Three essays on economics of predictability of stock returns

A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics

Constraint-based modelling of mixed microbial populations: Application to polyhydroxyalkanoates production

Dissertação para obtenção do Grau de Doutor em Engenharia Química e Bioquímica

Relationship between national culture, democracy and environmental performance: A panel data analysis

This paper demonstrates the significance of culture in examining the relationshipbetween democratic capital and environmental performance.The aim is to examine the relationship among scores on the Environmental Performance Index and the two dimensions of cross cultural variation suggested by Ronald Inglehart and Christian Welzel. Significantional interrelationships among democracy, cultural and environmental sustaintability measures could be found, following the regression results. Firstly, higher levels of democratic capital stock are associated with better environmental performance. Secondly importance to distinguish between cultural groups could be confirmed.

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

Performance analysis of an SRI screen based on employment quality in high and low capital industries: International evidence

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 and Maastricht University School of Business and Economics

Trust, alliance management capability and the alliance management function: A comparative analysis of Portuguese SMEs

Strategic alliances represent a key driver for internationalization and growth, being the purpose of this work project to better understand the intertwined relationship between trust and the existence of an alliance management position. Previous research supports the positive impact of such position in stock market returns. However, little attention has been given to the impact of such position on the level of trust in the collaborative arrangement, which is deemed to be a key driver for alliance success. A qualitative comparative case-study of three Portuguese SMEs is used to draw conclusions from the literature to real life business cases and it demonstrates the positive impact of an alliance management position on trust.

Trading the changes of stock market index composition: Evidence from European markets

This paper studies the changes in European stock market indexes composition from 1995 to 2015. It was found that there are mixed price effects producing abnormal returns around the effective replacement of added and deleted stocks. The price pressure hypothesis seems to hold for added stocks in some indexes but not for deleted stocks as there is not a clear inversion of behaviour after the replacement. Finally, the building and back testing of a trading strategy aiming to capture some of those abnormal returns shows it yields a Sharpe Ratio of 1.4 and generates an annualised alpha of 11%.

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.

The Swiss Systemic lupus erythematosus Cohort Study (SSCS) - cross-sectional analysis of clinical characteristics and treatments across different medical disciplines in Switzerland.

OBJECTIVES: To describe disease characteristics and treatment modalities in a multidisciplinary cohort of systemic lupus erythematosus (SLE) patients in Switzerland. METHODS: Cross-sectional analysis of 255 patients included in the Swiss SLE Cohort and coming from centres specialised in Clinical Immunology, Internal Medicine, Nephrology and Rheumatology. Clinical data were collected with a standardised form. Disease activity was assessed using the Safety of Estrogens in Lupus Erythematosus National Assessment-SLE Disease Activity Index (SELENA-SLEDAI), an integer physician's global assessment score (PGA) ranging from 0 (inactive) to 3 (very active disease) and the erythrocyte sedimentation rate (ESR). The relationship between SLE treatment and activity was assessed by propensity score methods using a mixed-effect logistic regression with a random effect on the contributing centre. RESULTS: Of the 255 patients, 82% were women and 82% were of European ancestry. The mean age at enrolment was 44.8 years and the median SLE duration was 5.2 years. Patients from Rheumatology had a significantly later disease onset. Renal disease was reported in 44% of patients. PGA showed active disease in 49% of patients, median SLEDAI was 4 and median ESR was 14 millimetre/first hour. Prescription rates of anti-malarial drugs ranged from 3% by nephrologists to 76% by rheumatologists. Patients regularly using anti-malarial drugs had significantly lower SELENA-SLEDAI scores and ESR values. CONCLUSION: In our cohort, patients in Rheumatology had a significantly later SLE onset than those in Nephrology. Anti-malarial drugs were mostly prescribed by rheumatologists and internists and less frequently by nephrologists, and appeared to be associated with less active SLE.

The dual role of students with behavioural problems: an analysis of their experiences as bullies and victims /

The present study examined the bullying experiences of a group of students, age 10-14 years, identified as having behaviour problems. A total often students participated in a series of mixed methodology activities, including self-report questionnaires, story telling exercises, and interview style joumaling. The main research questions were related to the prevalence of bully/victims and the type of bullying experiences in this population. Questionnaires gathered information about their involvement in bullying, as well as about psychological risk factors including normative beliefs about antisocial acts, impulsivity, problem solving, and coping strategies. Journal questions expanded on these themes and allowed students to explain their personal experiences as bullies and victims as well as provide suggestions for intervention. The overall results indicated that all of the ten students in this sample have participated in bullying as both a bully and a victim. This high prevalence of bully/victim involvement in students from behavioural classrooms is in sharp contrast with the general population where the prevalence is about 33%. In addition, a common thread was found that indicated that these students who participated in this study demonstrate characteristics of emotionally dysregulated reactive bullies. Theoretical implication and educational practices are discussed.

A discursive analysis of children's recreational adult-organized sport : when do children get to play?

