THE ROLE OF EARNINGS PERSISTENCE IN VALUATION ACCURACY AND THE TIME HORIZON

ABSTRACT Based on the assumption that earnings persistence has implications for both financial analysis and compensation contracts, the aim of this paper is to investigate the role of earnings persistence assuming that (i) more persistent earnings are likely to be a better input to valuation models and (ii) more persistent earnings are likely to serve as a proxy for long-term market and managerial orientation. The analysis is based on Brazilian listed firms from 1995 to 2013, and while we document strong support for the relevance of earnings persistence in financial analysis and valuation, we fail to document a significant relationship between earnings persistence and long-term value orientation. These results are sensitive to different specifications, and additional results suggest that firms' idiosyncratic risk (total risk) is relevant to explain the focus on short-term outcomes (short-termism) across firms. The main contribution of this paper is to offer empirical evidence for the relevance of accounting numbers in both valuation and contractual theories in an emergent market.

Síntese e fotosensibilização de nanotubos de titanatos

Nesta tese é descrita a preparação de nanotubos de titanatos (TNT) via síntese hidrotérmica alcalina, usando uma nova metodologia que evita a utilização de TiO2 cristalino como precursor. Foi estudada a influência da substituição sódio/protão na estrutura, morfologia e propriedades ópticas dos materiais preparados. Os resultados mostraram que a substituição Na+ → H+ resulta numa redução na distância intercamadas dos TNTs, tendo sido medidos valores entre 1.13±0.03 nm e 0.70±0.02 nm para aquele parâmetro. O comportamento óptico dos TNTs foi estudado na região UV-vis, estimando-se um hiato óptico de energia 3.27±0.03 eV para a amostra com maior teor de sódio enquanto que para a amostra protonada foi determinado um valor de 2.81±0.02 eV. Estes valores mostram que a troca iónica Na+ → H+ teve influência no desvio da banda de absorção dos TNTs para a região do visível próximo. A actividade fotocatalítica dos TNTs na degradação do corante rodamina 6G (R6G) foi posteriormente estudada. Verificou-se que, apesar de a amostra com maior teor de sódio ter sido a que exibiu maior capacidade para adsorver o R6G, foi a amostra protonada que apresentou a actividade catalítica mais elevada na fotodegradação deste corante. Numa segunda fase, e com o objectivo de preparar novos materiais nanoestruturados fotosensíveis, procedeu-se à decoração dos TNTs protonados com semicondutores (SC) nanocristalinos usando um método novo. Para o efeito os TNTs foram decorados com nanocristalites de ZnS, CdS e Bi2S3. Foi estudada a influência do tipo de semicondutor na estrutura, morfologia e propriedades ópticas dos SC/TNTs obtidos. Verificou-se que, para qualquer dos semicondutores usados no processo de decoração, a estrutura dos TNTs é preservada e não ocorre segregação do SC. Verificou-se ainda que a morfologia dos nanocompósitos preparados depende fortemente da natureza do semicondutor. No que respeita ao comportamento óptico destes materiais, foram determinados hiatos ópticos de energia 3.67±0.03 eV, 2.47±0.03 eV e 1.35±0.01 eV para as amostras ZnS/TNT, CdS/TNT e Bi2S3/TNT, respectivamente. Estes resultados mostram que através do processo de decoração de TNTs com semicondutores podem ser preparados materiais nanocompósitos inovadores, com propriedades ópticas novas e/ou pré-definidas numa gama alargada do espectro electromagnético.

Desenvolvimento do sistema de tracção de um veículo eléctrico ecológico com travagem regenerativa

Nesta dissertação descreve-se uma metodologia de dimensionamento do sistema de tracção para equipar um veículo eléctrico ecológico (VEECO) com inclusão de um sistema de travagem regenerativa. Apresenta-se uma perspectiva geral de diversas topologias de sistemas de tracção utilizadas nos veículos eléctricos e realiza-se a sua comparação através do estudo e análise dos acionamentos electromecânicos que podem ser utilizados nesses sistemas de tracção eléctrica. Utilizando ferramentas de simulação numérica, estuda-se o modelo matemático de um veículo eléctrico com travagem regenerativa. A partir deste modelo matemático é adoptado uma possível configuração para o seu sistema de tracção eléctrica e são obtidas características teóricas de desempenho do veículo eléctrico, através da análise de testes padrão ao veículo. Em banco de ensaios, constrói-se um sistema de tracção eléctrica que permite a validação experimental do modelo matemático do veículo eléctrico. Para a construção deste banco de ensaios foram concebidos os sistemas de tracção eléctrica, de carga mecânica e de controlo e monitorização do banco de ensaios. A validação experimental realiza-se através dos mesmos testes padrão ao veículo eléctrico, como o teste NEDC (New European Driving Cycle), o teste de aceleração entre 0 e 100km/h e o teste de gradeabilidade. Desenvolve-se o dimensionamento do sistema de tracção eléctrica a equipar o VEECO, através da componente de modelação paramétrica do modelo matemático do veículo eléctrico. Com esta metodologia é adoptado um conjunto de variáveis paramétricas relacionadas com os elementos que constituem o sistema de tracção eléctrica do VEECO. Estuda-se a influência destas variáveis paramétricas nas características de desempenho pretendidas para o VEECO. Como resultado da análise de modelação paramétrica é apresentada uma solução para o sistema de tracção eléctrica do VEECO que cumpre a execução do NEDC, apresenta um tempo de aceleração entre 0 e 100km/h inferior a 10 segundos, supera uma gradeabilidade de 10% e uma autonomia de 200 km. O sistema de tracção do VEECO também permite realizar a travagem regenerativa com rendimento até 33%. Possui controlo de tracção e anti bloqueio da roda motora, através de uma unidade de controlo que permite reduzir a potência transmitida ao veio, quando a velocidade da roda de tracção difere do valor de referência da velocidade do veículo. Os conhecimentos adquiridos através do processo de investigação e desenvolvimento, para a realização da presente dissertação permitem apresentar perspectivas de desenvolvimento futuro com aplicação nos sistemas de tracção de veículos eléctricos rodoviários.

