Cabelte restructuring by OxyCapital

This case study describes OxyCapital’s intervention in Cabelte’s operational and financial restructuring. Despite Cabelte’s strong debt burden, OxyCapital believed that the Group’s financial difficulties were temporary and that it had growth potential if the said restructuring would be implemented. Hence, while striving for an operational turnaround, OxyCapital managed to reach an agreement among not only the several banks but also the Group’s shareholder for the financial restructuring. The transaction included the acquisition of a majority stake on the Group’s share capital and of a significant part of Cabelte’s bank debt by OxyCapital’s Corporate Restructuring Fund.

Getting the carry trade's jackpot

This Working Project studies five portfolios of currency carry trades formed with the G10 currencies. Performance varies among strategies and the most basic one presents the worst results. I also study the equity and Pure FX risk factors which can explain the portfolios’ returns. Equity factors do not explain these returns while the Pure FX do for some of the strategies. Downside risk measures indicate the importance of using regime indicators to avoid losses. I conclude that although using VAR and threshold regression models with a variety of regime indicators do not allow the perception of different regimes, with a defined exogenous threshold on real exchange rates, an indicator of liquidity and the volatilities of the spot exchange rates it is possible to increase the average returns and reduce drawdowns of the carry trades

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.

Deflation and monetary policy: A look into Japan and the Euro Area

With more than two decades of weak economic performance since the bubble burst in the ‘90s, the Japanese deflationary scenario has become the economic fate every developed economy fears to become. As the euro area continues to experience sustained low inflation, studying the Japanese monetary policy may shed light on how to prevent persistent deflation. Using an SVAR methodology to understand the monetary transmission mechanism, we find some evidence that the euro area may possess characteristics that would eventually lead to a deflationary scenario. The extent of whether it would suffer the same Japanese fate would depend on how macroeconomic policies are timely coordinated as a response to its liquidity problem and increasing public debt across member states.

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.

The determinants of net interest margins & net interest spreads in the Russian & Japanese Commercial Banking sectors

This study presents an empirical investigation of the determinants of net interest margins and spreads in the Russian and Japanese banking sectors with a particular focus on commercial banks. Net interest mar-gins and spreads serve as indicators of financial intermediation efficiency. This paper employed a bank-level unbalanced panel dataset prolonging from 2005 to 2014. My main empirical results show that bank characteristics explain the most of the variation in not only net interest margins but also in spreads. Capi-talization, liquidity risk, inflation, economic growth, private and government debt are important determi-nants of margin in Russia. In Japan to the contrary loan and deposit market concentration along with bank size do predominate. Common significant variables in both countries are the substitution effect, cost effi-ciency and profitability. Turning to net interest spreads, micro- and macro-specific variables are the main significant drivers in Russia. I reach the conclusion that there are no significant determinants of net interest spreads in Japan within the original selection of variables, but operating efficiency and deposits to total funding seem to prevail. In both countries, there are solid differences in the net interest margins as well as spreads once the pre- and the post-crisis periods are considered.

Hybrid investment strategy active portfolio management – US stock market

This thesis aims to develop an alternative active managed portfolio strategy based on companies‟ Fundamental and Technical Analysis and analyze its finals results. There is a big distinction between the two approaches and the main objective is to understand if it is possible to take advantage of both. With this in mind a Hybrid investment strategy for the US stock market, due to its dimension and liquidity, which was able to outperform the S&P 500 index, the benchmark, during both Bear and Bull Markets between 2000 and 2015.

On project finance and the first road concession in Portugal

In broad sense, Project Financing1 as a mean of financing large scale infrastructural projects worldwide has had a steady growth in popularity for the last 20 years. This growth has been relatively unscathed from most economic cycles. However in the wake of the 2007 systemic Financial Crisis, Project Financing was also in trouble. The liquidity freeze and credit crunch that ensued affected all parties involved. Traditional Lenders, of this type of financial instrument, locked-in long-term contractual obligations, were severely hit with scarcity of funding compounded by rapidly increasing cost of funding. All the while, Banks were “rescued” by the concerted actions of Central Banks and other Multi-Lateral Agencies around the world but at the same time “stressed” by upcoming regulatory effort (Basel Committee). This impact resulted in specific changes to this type of long-term financing. Changes such as Commercial Banks’ increased risk aversion; pricing increase and maturities decrease of credit facilities; enforcement of Market Disruption Event clauses; partial responsibility for project risk by Multilateral Agencies; and adoption of utility-like availability payments in other industrial sectors such as transportation and even social infrastructure. To the extent possible, this report is then divided in three parts. First, it begins with a more instructional part, touching academic literature (theory) and giving the Banks perspective (practice), but mostly as an overview of Project Finance for awareness’ sake. The renowned Harvard Business School professor – Benjamin Esty, states2 that Project Finance is a “relatively unexplored territory for both empirical and theoretical research” which means that academic research efforts are lagging the practice of Project Finance. Second, the report presents a practical case regarding the first Road Concession in Portugal in 1998 ending with the lessons learned 10 years after Financial Close. Lastly, the report concludes with the analysis of the current trends and changes to the industry post Financial Crisis of the late 2000’s. To achieve this I’ll reference relevant papers, books on the subject, online articles and my own experience in the Project Finance Department at a major Portuguese Investment Bank. Regarding the latter, with the signing of a confidentiality agreement, I’m duly omitting sensitive and proprietary bank information.

