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.

Quantificação da difusão na ressonância magnética da mama: ADC e Kurtosis

Mestrado em Radiações Aplicadas às Tecnologias da Saúde. Área de especialização: Ressonância Magnética

Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

Os efeitos das variações das taxas de juro na volatilidade dos mercados bolsistas

Mestrado em Controlo de Gestão e dos Negócios

Interference detection in GNSS signals using Gaussianity criterion

We assess the performance of Gaussianity tests, namely the Anscombe-Glynn, Lilliefors, Cramér-von Mises, and Giannakis-Tsatsanis (G-T), with the purpose of detecting narrowband and wideband interference in GNSS signals. Simulations have shown that the G-T test outperforms the others being suitable as a benchmark for comparison with different types of interference detection algorithms. © 2014 EURASIP.