Predictability of stock market returns: Evidence from Eurozone's banking sectors

This paper analyzes the in-, and out-of sample, predictability of the stock market returns from Eurozone’s banking sectors, arising from bank-specific ratios and macroeconomic variables, using panel estimation techniques. In order to do that, I set an unbalanced panel of 116 banks returns, from April, 1991, to March, 2013, to constitute equal-weighted country-sorted portfolios representative of the Austrian, Belgian, Finish, French, German, Greek, Irish, Italian, Portuguese and Spanish banking sectors. I find that both earnings per share (EPS) and the ratio of total loans to total assets have in-sample predictive power over the portfolios’ monthly returns whereas, regarding the cross-section of annual returns, only EPS retain significant explanatory power. Nevertheless, the sign associated with the impact of EPS is contrarian to the results of past literature. When looking at inter-yearly horizon returns, I document in-sample predictive power arising from the ratios of provisions to net interest income, and non-interest income to net income. Regarding the out-of-sample performance of the proposed models, I find that these would only beat the portfolios’ historical mean on the month following the disclosure of year-end financial statements. Still, the evidence found is not statistically significant. Finally, in a last attempt to find significant evidence of predictability of monthly and annual returns, I use Fama and French 3-Factor and Carhart models to describe the cross-section of returns. Although in-sample the factors can significantly track Eurozone’s banking sectors’ stock market returns, they do not beat the portfolios’ historical mean when forecasting returns.

Fruta com cheiro: The implementation of a new brand of fruit in the Portuguese market

‘’Fruta com Cheiro’’ is an idea for a new brand of fruit that would be introduced in the Portuguese market that would differentiate itself from the brands already in the market and from other non-branded fruit producers. In order to prove that the idea was valid and would have a place in the market, two methods of exploratory research were used – in-depth interviews and focus groups – to understand attitudes and behaviors regarding fruit selection and purchase and also people’s perceptions to ‘’Fruta com Cheiro’’. After these two steps, several considerations were made in relation to preliminary marketing aspects such as brand creation and positioning. There was also a final remark on the fact that this thesis is not a business plan and its purpose was to show how viable would the project be.

Firing and training costs and labour market segmentation

This dissertation consists of three essays on the labour market impact of firing and training costs. The modelling framework resorts to the search and matching literature. The first chapter introduces firing costs, both liner and non-linear, in a new Keynesian model, analysing business cycle effects for different wage rigidity degrees. The second chapter adds training costs in a model of a segmented labour market, accessing the interaction between these two features and the skill composition of the labour force. Finally, the third chapter analyses empirically some of the issues raised in the second chapter.

Monte Carlo valuation of worst-of auto-callable equity swaps

This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.

Avaliação do desempenho de fundos de investimento de ouro nos EUA: influência dos diferentes regimes de mercado na seletividade e market-timing

Dissertação de mestrado em Finanças

Investor sentiment and the cross-section of stock returns in the French stock market

Dissertação de mestrado em Finanças

Imperfect competition and market liquidity with a supply informed trader

We develop a model of insider trading where agents have private information either about liquidation value or about supply and behave strategically to maximize their profits. The supply informed trader plays a dual role in market making and in information revelation. This trader not only reveals a part of the information he owns, but he also induces the other traders to reveal more of their private information. The presence of different types of information decreases market liquidity and induces non-monotonicity of the market indicators with respect to the variance of liquidation value. Replacing the noise introduced by liquidity traders with a random supply also allows us to study the effect the shocks on different components of supply have on prices and quantities.

The provision of quality in a bilateral search market

We accomplish two goals. First, we provide a non-cooperative foundation for the use of the Nash bargaining solution in search markets. This finding should help to close the rift between the search and the matching-and-bargaining literature. Second, we establish that the diversity of quality offered (at an increasing price-quality ratio) in a decentralized market is an equilibrium phenomenon - even in the limit as search frictions disappear.

The Benefits of building barrier-free: a contingent valuation of accessibilty as an attribute of housing

Estimating the social benefits of barrier-free building has always required indirect solutions, such as calculating the savings in social services, hospitalisation or adaptations made possible by the increase in accessibility. This research uses the Contingent Valuation Method to gain a direct appraisal of the benefits from barrier-free housing. When comparing two similar dwellings, with the only difference being their accessibility conditions, the 1,007 randomly chosen households that answered the direct survey would pay, on average 12.5 per cent more for being barrier-free. None of the different appraisals made on accessibility costs reaches 5 per cent. This confirms the social profitability of building without barriers and shows the potential size of the private market for those housing developers that meet the demand. Accessibility is a general concern, an economic good or attribute that most households value, irrespective of the physical conditions of their members.

