Evidence of market anomalies in the Eurozone: A practical implementation

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance and Financial Economics from NOVA – School of Business and Economics and Maastricht University

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Comparateive analysis: Public and private school management systems

The Portuguese educational system has counted, for many years, with the co-existence of both public and private schools. In fact, the country’s growth and development led, in the past, to an increasing demand for free of charge public education that could only be matched through the creation of “publicly-subsidized and privately owned and managed schools”. Still, the demographic evolution of Portugal recently generated a decrease on the demand for public educational services. This situation has raised doubts about the true contribution of this type of school for the public education system. This paper aims at answering this question by isolating the impact of different property and management schemes on the performance of students, resorting to cross-section data on 9th grade students from 2010. The results corroborate the well known result on the relevance of the family socio-economic background for students’ performance, but do also sustain the existence of a significant positive impact of private ownership and management schemes on the overall performance of students. These results suggest that there might be gains associated with the expansion of such schemes within the public education system.

Optimisation and design of post-tensioning anchorage corner blisters in concrete box girder bidges

The design of anchorage blisters of internal continuity post-tensioning tendons of bridges built by the cantilever method, presents some peculiarities, not only because they are intermediate anchorages but also because these anchorages are located in blisters, so the prestressing force has to be transferred from the blister the bottom slab and web of the girder. The high density of steel reinforcement in anchorage blisters is the most common reason for problems with concrete cast in situ, resulting in zones with low concrete compacity, leading to concrete crushing failures under the anchor plates. A solution may involve improving the concrete compression and tensile strength. To meet these requirements a high-performance fibre reinforced self-compacting mix- ture (HPFRC) was used in anchorage corner blisters of post-tensioning tendons, reducing the concrete cross-section and decreasing the reinforcement needed. To assess the ultimate capacity and the adequate serviceability of the local anchorage zone after reducing the minimum concrete cross-section and the confining reinforcement, specified by the anchorage device supplier for the particular tendon, load transfer tests were performed. To investigate the behaviour of anchorage blisters regarding the transmission of stresses to the web and the bottom slab of the girder, and the feasibility of using high performance concrete only in the blister, two half scale models of the inferior corner of a box girder existing bridge were studied: a reference specimen of ordinary reinforced concrete and a HPFRC blister specimen. The design of the reinforcement was based in the tensile forces obtained on strut-and-tie models. An experimental program was carried out to assess the models used in design and to study the feasibility of using high performance concrete only in the blister, either with casting in situ, or with precast solutions. A non-linear finite element analysis of the tested specimens was also performed and the results compared.