9 resultados para [JEL:D46] Microeconomics - Market Structure and Pricing - Value Theory


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The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

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This paper explores the management structure of the team-based organization. First it provides a theoretical model of structures and processes of work teams. The structure determines the team’s responsibilities in terms of authority and expertise about specific regulation tasks. The responsiveness of teams to these responsibilities are the processes of teamwork, in terms of three dimensions, indicating to what extent teams indeed use the space provided to them. The research question that this paper addresses is to what extent the position of responsibilities in the team-based organization affect team responsiveness. This is done by two hypotheses. First, the effect of the so-called proximity of regulation tasks is tested. It is expected that the responsibility for tasks positioned higher in the organization (i.e. further from the team) generally has a negative effect on team responsiveness, whereas tasks positioned lower in the organization (i.e. closer to the team) will have a positive effect on the way in which teams respond. Second, the relationship between the number of tasks for which the team is responsible with team responsiveness is tested. Theory suggests that teams being responsible for a larger number of tasks perform better, i.e. show higher responsiveness. These hypotheses are tested by a study of 109 production teams in the automotive industry. The results show that, as the theory predicts, increasing numbers of responsibilities have positive effects on team responsiveness. However, the delegation of expertise to teams seems to be the most important predictor of responsiveness. Also, not all regulation tasks show to have effects on team responsiveness. Most tasks do not show to have any significant effect at all. A number of tasks affects team responsiveness positively, when their responsibility is positioned lower in the organization, but also a number of tasks affects team responsiveness positively when located higher in the organization, i.e. further from the teams in the production. The results indicate that more attention can be paid to the distribution of responsibilities, in particular expertise, to teams. Indeed delegating more expertise improve team responsiveness, however some tasks might be located better at higher organizational levels, indicating that there are limitations to what responsibilities teams can handle.

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J. Am. Chem. Soc., 2004, 126 (28), pp 8614–8615 DOI: 10.1021/ja0490222

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

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This paper aims at analyzing the effects of lobbying over economic growth and primarily welfare. We model explicitly the interaction between policy-makers and firms in a setup where the latter undertakes political contributions to the former in exchange for more restrictive market regulations which induce exit and enhance the profitability of the market. In a sectorial equilibrium, despite stimulating growth, lobbying restricts the market structure and reduces welfare when compared to the free-entry outcome. However, once general equilibrium considerations are taken into account, we find that lobbying may improve welfare over a welfare maximizing free-entry equilibrium, by means of an expansion in aggregate demand. This introduces a new paradigm in the literature about the effects of lobbying over economic performance.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

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I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high- lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.

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This paper analyses the Portuguese stock market since it reopened in 1977, with a special focus on the evolution of the statistic and stochastic characteristics of the market return throughout this 36 year period. The market return for the period of time between 1977 and 2012 (September 28th) is estimated and then compared with the return that would have been achieved with Government bonds and treasury bills, which allows us to confirm that the hierarchy of return / risk across the different financial instruments is verified. The market risk premium for this 36 year period is also estimated and a comparison with other markets is performed, suggesting that the Portuguese market’s risk has not been compensated by an adequate return. The study also examines the evolution of the Portuguese market’s volatility in the 1977-2012 period and compares it with other markets, showing the existence of extremely high peaks during the first 11 years, but indicating a downwards trend throughout the whole period under analysis. Finally, the correlation between market returns for Portugal and for other countries and the degree of integration are estimated and their evolution throughout time is assessed, leading to the conclusion that the performance of the Portuguese stock market has become increasingly correlated with major European markets – correlation with some markets close to 0.70 from 2000 onwards-, but that country-specific risk factors are still relevant.

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This thesis is a case study on Corporate Governance and Business Ethics, using the Portuguese Corporate Law as a general setting. The thesis was conducted in Portugal with illustrations on past cases under the Business Judgment Rule of the State of Delaware, U.SA along with illustrations on current cases in Portugal under the Portuguese Judicial setting, along with a comparative analysis between both. A debate is being considered among scholars and executives; a debate on best practices within corporate governance and corporate law, associated with recent discoveries of unlawful investments that lead to the bankruptcy of leading institutions and an aggravation of the crisis in Portugal. The study aimed at learning possible reasons and causes for the current situation of the country’s corporations along with attempts to discover the best way to move forward. From the interviews and analysis conducted, this paper concluded that the corporate governance structure and legal frameworks in Portugal were not the sole influencers behind the actions and decisions of Corporate Executives, nor were they the main triggers for the recent corporate mishaps. But it is rather a combination of different factors that played a significant role, such as cultural and ethical aspects, individual personalities, and others all of which created gray areas beyond the legal structure, which in turn accelerated and aggravated the corporate governance crisis in the country.