Adult-organized children's sport attracts millions of participants in Canada and the United States each year. Though there is a great deal of research that considers children's sport, little of it focuses on recreational or house league sport and less of it offers a deep examination of children's experience of their participation. Using observations, interviews, and focus groups involving ten participants in mixed-gender recreational basketball, this qualitative research project examined their experiences. With Foucault's concepts of correct training and the panoptic gaze in mind, I used discourse and deconstruction analyses to consider the children's descriptions along with my observations of their basketball experience. I was particularly looking for prevalent discourses on sport, childhood, and gender and how they affected their experiences. Despite the league's discursive emphasis on fun, participation, fairness, and respect, that was not necessarily what the children experienced. While most stated they enjoyed their season many also expressed serious disappointments. Size and particularly skill very much determined who was most involved in the action and thus actually played baskethaW. Gender also played a significant role in their sport experiences. My findings invite questions about what genuine sport participation actually is and how it might be alternatively imagined.

Analysis of a temperature sensitive mutation affecting aldehyde oxidase activity in Drosophila melanogaster

A strain of Drosophila melanogaster (mid america stock culture no. hl16) has been reported to be deficient in aldehyde oxidase activity (Hickey and Singh 1982). This strain was characterized during the course of this study and compared to other mutant strains known to be deficient in aldehyde oxidase activity. During the course of this investigation, the hl16 strain was found to be temperature sensitive in its viability. It was found that the two phenotypes, the enzyme deficiency, and the temperature sensitive lethality were the result of two different mutations, both mapping to the X-chromosome. These two mutations were found to be separable by recombination. The enzyme deficiency was found to map to the same locus as the cinnamon mutation, another mutation which affects aldehyde oxidase production. The developmental profile of aldehyde oxidase in the hl16 strain was compared to the developmental profile in the Canton S wild type strain. The aldehyde oxidase activity in adult hl16 individuals was also compared to that of various other strains. It was also found that the aldehyde oxidase activity was temperature sensitive in the adult flies. The temperature sensitive lethality mutation was mapped to position 1-0.1.

Mothers' experiences in the elementary school education of their children of mixed heritage /

This study explores the perceptions and experiences of middle-class women, mostly mothers, regarding the elementary school education of their children of mixed heritage. Because it endeavours to provide a forum in which the voices of women are considered a source of valuable information for educators, this study contributes to the fields of feminist and mothering research. Participants assign meanings to their lived experiences (Schon, 1983; van Manen 1997) and contemplate the various ways in which a mixed heritage mayor may not affect a child's schooling. Four main participants were interviewed who are mothers whose children of mixed heritage presently attend public elementary schools in Ontario, Canada. The study had an emergent design, thus allowing the researcher to make decisions as the study progressed. Three additional participants were included in the study to provide a wider perspective on the topic. These 3 additional women were the researcher herself as she explored her self-conceptual baggage (Kirby & McKenna. 1989); the researcher's mother in an attempt to consider the motherline (Lowinsky, 1992); and a volunteer non-mother of mixed ethnicity. The study involved a total of 12 individual interviews of approximately 2 hours in length. The 4 main participants and the researcher were each interviewed twice; the researcher's mother and the volunteer non-mother were each interviewed once. The researcher also attempted a focus group and kept a journal throughout the research process. Much of the analysis centers on women's interpretations of the mixed heritage experience and on their suggestions for elementary school educators. It concludes pondering on the invisibility (Chiong, 1998) of such children within the school system and calling for increased teacher education as a way to bring the mixed heritage experience out of the shadows.

A Temporal Analysis of Emotions in Girls' Secondary School Physical Education Games and Fitness Classes

Female enthusiasm towards engaging in physical education (PE) significantly decreases with age as it provides females with positive and negative emotional experiences. This study examined emotions within four grade nine female PE soccer and fitness classes (N = 67). Emotional patterns were studied over time and across two units of instruction and in relation to student grades. A mixed-method approach was utilized assessing the state emotions of shame, enjoyment, anxiety, and social physique anxiety (SPA). Results revealed unsatisfactory internal consistency for shame and thus it was removed. Statistical analysis revealed no significant changes in emotions over time, whereas qualitative analysis found that state emotions were inconsistent. Statistical analysis indicated that students in the fitness classes reported significantly higher levels of anxiety and SPA on the final class (p < .01). Qualitative analysis signaled different origins and themes of students‟ emotions. No predictive relationship between emotion and students‟ grade was found.

The Impact of a Corporate Name Change on Stock Price and Trading Volume of Canadian Companies

This thesis examines the impact of a corporate name change on stock price and trading volume of Canadian companies around the announcement date, the approval date, and the adoption date over the time period from 1997 to 2011. Name changes are classified into six categories: major and minor, structural and pure, diversified and focused, accompanied with a change in ticker symbol and without a change in ticker symbol, “Gold” name addition and deletion, and different reasons for name changes (e.g., merger and acquisition, change of structure, change of strategy, and better image). The thesis uses the standard event study methodology to perform abnormal return and trading volume analyses. In addition, regression analysis is employed to examine which type of a name change has the largest impact on cumulative abnormal returns. Sample stocks exhibit a significant positive abnormal return one-day prior to the approval day and one day after the adoption date. Around the approval date we observe significant abnormal returns for stocks with a structural name change. On the day after the adoption date we document abnormal returns for stocks with major, minor, structural, pure, focused, and ticker symbol name changes. If a merger or acquisition is the reason for a name change, companies tend to experience a significant positive abnormal return one-day before the approval date and on the adoption date. If a change of structure is the reason for a name change, companies exhibit a significant positive abnormal return on the approval date and a significant negative abnormal return on the adoption date. In case of a change of strategy as the reason for a name change, companies show a significant negative abnormal return around the approval date and a significant positive abnormal return around the adoption date.