Os fatores de risco da rendibilidade das ações: análise e evidência empírica em países da Zona Euro

Tese de Doutoramento em Ciências Empresariais.

Early holocenic and historic mtDNA african signatures in the iberian peninsula: The andalusian region as a paradigm

Determining the timing, identity and direction of migrations in the Mediterranean Basin, the role of "migratory routes" in and among regions of Africa, Europe and Asia, and the effects of sex-specific behaviors of population movements have important implications for our understanding of the present human genetic diversity. A crucial component of the Mediterranean world is its westernmost region. Clear features of transcontinental ancient contacts between North African and Iberian populations surrounding the maritime region of Gibraltar Strait have been identified from archeological data. The attempt to discern origin and dates of migration between close geographically related regions has been a challenge in the field of uniparental-based population genetics. Mitochondrial DNA (mtDNA) studies have been focused on surveying the H1, H3 and V lineages when trying to ascertain north-south migrations, and U6 and L in the opposite direction, assuming that those lineages are good proxies for the ancestry of each side of the Mediterranean. To this end, in the present work we have screened entire mtDNA sequences belonging to U6, M1 and L haplogroups in Andalusians--from Huelva and Granada provinces--and Moroccan Berbers. We present here pioneer data and interpretations on the role of NW Africa and the Iberian Peninsula regarding the time of origin, number of founders and expansion directions of these specific markers. The estimated entrance of the North African U6 lineages into Iberia at 10 ky correlates well with other L African clades, indicating that U6 and some L lineages moved together from Africa to Iberia in the Early Holocene. Still, founder analysis highlights that the high sharing of lineages between North Africa and Iberia results from a complex process continued through time, impairing simplistic interpretations. In particular, our work supports the existence of an ancient, frequently denied, bridge connecting the Maghreb and Andalusia.

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

Dissertação de mestrado em Finanças

Variabilidad paleoambiental desde el Último Máximo Glacial en la región Centro-Sur de Argentina: Paleocirculación atmosférica, variabilidad hidroclimática y dimensión humana. Palaeoenvironmental variability from the Last Glacial Maximum in the Central-Southern region of Argentina: Atmospheric Palaeocirculation, Hydroclimatic Variability and Human Dimension.

El proyecto tiene como propósito caracterizar la variabilidad de la paleocirculación atmosférica en las latitudes medias de Sudamérica, su efecto sobre la fluctuación hidroclimática regional y la vulnerabilidad humana frente a los cambios ocurridos desde el Ultimo Máximo Glacial/Holoceno. El enfoque inter y multidisciplinaro aquí planteado para analizar la varibiliad hidroclimática pasada, sus causas y consecuencias, es inédito para esta región del país. El mismo contempla: a) análisis de archivos climáticos sedimentarios con una aproximación de multi-indicadores (sedimentología, geoquímica, isótopos estables y radiogénicos, mineralogía, ostrácodos y moluscos); b) determinación de la dinámica actual y pasada del polvo atmosférico (PA) combinando mediciones in situ y en registros sedimentarios y c) análisis de restos óseos humanos y malacológicos en sitios arqueológicos.Se contempla: a) Efectuar análisis de multi-indicadores de registros climáticos naturales almacenados en sistemas lacustres de la región Pampeana (S. Ambargasta, Mar Chiquita, Pocho, Melincué, Lagunas Encadenadas del Oeste de Buenos Aires) y en secuencias loessicas para inferir la variabilidad de la circulación atmosférica desde el UMG; b) Ampliar la resolución temporal de las reconstrucciones climáticas para ventanas de tiempo seleccionadas; c) Analizar la señal geoquímica del registro sedimentario de fases climáticas contrastantes; d) Identificar la variabilidad temporal de la procedencia y de los procesos actuantes mediante análisis mineralógicos y geoquímicos; e) Analizar el ambiente actual para calibrar indicadores ambientales o proxies (isótopos, flujo de sedimentos, geoquímica, moluscos y ostrácodos) con el escenario climático contemporáneo; f) Analizar en conjunto los archivos climáticos para inferir patrones de paleocirculación atmosférica regional y g) Dilucidar estrategias adaptativas y la historia biológica de poblaciones humanas en la región central de Argentina durante fases climáticas diversas.Este proyecto aborda uno de los aspectos menos conocidos de las reconstrucciones paleoambientales, que está relacionado con rol del material eólico derivado del Hemisferio Sur y el impacto que genera sobre el ciclo regional del Carbono. A pesar que el sur de Sudamérica es una de las áreas claves para entender este aspecto, no se conoce de forma acabada la incidencia de los cambios ambientales sobre el flujo de PA o el efecto de futuros cambios climáticos y/o uso de la tierra.La actividad planteada tiene implicancias directas sobre múltiples disciplinas como las ciencias atmosféricas, geoquímica, sedimentología, paleoclimatologia y bioarqueología. Nuestros resultados permitirán mejorar el entendimiento del cambio climático regional, la dinámica del polvo y su rol como forzante del sistema climático, la variabilidad hidrológica presente y pasada y la respuesta por parte de las poblaciones humanas. Profundizar el estudio de los cambios paleoclimáticos y bioarqueológicos en la región permitirá analizar la variabilidad hidroclimática y determinar su relación con las situaciones de crisis y vulnerabilidad del pobamiento humano. Asimismo, la inferencia de cambios para períodos con mínima o sin influencia humana es una herramienta clave para mejorar el conocimiento de las fluctuaciones climáticas del área extratropical Sudamericana. Estos resultados permitirán analizar no sólo los mecanismos operados en el sistema climático pasado sino también aquellos factores que explicarían el gran cambio hidroclimático registrado desde 1970 cuyos efectos han impactado claramente sobre las actividades socio-económicos en la región central Argentina.