Chaos and crises in a model for cooperative hunting: A symbolic dynamics approach

In this work we investigate the population dynamics of cooperative hunting extending the McCann and Yodzis model for a three-species food chain system with a predator, a prey, and a resource species. The new model considers that a given fraction sigma of predators cooperates in prey's hunting, while the rest of the population 1-sigma hunts without cooperation. We use the theory of symbolic dynamics to study the topological entropy and the parameter space ordering of the kneading sequences associated with one-dimensional maps that reproduce significant aspects of the dynamics of the species under several degrees of cooperative hunting. Our model also allows us to investigate the so-called deterministic extinction via chaotic crisis and transient chaos in the framework of cooperative hunting. The symbolic sequences allow us to identify a critical boundary in the parameter spaces (K, C-0) and (K, sigma) which separates two scenarios: (i) all-species coexistence and (ii) predator's extinction via chaotic crisis. We show that the crisis value of the carrying capacity K-c decreases at increasing sigma, indicating that predator's populations with high degree of cooperative hunting are more sensitive to the chaotic crises. We also show that the control method of Dhamala and Lai [Phys. Rev. E 59, 1646 (1999)] can sustain the chaotic behavior after the crisis for systems with cooperative hunting. We finally analyze and quantify the inner structure of the target regions obtained with this control method for wider parameter values beyond the crisis, showing a power law dependence of the extinction transients on such critical parameters.

RFID together with multi-agent systems to control global value chains

Nowadays, the cooperative intelligent transport systems are part of a largest system. Transportations are modal operations integrated in logistics and, logistics is the main process of the supply chain management. The supply chain strategic management as a simultaneous local and global value chain is a collaborative/cooperative organization of stakeholders, many times in co-opetition, to perform a service to the customers respecting the time, place, price and quality levels. The transportation, like other logistics operations must add value, which is achieved in this case through compression lead times and order fulfillments. The complex supplier's network and the distribution channels must be efficient and the integral visibility (monitoring and tracing) of supply chain is a significant source of competitive advantage. Nowadays, the competition is not discussed between companies but among supply chains. This paper aims to evidence the current and emerging manufacturing and logistics system challenges as a new field of opportunities for the automation and control systems research community. Furthermore, the paper forecasts the use of radio frequency identification (RFID) technologies integrated into an information and communication technologies (ICT) framework based on distributed artificial intelligence (DAI) supported by a multi-agent system (MAS), as the most value advantage of supply chain management (SCM) in a cooperative intelligent logistics systems. Logistical platforms (production or distribution) as nodes of added value of supplying and distribution networks are proposed as critical points of the visibility of the inventory, where these technological needs are more evident.

Dynamical behaviour on the parameter space: new populational growth models proportional to beta densities

We present new populational growth models, generalized logistic models which are proportional to beta densities with shape parameters p and 2, where p > 1, with Malthusian parameter r. The complex dynamical behaviour of these models is investigated in the parameter space (r, p), in terms of topological entropy, using explicit methods, when the Malthusian parameter r increases. This parameter space is split into different regions, according to the chaotic behaviour of the models.

Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Implications of the LHC two-photon signal for two-Higgs-doublet models

We study the implications for two-Higgs-doublet models of the recent announcement at the LHC giving a tantalizing hint for a Higgs boson of mass 125 GeV decaying into two photons. We require that the experimental result be within a factor of 2 of the theoretical standard model prediction, and analyze the type I and type II models as well as the lepton-specific and flipped models, subject to this requirement. It is assumed that there is no new physics other than two Higgs doublets. In all of the models, we display the allowed region of parameter space taking the recent LHC announcement at face value, and we analyze the W+W-, ZZ, (b) over barb, and tau(+)tau(-) expectations in these allowed regions. Throughout the entire range of parameter space allowed by the gamma gamma constraint, the numbers of events for Higgs decays into WW, ZZ, and b (b) over bar are not changed from the standard model by more than a factor of 2. In contrast, in the lepton-specific model, decays to tau(+)tau(-) are very sensitive across the entire gamma gamma-allowed region.

