The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder.

Idiosyncratic risk really drives stock returns; Spanish evidence

Following the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanish stock market over the period 1987-2007. Our results show a positive relation between returns and individual indiosyncratic risk levels and a negative but lower relation with the aggregate measure of idiosyncratic risk. These findings have important implications for portfolio and risk management and contribute to provide a unified and coherent answer for the main and still unsolved question about the idiosyncratic risk puzzle: whether or not there exists a premium associated to this kind of risk and the sign for this risk premium.

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]

XII Iberian-Italian Congress of Financial and Actuarial Mathematics

"The purpose of the XII Iberian-Italian Congress of Financial and Actuarial Mathematics is to provide a meeting point for researchers in Financial Economics from different countries and research backgrounds in universities, government or financial institutions. In fact, the Congress which is currently taking place in Lisbon has been organized to encourage communication and debate among the participants as well as to reinforce the bonds between us.The current edition of the Congress is characterized by the quality and diversity of the papers that have been submitted with special attention to the International Financial Crisis and measures of risk in different financial markets. However, as the Congress Program indicates, there are also parallel sessions about traditional topics in finance such as asset pricing, insurance, corporate finance, etc.Although this Congress has always been organized alternately between Spain and Italy, this year we have the great pleasure of celebrating it in Portugal which will be included as a permanent partner." [prefácio]

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.

Pricing intraday dynamics across EUAS and CERS markets

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

Contributos de um ambiente de geometria dinâmica (geogebra) e do geoplano na compreensão das propriedades e relações entre quadriláteros: um estudo com alunos do 4.º ano

O estudo insere-se no âmbito da educação matemática, mais especificamente na área da geometria. Com esta investigação pretende-se compreender qual o contributo do Ambiente de Geometria Dinâmica (AGD), GeoGebra, e do material manipulável (geoplano) na identificação das propriedades e relações entre quadriláteros: trapézio, paralelogramo, retângulo, losango e quadrado. De acordo com o objetivo do estudo formularam-se três questões: Qual o papel das representações na identificação das propriedades dos quadriláteros? Que influência tem a visualização na identificação das propriedades dos quadriláteros? Quais os contributos da utilização do AGD, GeoGebra, e do material manipulável (geoplano) na compreensão das propriedades e relações entre os quadriláteros? Atendendo à problemática em estudo, optou-se por uma metodologia de investigação predominantemente qualitativa, baseada em três estudos de caso. A recolha de dados empíricos foi realizada numa turma de 4.º ano do 1.º ciclo do ensino básico onde se implementou uma experiência de ensino, envolvendo todos os alunos e recorrendo ao geoplano e ao GeoGebra. Essa recolha incidiu na observação participante, em sala de aula, no registo de notas da investigadora, nos documentos produzidos pelos alunos e nos registos áudio e vídeo das discussões nos grupos e no coletivo da turma. Em termos de resultados, salienta-se que a utilização de representações evidenciou a compreensão que os alunos têm dos conceitos, facilitou a identificação das propriedades dos quadriláteros e a compreensão das relações entre eles. Os alunos identificaram as propriedades com base nas representações, no entanto focaram-se em casos particulares, de acordo com a imagem mental que têm da figura, especificamente o protótipo, indiciando a influência da visualização. Dos resultados sobressai também a dificuldade que os alunos sentiram em considerar uma figura como representante de uma classe e em distinguir atributos essenciais e não essenciais. Da análise dos dados ressalta também que tanto o geoplano como o GeoGebra foram uma mais-valia na concretização da experiência de ensino deste estudo. Os dois possuem vantagens e limitações e podem ser usados de maneira que um complemente o outro, podendo dessa forma contribuir, favoravelmente, para a aprendizagem da geometria. - ABSTRACT The study falls within the scope of mathematics education, specifically in the area of geometry. This research aims to understand the contribution of the Dynamic Geometry Environment (GeoGebra) and manipulative material (Geoboard) in the identification of properties and relations of quadrilaterals: trapezium, parallelogram, rectangle, diamond and square. According to the purpose of the study three questions were formulated: What is the role of the representations in the identification of the properties of quadrilaterals? What is the influence of visualization on the identification of the properties of quadrilaterals? What are the contributions on the use of Dynamic Geometry Environment (GeoGebra) and manipulative material (Geoboard) to understand the properties and relationships among quadrilaterals? Given the problem under study, it was chosen a predominantly qualitative research methodology based on three case studies. The empirical data collection was carried out on a fourth primary grade class, where it was implemented a teaching experience, involving all students and the use of Geoboard and GeoGebra. This collection was focused on participant observation in the classroom, in the record of the researcher’s notes, the documents produced by the students and the audio and video recordings of group discussions and collective class. In terms of results, it is noted that the use of representations showed the students understanding of the concepts and that it has facilitated the identification of the properties of quadrilaterals and understanding of the relationships between them. The students identified properties based on representations, however they focused in particular cases, according to the mental image that they have of the figure, specifically the prototype, indicating the influence of visualization. Results also highlights the difficulty that students felt in considering a figure as a representation of a group and distinguishing essential and nonessential attributes. Data analysis also highlights that both Geoboard and GeoGebra have been an asset in the delivery of teaching experience in this study. Both have advantages and limitations and they may be used to complement each other and contribute favorably to the learning of geometry.

Membrane selectivity versus sensor response in hydrogenated amorphous silicon CHEMFETs using a semi-empirical model

Toxic amides, such as acrylamide, are potentially harmful to Human health, so there is great interest in the fabrication of compact and economical devices to measure their concentration in food products and effluents. The CHEmically Modified Field Effect Transistor (CHEMFET) based onamorphous silicon technology is a candidate for this type of application due to its low fabrication cost. In this article we have used a semi-empirical modelof the device to predict its performance in a solution of interfering ions. The actual semiconductor unit of the sensor was fabricated by the PECVD technique in the top gate configuration. The CHEMFET simulation was performed based on the experimental current voltage curves of the semiconductor unit and on an empirical model of the polymeric membrane. Results presented here are useful for selection and design of CHEMFET membranes and provide an idea of the limitations of the amorphous CHEMFET device. In addition to the economical advantage, the small size of this prototype means it is appropriate for in situ operation and integration in a sensor array.

A arte contemporânea enquanto elemento facilitador da auto valorização dos jovens perante as suas criações artísticas

Dissertação apresentada à Escola Superior de Educação de Lisboa para obtenção de grau de mestre em Educação Artística, na Especialização de Artes Plásticas na Educação

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.