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

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

A qualitative approach to define the prototype of a Portuguese expatriate leader in Angola

This qualitative research analyzes the individual life experiences of Portuguese expatriate leaders who left their home country to work at organizations in Angola, a place that offers better job opportunities. Through interviews with those professionals and their followers, a prototype of a Portuguese expatriate leader in Angola has been developed. Even though Angola is a former Portuguese colony, it was at war for many years and so the economic situation and culture of the country are distant from what Portuguese workers are used too, which requires them to adapt and be open-minded to change.

Exchange rate pressure in Angola

The objective of this work is to develop an operational tool to analyze exchange rate pressure in the context of Angola. The Angolan economy exhibits a number of relevant characteristics: a closed financial account, a partially controlled current account, a highly dollarized economy and exports (oil) price determined in World markets. These features have a direct effect on the demand of foreign currency and motivate their inclusion in the specification of a model for Angola. The model provides the rational for a measure of an exchange market rate pressure (EMP) index that contains exports changes, imports changes, the foreign interest rate and inflation and the change in foreign reserves corrected for a measure dollarization. The empirical performance new measure is comparable (slightly better) to the performance of the EMP indexes obtained in Eichengreen Rose and Wyplosz (1994) and Klassen and Jager (2011).

Acordo Ortográfico da Língua Portuguesa e o significado da lusofonia: análise comparativa

Tese de Doutoramento em Ciências da Comunicação (área de especialização em Sociologia da Comunicação e da Informação).

Ion exchange dependent electroactive phase content and electrical properties of poly(vinylidene fluoride)/Na(M)Y composites

Different metal-ion exchanged NaY zeolite, Na(M)Y, were used to prepare poly(vinylidene fluoride) based composites by solvent casting and melting crystallization. The effect of different metal ion-exchanged zeolites on polymer crystallization and electrical properties was reported. Cation-framework interactions and hydration energy of the cations determined that K+ is the most efficient exchanged ion in NaY zeolite, followed by Cs+ and Li+. The electroactive phase crystallization strongly depends on the ions present in the zeolite, leading to variations of the surface energy characteristics of the Na(M)Y zeolites and the polymer chain ability of penetration in the zeolite. Thus, Na(Li)Y and NaY induces the complete electroactive -phase crystallization of the crystalline phase of PVDF, while Na(K)Y only induces it partly and Na(Cs)Y is not able to promote the crystallization of the electroactive phase. Furthermore, different ion size/weigh and different interaction with the zeolite framework results in significant variations in the electrical response of the composite. In this way, iinterfacial polarization effects in the zeolite cavities and zeolite-polymer interface, leads to strong increases of the dielectric constant on the composites with lightest ions weakly bound to the zeolite framework. Polymer composite with Na(Li)Y show the highest dielectric response, followed by NaY and Na(K)Y. Zeolite Na(Cs)Y contribute to a decrease of the dielectric constant of the composite. The results show the relevance of the materials for sensor development.

Light-distortion analysis as a possible indicator of visual quality after refractive lens exchange with diffractive multifocal intraocular lenses

METHODS: Refractive lens exchange was performed with implantation of an AT Lisa 839M (trifocal) or 909MP (bifocal toric) IOL, the latter if corneal astigmatism was more than 0.75 diopter (D). The postoperative visual and refractive outcomes were evaluated. A prototype light-distortion analyzer was used to quantify the postoperative light-distortion indices. A control group of eyes in which a Tecnis ZCB00 1-piece monofocal IOL was implanted had the same examinations. RESULTS: A trifocal or bifocal toric IOL was implanted in 66 eyes. The control IOL was implanted in 18 eyes. All 3 groups obtained a significant improvement in uncorrected distance visual acuity (UDVA) (P < .001) and corrected distance visual acuity (CDVA) (P Z .001). The mean uncorrected near visual acuity (UNVA) was 0.123 logMAR with the trifocal IOL and 0.130 logMAR with the bifocal toric IOL. The residual refractive cylinder was less than 1.00 D in 86.7% of cases with the toric IOL. The mean light-distortion index was significantly higher in the multifocal IOL groups than in the monofocal group (P < .001), although no correlation was found between the light-distortion index and CDVA. CONCLUSIONS: The multifocal IOLs provided excellent UDVA and functional UNVA despite increased light-distortion indices. The light-distortion analyzer reliably quantified a subjective component of vision distinct from visual acuity; it may become a useful adjunct in the evaluation of visual quality obtained with multifocal IOLs.

