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.

On the choice of posittioning and cluster size for fixed relay stations in a LTE network

The long term evolution (LTE) is one of the latest standards in the mobile communications market. To achieve its performance, LTE networks use several techniques, such as multi-carrier technique, multiple-input-multiple-output and cooperative communications. Inside cooperative communications, this paper focuses on the fixed relaying technique, presenting a way for determining the best position to deploy the relay station (RS), from a set of empirical good solutions, and also to quantify the associated performance gain using different cluster size configurations. The best RS position was obtained through realistic simulations, which set it as the middle of the cell's circumference arc. Additionally, it also confirmed that network's performance is improved when the number of RSs is increased. It was possible to conclude that, for each deployed RS, the percentage of area served by an RS increases about 10 %. Furthermore, the mean data rate in the cell has been increased by approximately 60 % through the use of RSs. Finally, a given scenario with a larger number of RSs, can experience the same performance as an equivalent scenario without RSs, but with higher reuse distance. This conduces to a compromise solution between RS installation and cluster size, in order to maximize capacity, as well as performance.

Mousetrapping: the ordeals of interpretation

Tese de doutoramento, Estudos Literários (Teoria da Literatura), Universidade de Lisboa, Faculdade de Letras, 2012