Eficiência nos mercados de capitais: forma fraca - PSI20

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Long-run consumption risk with durable goods : UK evidence for equity and bond markets

"It is a widely accepted fact that the consumption-based capital asset pricing model (CCAPM) fails to provide a good explanation of many important features of the behaviour of financial market returns in a large range of countries over a long period of time. However, within a representative consumer/investor model, it is hard to see how the basic structure of the consumption based model can be safely abandoned." [introdução]

Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

Gestão do conhecimento e do capital intelectual - Estudo sobre a divulgação do capital intelectual em empresas portuguesas

Mestrado em Gestão e Empreendedorismo

Análise empírica da informação voluntária sobre capital intelectual no setor bancário espanhol

A contabilidade financeira tradicional está perdendo relevância frente a nova economia. O valor contábil das empresas se distanciam cada vez mais do seu valor de mercado, principalmente nas organizações de alta tecnologia e serviços. Perante essa conjuntura, surge a polêmica, defendida por alguns pesquisadores, de que as demonstrações contábeis não estão mais retratando o verdadeiro valor da empresa, uma vez que o valor dos livros das empresas estão muito aquém do seu corresponente valor de mercado (Lev, 2003, p. 21-24). Esta diferença vem sendo explicada, por uma infinidade de autores como: Capital Intelectual o Ativo Intangível. Diante do que foi exposto, inegavelmente os intangíveis, nos últimos anos, ganharam mais importância para as organizações. O desafio, portanto, consiste em identificar, medir, gerir e informar o capital intelectual. Este artigo tem a finalidade de verificar, através do estudo empírico, qual a relação existente entre os modelos de capital intelectual propostos na literatura, e analisados neste trabalho, com os informes divulgados pelos bancos espanhóis. Para isto, em primeiro lugar tratamos de definir o termo Capital Intelectual (CI); em seguida apresentaremos algumas agrupações existentes de modelos de CI, para assim podermos selecionar os mais apropriados para a informação externa (reporting). Em um terceiro momento analisamos a divulgação de informes das Contas Anuais destas instituições. Por fim evidenciamos as conclusões a que chegamos, onde podemos observar que há um distanciamento entre os modelos utilizados na prática pelos bancos e os modelos teóricos.

Estudo para a implementação de plataformas de e-learning no sistema de formação dos recursos humanos da saúde: o caso particular dos enfermeiros de um hospital privado

Mestrado em Intervenção Sócio-Organizacional na Saúde - Área de especialização: Políticas de Administração e Gestão de Serviços de Saúde.

Volatilidade implícita: estudo de caso

Mestrado em Controlo de Gestão dos Negócios

Titularização: inovação financeira, gestão de crédito e Normas Internacionais de Contabilidade

Mestrado em Auditoria

Contabilidade do capital humano: considerações na aplicação de uma PME

Mestrado em Contabilidade

Adoção da NCRF 17 nas maiores empresas do sector agrícola em Portugal

Mestrado em Contabilidade

Portuguese newspapers’ front-page and the coverage of European Cultural Capital: Porto 2001 and Guimarães 2012

Portugal hosted in the last thirteen years, two editions of the event European Cultural Capital; this paper intends to illustrate the coverage that Portuguese newspapers (daily newspapers Público, Diário de Notícias, Correio da Manhã and Jornal de Notícias, a weekly newsmagazine Visão and a weekly newspaper Expresso) made, through referrals in front-page and respective developments within the editions, to each of the events and that allows us to define the main moments that marked each of them, patterns of action, the major players, planning and programming types. The European Cultural Capital project elects, from year to year, cities of different EU member states with the main goal of “contributing to bring together the Europe´s people" (words of Mélina Mercouri, Greek Minister of Culture who, in 1985, proposed the launch of this initiative) and encouraging the elected urban space to present new cultural paradigms. In the genesis of this model is the cultural decentralization’s vector, a possibility to medium-sized cities of funding public works, restoring heritage and promoting themselves in touristic terms, of giving visibility to cities away from cultural and creative industries’ major distribution centers. A crucial factor to achieve this goal is media coverage. This paper outline the information that the Portuguese press ran over the two years that elapsed the latest editions of the European Cultural Capital in Portugal, namely that media coverage have deviated from the disclosure of the events’ schedule to suggest itineraries of visit and little or not even question the role that cities, promoting such initiatives, have as places of innovation in terms of cultural policies, artistic production and innovation, in urban and environmental regeneration, in economic revitalization, in training and creating new artists and new audiences and in boosting the confidence of local communities. The content analysis performed to articles shows how press is essential to the promotion of cities as cultural/touristic destinations as it stimulates consumption among residents and attracts visitors, with the possible dire consequence of turning the cultural journalist into an agent of touristic instead of cultural promotion.

Partial utility-driven scheduling for flexible SLA and pricing arbitration in clouds

Cloud SLAs compensate customers with credits when average availability drops below certain levels. This is too inflexible because consumers lose non-measurable amounts of performance being only compensated later, in next charging cycles. We propose to schedule virtual machines (VMs), driven by range-based non-linear reductions of utility, different for classes of users and across different ranges of resource allocations: partial utility. This customer-defined metric, allows providers transferring resources between VMs in meaningful and economically efficient ways. We define a comprehensive cost model incorporating partial utility given by clients to a certain level of degradation, when VMs are allocated in overcommitted environments (Public, Private, Community Clouds). CloudSim was extended to support our scheduling model. Several simulation scenarios with synthetic and real workloads are presented, using datacenters with different dimensions regarding the number of servers and computational capacity. We show the partial utility-driven driven scheduling allows more VMs to be allocated. It brings benefits to providers, regarding revenue and resource utilization, allowing for more revenue per resource allocated and scaling well with the size of datacenters when comparing with an utility-oblivious redistribution of resources. Regarding clients, their workloads’ execution time is also improved, by incorporating an SLA-based redistribution of their VM’s computational power.