentabilidades reales y nominales y elevan sus niveles y volatilidades. Se demuestra empíricamente que un incremento de estas discrepancias en una desviación estándar aumenta las rentabilidades reales y nominales y sus volatilidades, la inflación break-even y la prima de riesgo de inflación por lo menos en el 30 % de sus respectivas desviaciones estándar. Las discrepancias en torno a la inflación esperada están positivamente relacionadas con la volatilidad de sección cruzada del crecimiento del consumo y con la participación de los consumidores en los mercados de bonos, futuros sobre tipos de interés y swaps de inflación. La calibración del modelo a los datos de discrepancias en la inflación esperada, inflación y rentabilidades reproduce el impacto económicamente significativo de las discrepancias en torno a la inflación esperada sobre las curvas de rentabilidades reales y nominalesWe show theoretically that inflation disagreement drives a wedge between real and nominal yields and raises their levels and volatilities. We demonstrate empirically that an inflation disagreement increase of one standard deviation raises real and nominal yields and their volatilities, break-even inflation, and the inflation risk premium by at least 30% of their respective standard deviations. Infl ation disagreement is positively related to consumers’ cross-sectional consumption growth volatility and trading in bonds, interest rate futures, and inflation swaps. Calibrating the model to disagreement, inflation, and yield data reproduces the economically significant impact of inflation disagreement on real and nominal yield curve

Senior Jazz Recital

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Study of the piezoresistivity of doped nanocrystalline silicon thin films

The piezoresistive response of n- and p-type hydrogenated nanocrystalline silicon thin films, deposited by hot-wire (HW) and plasma-enhanced chemical vapor deposition (PECVD) on thermally oxidized silicon wafers, has been studied using four-point bending tests. The piezoresistive gauge factor (GF) was measured on patterned thin-film micro-resistors rotated by an angle θ with respect to the principal strain axis. Both longitudinal (GFL) and transverse (GFT) GFs, corresponding to θ = 0° and 90°, respectively, are negative for n-type and positive for p-type films. For other values of θ (30°, 45°, 120°, and 135°) GFs have the same signal as GFL and GFT and their value is proportional to the normal strain associated with planes rotated by θ relative to the principal strain axis. It is concluded that the films are isotropic in the growth plane since the GF values follow a Mohr’s circle with the principal axes coinciding with those of the strain tensor. The strongest p-type pirezoresistive response (GFL = 41.0, GFT = 2.84) was found in a film deposited by PECVD at a substrate temperature of 250 °C and working pressure of 0.250 Torr, with dark conductivity 1.6 Ω−1cm−1. The strongest n-type response (GFL =− 28.1, GFT =− 5.60) was found in a film deposited by PECVD at 150 °C and working pressure of 3 Torr, with dark conductivity 9.7 Ω−1cm−1. A model for the piezoresistivity of nc-Si is proposed, based on a mean-field approximation for the conductivity of an ensemble of randomly oriented crystallites and neglecting grain boundary effects. The model is able to reproduce the measured GFL values for both n- and p-type films. It fails, however, to explain the transversal GFT data. Both experimental and theoretical data show that nanocrystalline silicon can have an isotropic piezoresistive effect of the order of 40% of the maximum response of crystalline silicon.Fundação para a Ciência e a Tecnologia (FCT) - PTDC/CTM/66558/2006, bolsa de investigação SFRH/BSAB/883/200

Artist in Residence Recital

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Honors Convocation

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