Patente farmacêutica: especificidades e tutela

Dissertação de mestrado em Direito dos Contratos e da Empresa

Gas exchange during exercise in different evolutional stages of chronic Chagas' heart disease

OBJECTIVE: To compare gas exchange at rest and during exercise in patients with chronic Chagas' heart disease grouped according to the Los Andes clinical/hemodynamic classification. METHODS: We studied 15 healthy volunteers and 52 patients grouped according to the Los Andes clinical/hemodynamic classification as follows: 17 patients in group IA (normal electrocardiogram/echocardiogram), 9 patients in group IB (normal electrocardiogram and abnormal echocardiogram), 14 patients in group II (abnormal electrocardiogram/echocardiogram, without congestive heart failure), and 12 patients in group III (abnormal electrocardiogram/echocardiogram with congestive heart failure). The following variables were analyzed: oxygen consumption (V O2), carbon dioxide production (V CO2), gas exchange rate (R), inspiratory current volume (V IC), expiratory current volume (V EC), respiratory frequency, minute volume (V E), heart rate (HR), maximum load, O2 pulse, and ventilatory anaerobic threshold (AT). RESULTS: When compared with the healthy group, patients in groups II and III showed significant changes in the following variables: V O2peak, V CO2peak, V ICpeak, V ECpeak, E, HR, and maximum load. Group IA showed significantly better results for these same variables as compared with group III. CONCLUSION: The functional capacity of patients in the initial phase of chronic Chagas' heart disease is higher than that of patients in an advanced phase and shows a decrease that follows the loss in cardiac-hemodynamic performance.

Cervifurca nasuta n. gen. et sp. : an interesting member of the Iniopterygidae (Subterbranchialia, Chondrichthyes) from the Pennsylvanian of Indiana, U.S.A. / Rainer Zangerl --.

n.s. no.35(1997)

Marxism, social metabolism, and ecologically unequal exchange

Authors working on "industrial metabolism" or "social metabolism" look at the economy in terms of flows of energy and materials. Together with the ecological economists, they see the economy as a subsystem of a larger physical system. Marx and Engels followed with a few years’ delay many of the remarkable scientific and technical novelties of their time.

Manipulation via endowments in exchange markets with indivisible goods

We consider exchange markets with heterogeneous indivisible goods. We are interested in exchange rules that are efficient and immune to manipulations via endowments (either with respect to hiding or destroying part of the endowment or transferring part of the endowment to another trader). We consider three manipulability axioms: hiding-proofness, destruction-proofness, and transfer-proofness. We prove that no rule satisfying efficiency and hiding-proofness (which implies individual rationality) exists. For two-agent exchange markets with separable and responsive preferences, we show that efficient, individually rational, and destruction-proof rules exist. However, for separable preferences, no rule satisfies efficiency, individual rationality, and destruction-proofness. In the case of transfer-proofness the compatibility with efficiency and individual rationality for the two-agent case extends to the unrestricted domain. For exchange markets with separable preferences and more than two agents no rule satisfies efficiency, individual rationality, and transfer-proofness.

How tight should one's hands be tied? Fear of floating and credibility of exchange rate regimes

This paper analyzes the linkages between the credibility of a target zone regime, the volatility of the exchange rate, and the width of the band where the exchange rate is allowed to fluctuate. These three concepts should be related since the band width induces a trade-off between credibility and volatility. Narrower bands should give less scope for the exchange rate to fluctuate but may make agents perceive a larger probability of realignment which by itself should increase the volatility of the exchange rate. We build a model where this trade-off is made explicit. The model is used to understand the reduction in volatility experienced by most EMS countries after their target zones were widened on August 1993. As a natural extension, the model also rationalizes the existence of non-official, implicit target zones (or fear of floating), suggested by some authors.

Current Account imbalances, thriftiness and the real exchange rate in a growing economy

This paper analyses the theoretical relevance of the dynamical aspects of growth on the discussion about the observed positive correlation between per capita real income and real exchange rates. With this purpose, we develop a simple exogenous growth model where the internal, external and intertemporal equilibrium conditions of a typical macroeconomic model are imposed; this last one through the inclusion of a balanced growth path for the foreign assets accumulation. The main result under this consideration is that the relationship defended by the Balassa-Samuelson hypothesis is no more so straightforward. In our particular approach, the mentioned bilateral relationship depends on a parameter measuring thriftiness in the economy. Therefore, the probability of ending up with a positive relationship between growth and real exchange rates -as the classical economic theory predicts- will be higher when the economy is able to maintain a minimum saving ratio. Moreover, given that our model considers a simple Keynesian consumption function, some explosive paths can also be possible.