Evaluation de la douleur chez les personnes cérébrolésées non-communicantes aux soins intensifs

La douleur est fréquente en milieu de soins intensifs et sa gestion est l'une des missions des infirmières. Son évaluation est une prémisse indispensable à son soulagement. Cependant lorsque le patient est incapable de signaler sa douleur, les infirmières doivent se baser sur des signes externes pour l'évaluer. Les guides de bonne pratique recommandent chez les personnes non communicantes l'usage d'un instrument validé pour la population donnée et basé sur l'observation des comportements. A l'heure actuelle, les instruments d'évaluation de la douleur disponibles ne sont que partiellement adaptés aux personnes cérébrolésées dans la mesure où ces personnes présentent des comportements qui leur sont spécifiques. C'est pourquoi, cette étude vise à identifier, décrire et valider des indicateurs, et des descripteurs, de la douleur chez les personnes cérébrolésées. Un devis d'étude mixte multiphase avec une dominante quantitative a été choisi pour cette étude. Une première phase consistait à identifier des indicateurs et des descripteurs de la douleur chez les personnes cérébrolésées non communicantes aux soins intensifs en combinant trois sources de données : une revue intégrative des écrits, une démarche consultative utilisant la technique du groupe nominal auprès de 18 cliniciens expérimentés (6 médecins et 12 infirmières) et les résultats d'une étude pilote observationnelle réalisée auprès de 10 traumatisés crâniens. Les résultats ont permis d'identifier 6 indicateurs et 47 descripteurs comportementaux, vocaux et physiologiques susceptibles d'être inclus dans un instrument d'évaluation de la douleur destiné aux personnes cérébrolésées non- communicantes aux soins intensifs. Une deuxième phase séquentielle vérifiait les propriétés psychométriques des indicateurs et des descripteurs préalablement identifiés. La validation de contenu a été testée auprès de 10 experts cliniques et 4 experts scientifiques à l'aide d'un questionnaire structuré qui cherchait à évaluer la pertinence et la clarté/compréhensibilité de chaque descripteur. Cette démarche a permis de sélectionner 33 des 47 descripteurs et valider 6 indicateurs. Dans un deuxième temps, les propriétés psychométriques de ces indicateurs et descripteurs ont été étudiés au repos, lors de stimulation non nociceptive et lors d'une stimulation nociceptive (la latéralisation du patient) auprès de 116 personnes cérébrolésées aux soins intensifs hospitalisées dans deux centres hospitaliers universitaires. Les résultats montrent d'importantes variations dans les descripteurs observés lors de stimulation nociceptive probablement dues à l'hétérogénéité des patients au niveau de leur état de conscience. Dix descripteurs ont été éliminés, car leur fréquence lors de la stimulation nociceptive était inférieure à 5% ou leur fiabilité insuffisante. Les descripteurs physiologiques ont tous été supprimés en raison de leur faible variabilité et d'une fiabilité inter juge problématique. Les résultats montrent que la validité concomitante, c'est-à-dire la corrélation entre l'auto- évaluation du patient et les mesures réalisées avec les descripteurs, est satisfaisante lors de stimulation nociceptive {rs=0,527, p=0,003, n=30). Par contre la validité convergente, qui vérifiait l'association entre l'évaluation de la douleur par l'infirmière en charge du patient et les mesures réalisés avec les descripteurs, ainsi que la validité divergente, qui vérifiait si les indicateurs discriminent entre la stimulation nociceptive et le repos, mettent en évidence des résultats variables en fonction de l'état de conscience des patients. Ces résultats soulignent la nécessité d'étudier les descripteurs de la douleur chez des patients cérébrolésés en fonction du niveau de conscience et de considérer l'hétérogénéité de cette population dans la conception d'un instrument d'évaluation de la douleur pour les personnes cérébrolésées non communicantes aux soins intensifs. - Pain is frequent in the intensive care unit (ICU) and its management is a major issue for nurses. The assessment of pain is a prerequisite for appropriate pain management. However, pain assessment is difficult when patients are unable to communicate about their experience and nurses have to base their evaluation on external signs. Clinical practice guidelines highlight the need to use behavioral scales that have been validated for nonverbal patients. Current behavioral pain tools for ICU patients unable to communicate may not be appropriate for nonverbal brain-injured ICU patients, as they demonstrate specific responses to pain. This study aimed to identify, describe and validate pain indicators and descriptors in brain-injured ICU patients. A mixed multiphase method design with a quantitative dominant was chosen for this study. The first phase aimed to identify indicators and descriptors of pain for nonverbal brain- injured ICU patients using data from three sources: an integrative literature review, a consultation using the nominal group technique with 18 experienced clinicians (12 nurses and 6 physicians) and the results of an observational pilot study with 10 traumatic brain injured patients. The results of this first phase identified 6 indicators and 47 behavioral, vocal and physiological descriptors of pain that could be included in a pain assessment tool for this population. The sequential phase two tested the psychometric properties of the list of previously identified indicators and descriptors. Content validity was tested with 10 clinical and 4 scientific experts for pertinence and comprehensibility using a structured questionnaire. This process resulted in 33 descriptors to be selected out of 47 previously identified, and six validated indicators. Then, the psychometric properties of the descriptors and indicators were tested at rest, during non nociceptive stimulation and nociceptive stimulation (turning) in a sample of 116 brain-injured ICLI patients who were hospitalized in two university centers. Results showed important variations in the descriptors observed during the nociceptive stimulation, probably due to the heterogeneity of patients' level of consciousness. Ten descriptors were excluded, as they were observed less than 5% of the time or their reliability was insufficient. All physiologic descriptors were deleted as they showed little variability and inter observer reliability was lacking. Concomitant validity, testing the association between patients' self report of pain and measures performed using the descriptors, was acceptable during nociceptive stimulation (rs=0,527, p=0,003, n=30). However, convergent validity ( testing for an association between the nurses' pain assessment and measures done with descriptors) and divergent validity (testing for the ability of the indicators to discriminate between rest and a nociceptive stimulation) varied according to the level of consciousness These results highlight the need to study pain descriptors in brain-injured patients with different level of consciousness and to take into account the heterogeneity of this population forthe conception of a pain assessment tool for nonverbal brain-injured ICU patients.

