Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

The determinants of mutual fund performance: A cross-country study

We use a new data set to study the determinants of the performance of open–end actively managed equity mutual funds in 27 countries. We find that mutual funds underperform the market overall. The results show important differences in the determinants of fund performance in the USA and elsewhere in the world. The US evidence of diminishing returns to scale is not a universal truth as the performance of funds located outside the USA and funds that invest overseas is not negatively affected by scale. Our findings suggest that the adverse scale effects in the USA are related to liquidity constraints faced by funds that, by virtue of their style, have to invest in small and domestic stocks. Country characteristics also explain fund performance. Funds located in countries with liquid stock markets and strong legal institutions display better performance.

Transport mechanism in ionic liquid membranes and the study of thiomersal biodegradation

The initial goal of this work was the development of a supported liquid membrane (SLM) bioreactor for the remediation of vaccine production effluents contaminated with a highly toxic organomercurial – thiomersal. Therefore, two main aspects were focused on: 1) the development of a stable supported liquid membrane – using room temperature ionic liquids (RTILs) – for the selective transport of thiomersal from the wastewater to a biological compartment, 2) study of the biodegradation kinetics of thiomersal to metallic mercury by a Pseudomonas putida strain. The first part of the work focused on the evaluation of the physicochemical properties of ionic liquids and on the SLMs’ operational stability. The results obtained showed that, although it is possible to obtain a SLM with a high stability, water possesses nonnegligible solubility in the RTILs studied. The formation of water clusters inside the hydrophobic ionic liquid was identified and found to regulate the transport of water and small ions. In practical terms, this meant that, although it was possible to transport thiomersal from the vaccine effluent to the biological compartment, complete isolation of the microbial culture could not be guaranteed and the membrane might ultimately be permeable to other species present in the aqueous vaccine wastewater. It was therefore decided not to operate the initially targeted integrated system but, instead, the biological system by itself. Additionally, attention was given to the development of a thorough understanding of the transport mechanisms involved in the solubilisation and transport of water through supported liquid membranes with RTILs as well as to the evaluation of the effect of water uptake by the SLM in the transport mechanisms of water-soluble solutes and its effect on SLM performance. The results obtained highlighted the determinant role played by water – solubilised inside the ionic liquids – on the transport mechanism. It became clear that the transport mechanism of water and water-soluble solutes through SLMs with [CnMIM][PF6] RTILs was regulated by the dynamics of water clusters inside the RTIL, rather than by molecular diffusion through the bulk of the ionic liquid. Although the stability tests vi performed showed that there were no significant losses of organic phase from the membrane pores, the formation of water clusters inside the ionic liquid, which constitute new, non-selective environments for solute transport, leads to a clear deterioration of SLM performance and selectivity. Nevertheless, electrical impedance spectroscopy characterisation of the SLMs showed that the formation of water clusters did not seem to have a detrimental effect on the SLMs’ electrical characteristics and highlighted the potential of using this type of membranes in electrochemical applications with low resistance requirements. The second part of the work studied the kinetics of thiomersal degradation by a pure culture of P. putida spi3 strain, in batch culture and using a synthe tic wastewater. A continuous ly stirred tank reactor fed with the synthetic wastewater was also operated and the bioreactor’s performance and robustness, when exposed to thiomersal shock loads, were evaluated. Finally, a bioreactor for the biological treatment of a real va ccine production effluent was set up and operated at different dilution rates. Thus it was possible to treat a real thiomersal-contaminated effluent, lowering the outlet mercury concentration to values below the European limit for mercury effluent discharges.

Extraction automatique d´associations lexicales à partir de corpora

The automatic acquisition of lexical associations from corpora is a crucial issue for Natural Language Processing. A lexical association is a recurrent combination of words that co-occur together more often than expected by chance in a given domain. In fact, lexical associations define linguistic phenomena such as idiomes, collocations or compound words. Due to the fact that the sense of a lexical association is not compositionnal, their identification is fundamental for the realization of analysis and synthesis that take into account all the subtilities of the language. In this report, we introduce a new statistically-based architecture that extracts from naturally occurring texts contiguous and non contiguous. For that purpose, three new concepts have been defined : the positional N-gram models, the Mutual Expectation and the GenLocalMaxs algorithm. Thus, the initial text is fisrtly transformed in a set of positionnal N-grams i.e ordered vectors of simple lexical units. Then, an association measure, the Mutual Expectation, evaluates the degree of cohesion of each positional N-grams based on the identification of local maximum values of Mutual Expectation. Great efforts have also been carried out to evaluate our metodology. For that purpose, we have proposed the normalisation of five well-known association measures and shown that both the Mutual Expectation and the GenLocalMaxs algorithm evidence significant improvements comparing to existent metodologies.

Zinc oxide as an ozone sensor

Journal of Applied Physics, Vol. 96, nº3

Membrane design and characterisation by incorporation of ionic liquids

Dissertação apresentada para obtenção do Grau de Doutor em Engenharia Química, especialidade de Operações Unitárias e Fenómenos de Transferência, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

Multiple sequence alignment correction using constraints

Trabalho apresentado no âmbito do European Master in Computational Logics, como requisito parcial para obtenção do grau de Mestre em Computational Logics

The interrogation of witnesses abroad in execution of a european investigation order: an examination from eyes of the defence

European Master Human Rights and Democratisation

Correction of spatial distortion in magnetic resonance imaging

Dissertation to Obtain the Degree of Master in Biomedical Engineering

Pipelined analog-to-digital conversion using current-mode reference shifting

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica e de Computadores

Effects of Spatial Pattern of GreenSpace on Land Surface Temperature: A case study on Oasis City Aksu, northwest China

Dissertation submitted in partial fulfillment of the requirements for the Degree of Master of Science in Geospatial Technologies.

An approach to teach Calculus/Mathematical Analysis (for engineering students) using computers and active learning – its conception, development of materials and evaluation

Dissertação para obtenção do Grau de Doutor em Ciências da Educação

Renewable energy systems the theme for the PACITA summer school on TA, Liège, Belgium, 25 28 June 2012

The summer school “Renewable Energy Systems: Role and Use of Parliamentary Technology Assessment” was the first European Summer School with a pure focus on technology assessment. The aim of the three-day long summer school of the European project Parliaments and Civil Society in Technology Assessment (PACITA) was to create awareness of the potential of technology groups in Europe. Therefore, the summer school involved keynotes, practical exercises, mutual reflection, cutting edge training and networking to deal with the theme of renewable energy systems out of the perspective of Technology Assessment (TA), to meet transition objectives or to critically assess energy technologies.

Routine as deviation

We draw on evidence scattered across thick descriptions of organizations to outline an alternative model of routine. Instead of defining routine as a process of compliance with prescribed rules and procedures we define it as a process of deviation from the prescribed elements of organizations, resulting from the mutual constitution of repetitive work and improvisation. This view of routine underscores its adaptive nature and suggests that flexibility can be achieved not only by nimble and openly innovative organizations but also by large and organizations engaging in ‘closet’ innovation.

Pricing of exchange traded funds

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