Defining habitat characteristics influencing the distribution, density and growth of Plaice (Pleuronectes Platessa) and Dab (Limanda Limanda) on west of Ireland nursery grounds

Plaice (Pleuronectes platessa, L.) and dab (Limanda limanda, L.) are among the most abundant flatfishes in the north-eastern Atlantic region and the dominant species in shallow coastal nursery grounds. With increasing pressures on commercial flatfish stocks in combination with changing coastal environments, better knowledge of population dynamics during all life stages is needed to evaluate variability in year-class strength and recruitment to the fishery. The aim of this research was to investigate the complex interplay of biotic and abiotic habitat components influencing the distribution, density and growth of plaice and dab during the vulnerable juvenile life stage and to gain insight in spatial and temporal differences in nursery habitat quality along the west coast of Ireland. Intraspecific variability in plaice diet was observed at different spatial scales and showed a link with condition, recent growth and morphology. This highlights the effect of food availability on habitat quality and the need to consider small scale variation when attempting to link habitat quality to feeding, growth and condition of juvenile flatfish. There was evidence of trophic, spatial and temporal resource partitioning between juvenile plaice and dab allowing the co-existence of morphologically similar species in nursery grounds. In the limited survey years there was no evidence that the carrying capacity of the studied nursery grounds was reached but spatial and interannual variations in fish growth indicated fluctuating environments in terms of food availability, predator densities, sediment features and physico-chemical conditions. Predation was the most important factor affecting habitat quality for juvenile plaice and dab with crab densities negatively correlated to fish condition whereas shrimp densities were negatively associated with densities of small-sized juveniles in spring. A comparison of proxies for fish growth showed the advantage of Fulton’s K for routine use whereas RNA:DNA ratios proved less powerful when short-term environmental fluctuations are lacking. This study illustrated how distinct sets of habitat features can drive spatial variation in density and condition of juvenile flatfish highlighting the value of studying both variables when modeling habitat requirements. The habitat models generated in this study also provide a powerful tool to predict potential climate and anthropogenic impacts on the distribution and condition of juveniles in flatfish nurseries. The need for effective coastal zone management was emphasized to ensure a sustainable use of coastal resources and successful flatfish recruitment to the fishery.

JAVADAPTOR : unrestricted dynamic updates of Java applications

In dieser Arbeit wird mit JAVADAPTOR ein Ansatz präsentiert, der die statisch getypte Programmiersprache Java um die Möglichkeit erweitert, Programme zur Laufzeit und ohne die genannten Einschränkungen zu aktualisieren. Das vorgestellte Konzept kombiniert das schemaverändernde Nachladen von Klassen mit Referenzaktualisierungen auf der Basis von Java HotSwap, Containern und Proxies. Zentrale Beiträge der Arbeit sind detaillierte Beschreibungen der Konzepte und deren Implementierung, sowie der Nachweis der Praxvistauglichkeit der Lösung anhand verschiedener Fallstudien. Weiterhin wird untersucht, ob die präsentierte Lösung Einschränkungen bezüglich Flexibilität, Performanz, Plattform, Programmarchitektur oder Änderungsgranularität unterliegt.

Security prices and market transparency: the role of prior information

This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information