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.

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.

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

Programas de intervenção municipal orientados para a promoção do envelhecimento activo

RESUMO: O novo cenário demográfico origina mudanças na estrutura etária, nas relações familiares e de trabalho, nas exigências de cuidados de saúde e de protecção social. Estas constituem fortes desafios a enfrentar pelas políticas públicas, exigindo a preparação dos organismos responsáveis. O “envelhecimento activo” começa a ter lugar como paradigma de intervenção, representando já um marco político mundial, na medida em que pode contrariar ou inverter as tendências nefastas das novas transformações. A investigação incidiu numa reflexão em torno das políticas que procuram responder à intensificação e diversidade dos problemas inerentes ao envelhecimento populacional. Envolvemo-nos numa tarefa de análise detalhada de programas municipais em três concelhos da Região Interior de Portugal, segundo a perspectiva e os determinantes do “envelhecimento activo”. Embora não exista uma solução única e definitiva, se nos detivermos no conceito como estratégia global, conclui-se o dever de considerar diversos determinantes numa perspectiva integrada e individualizada, que percorra todo o curso de vida. Os programas devem procurar enfatizar estilos de vida saudáveis com vista num alcance da maior qualidade de vida possível e ter em conta as situações sócio-económicas, mas sem se afastarem do dever de reforçar a componente reparadora e inclusiva da velhice.-----------ABSTRACT: The new demographic scenario creates changes in the age structure, in the family and work relations, in healthcare and social protection demands. All these changes create a great challenge to public policies, demanding the preparation of the responsible organizations. The “active ageing” starts to be seen as the intervention model, which represents a milestone in global policies as it can counteract or reverse the negative trends of these demographic changes. This research focused on the policies that seek to respond to the intensity and diversity of the population aging problems in Portugal. It was produced a detailed analysis of three local programs following the mainstreaming of “active ageing” in interior country. Although there is no unique and definitive solution, if we take the concept as a global strategy, then we can conclude the obligation to consider several determinants in an integrated and individualized perspective, which covers the entire course of life. These programs should emphasize healthy lifestyles aiming the highest quality of life possible taking into account the socioeconomic situations, without disregarding the duty of reinforce the repairing and inclusive component of ageing.

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

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

Opening Pousada da Serra da Estrela in Covilhã: A two-way impact - studying the value chain

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

Reconceptualising public spaces of (IN)equality: sensing and creating layers of visibility

Tese apresentada para cumprimento dos requisitos necessários à obtenção do grau de Doutor em Geografia e Planeamento Territorial - Especialidade: Geografia Humana

Indexing and active fund management: International evidence

Author's pre-print