Non-cooperative incentives to share knowledge in competitive environments

In this paper we study a model where non-cooperative agents may exchange knowledge in a competitive environment. As a potential factor that could induce the knowledge disclosure between humans we consider the timing of the moves of players. We develop a simple model of a multistage game in which there are only three players and competition takes place only within two stages. Players can share their private knowledge with their opponents and the knowledge is modelled as in uencing their marginal cost of e¤ort. We identify two main mechanisms that work towards knowledge disclosure. One of them is that before the actual competition starts, the stronger player of the rst stage of a game may have desire to share his knowledge with the "observer", be- cause this reduces the valuation of the prize of the weaker player of that stage and as a result his e¤ort level and probability of winning in a ght. Another mechanism is that the "observer" may have sometimes desire to share knowledge with the weaker player of the rst stage, because in this way, by increasing his probability of winning in that stage, he decreases the probability of winning of the stronger player. As a result, in the second stage the "observer" may have greater chances to meet the weaker player rather than the stronger one. Keywords: knowledge sharing, strategic knowledge disclosure, multistage contest game, non-cooperative games

The Rise and Fall of the ABS Market

The nancial crisis has raised some concern about the quality of information available on some traded assets on the securities markets to market participants and regulators. Asset-backed securitization in general got partial blame for the paucity of liquidity on bank balance sheets and the consequent credit crunch. After the Asset-Backed Security (ABS) market fell to near inactivity in 2009, the US federal government's Term Asset-Backed Securities Loan Facility (TALF) provided backing and a boost to the issuance of asset-backed securitization. In this market condition, given the nature of ABS, it is di¢ cult for them not to be relatively illiquid, and this has resulted in unacceptable levels of market risk for most investors. Their liquidity before the crisis was driven by a market in continuous expansion, fed by Special Purpose Vehicle (SPV), Conduits, and other low capitalized term-transformation vehicles. Nowadays, the industry is concerned with the ongoing ABS reforms and how these will be implemented. This article reviews the ABS market in the last decade and the possible consequences of the recent regulatory proposals. It proposes a retention policy and the institution of a new nancial body to supervise the quality of the security in an ABS pool, its liquidity, and the model risk implied by the issuer's valuation model.

Trade in bilateral oligopoly with endogenous market formation

We study a strategic market game in which traders are endowed with both a good and money and can choose whether to buy or sell the good. We derive conditions under which a non-autarkic equilibrium exists and when the only equilibrium is autarky. Autarky is ‘nice’ (robust to small perturbations in the game) when it is the only equilibrium, and ‘very nice’ (robust to large perturbations) when no gains from trade exist. We characterize economies where autarky is nice but not very nice; that is, when gains from trade exist and yet no trade takes place.

Non-Cooperative Asymptotic Oligopoly in Economies with Infinitely Many Commodities

In this paper, we extend the non-cooperative analysis of oligopoly to exchange economics with infinitely many commodities by using strategic market games. This setting can be interpreted as a model of oligopoly with differentiated commodities by using the Hotelling line. We prove the existence of an "active" Cournot-Nash equilibrium and show that, when traders are replicated, the price vector and the allocation converge to the Walras equilibrium. We examine how the notion of oligopoly extends to our setting with a countable infinity of commodities by distinguishing between asymptotic oligopolists and asymptotic price-takes. We illustrate these notions via a number of examples.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.