Symmetry-out asymmetry-in: the role of DMRT2

Dissertation presented to obtain the PhD degree in Biology

Using cilia mutants to study left-right asymmetry in zebrafish

A thesis submitted in fulfillment of the requirements for the degree of the Masters in Molecular Genetics and Biomedicine

Fiscal adjustments and sovereign default in different government systems

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

Intraday volatility

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

Differences in the prices of physical ETF’s and synthetic ETF’s

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

Testing for volatility persistence change: The effect of the credit crisis on the Portuguese banks

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

Fearful asymmetry: An analysis of pre-earnings abnormal returns

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

Molecular tools to dissect the role of Dmrt2a and Dmrt2b in the left-right axis formation in zebrafish

Dissertação para obtenção do Grau de Mestre em Genética Molecular e Biomedicina

Hedging in a discontinuous market: the barrier option

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

Corporate social responsibility levels and firm performance: Evidence from countries in crisis

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

Stops and bonanzas in the EU: Does being part of the Euro Area make a difference?

In this paper, we investigate whether being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza of capital flows. Our sample period is from 1995 until 2014. We identify these two phenomena and we evaluate which push and pull factors help predict the conditional probability of experiencing one of them. We find that most countries had significant capital inflows until 2008 and that there were more sudden stops during the recent financial crisis than in any other moment in our sample. The factors that better help forecast the conditional probability of a sudden stop are global uncertainty (represented by the push factor “Volatility Index”), and the domestic economic activity (pull factors “GDP growth” and “consumer confidence”). An indicator of country risk (pull factor “change in credit rating”) is the most significant one for predicting bonanzas. Ultimately, we find no evidence that being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza.

Fiscal adjustments and sovereign default in different government systems

This paper extends the model of Spolaore (2004) about adjustments in di erent government systems for the context of scal adjustments and sovereign default. We introduce asymmetry between groups in income and preferences towards scal reforms. Default a ects di erently each group and becomes a possibility if reforms are not enacted after public nance solvency shocks, in uencing the political game according to its likelihood. With the extensions, new situations which were not possible with the previous framework arise. After the exposition of the model, the Argentine default in 2001 provides an example of the political con icts addressed by the model.

Measuring spillover effects in Euro Area equity and bond markets

Since its inception, the Eurozone has experienced significant financial integration. However, with the recent turbulent period, the dynamics of this integration may have changed. This study analyses the volatility spillovers from the US and aggregate Eurozone markets into ten Euro Area national equity and bond markets, using a regime-switching model with shifting shock sensitivities. The evidence confirms an increased impact of shock spillover intensity after the 2008 crisis in the equity market and a decrease of the same parameters for the bond market. In both markets, the overall impact of the Eurozone is greater when compared to the U.S.

Money never sleeps – overnight returns in equity markets

The present research analyses overnight returns’ outperformance in relation to daytime returns. In a first stage, it will be assessed whether these returns are robust throughout time, markets and across different scopes of analysis (e.g. weekdays, months, states of the economy). In a second stage, several hypothesis will be empirically tested, in an attempt to understand what drives non-trading period returns (e.g. liquidity, market volatility). Even though several authors have analysed overnight returns and suggested several explanatory factors, there seems to be no consensus in the literature regarding its drivers.

Anatomy of the portuguese stock market risk and return in the 1977-2012 period

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.