Modelling of n-stage Blumlein stacked lines for bipolar pulse generation

A Blumlein line is a particular Pulse Forming Line, PFL, configuration that allows the generation of high-voltage sub-microsecond square pulses, with the same voltage amplitude as the dc charging voltage, into a matching load. By stacking n Blumlein lines one can multiply in theory by n the input dc voltage charging amplitude. In order to understand the operating behavior of this electromagnetic system and to further optimize its operation it is fundamental to theoretically model it, that is to calculate the voltage amplitudes at each circuit point and the time instant that happens. In order to do this, one needs to define the reflection and transmission coefficients where impedance discontinuity occurs. The experimental results of a fast solid-state switch, which discharges a three stage Blumlein stack, will be compared with theoretical ones.

Valor em risco (VAR - value at risk): metodologias não paramétricas

O VAR (Value at Risk) ,valor em risco, é a perda máxima provável de uma carteira para um nível de confiança determinado, num horizonte temporal especificado.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

A novel framework for modeling value for the customer, an essay on negotiation

This paper proposes a novel framework for modelling the Value for the Customer, the so-called the Conceptual Model for Decomposing Value for the Customer (CMDVC). This conceptual model is first validated through an exploratory case study where the authors validate both the proposed constructs of the model and their relations. In a second step the authors propose a mathematical formulation for the CMDVC as well as a computational method. This has enabled the final quantitative discussion of how the CMDVC can be applied and used in the enterprise environment, and the final validation by the people in the enterprise. Along this research, we were able to confirm that the results of this novel quantitative approach to model the Value for the Customer is consistent with the company's empirical experience. The paper further discusses the merits and limitations of this approach, proposing that the model is likely to bring value to support not only the contract preparation at an Ex-Ante Negotiation Phase, as demonstrated, but also along the actual negotiation process, as finally confirmed by an enterprise testimonial.

Conceptual model for decomposing the value for the customer

Value has been defined in different theoretical contexts as need, desire, interest, standard /criteria, beliefs, attitudes, and preferences. The creation of value is key to any business, and any business activity is about exchanging some tangible and/or intangible good or service and having its value accepted and rewarded by customers or clients, either inside the enterprise or collaborative network or outside. “Perhaps surprising then is that firms often do not know how to define value, or how to measure it” (Anderson and Narus, 1998 cited by [1]). Woodruff echoed that we need “richer customer value theory” for providing an “important tool for locking onto the critical things that managers need to know”. In addition, he emphasized, “we need customer value theory that delves deeply into customer’s world of product use in their situations” [2]. In this sense, we proposed and validated a novel “Conceptual Model for Decomposing the Value for the Customer”. To this end, we were aware that time has a direct impact on customer perceived value, and the suppliers’ and customers’ perceptions change from the pre-purchase to the post-purchase phases, causing some uncertainty and doubts.We wanted to break down value into all its components, as well as every built and used assets (both endogenous and/or exogenous perspectives). This component analysis was then transposed into a mathematical formulation using the Fuzzy Analytic Hierarchy Process (AHP), so that the uncertainty and vagueness of value perceptions could be embedded in this model that relates used and built assets in the tangible and intangible deliverable exchange among the involved parties, with their actual value perceptions.

Positive solutions of fourth order problems with clamped beam boundary conditions

n this paper we make an exhaustive study of the fourth order linear operator u((4)) + M u coupled with the clamped beam conditions u(0) = u(1) = u'(0) = u'(1) = 0. We obtain the exact values on the real parameter M for which this operator satisfies an anti-maximum principle. Such a property is equivalent to the fact that the related Green's function is nonnegative in [0, 1] x [0, 1]. When M < 0 we obtain the best estimate by means of the spectral theory and for M > 0 we attain the optimal value by studying the oscillation properties of the solutions of the homogeneous equation u((4)) + M u = 0. By using the method of lower and upper solutions we deduce the existence of solutions for nonlinear problems coupled with this boundary conditions. (C) 2011 Elsevier Ltd. All rights reserved.

Português L2: ensino da escrita e input linguístico

Esta dissertação de mestrado é baseada numa investigação – ação, realizada numa turma de 3º e 4º anos do 1º ciclo. Partindo da análise de uma situação problemática de ensino a crianças oriundas de meios de imigração foi realizada uma investigação que visava intervir na aprendizagem da escrita. Foi aplicado um pré-teste, escrita de uma narrativa tendo como estímulo um conjunto de imagens. Após a sua análise, delineámos uma intervenção de modo a melhorar os aspetos em que as crianças apresentavam dificuldades. A intervenção pedagógica focalizou o ensino da escrita enquanto processo e, dado do que o português não é a língua materna das crianças, demos uma atenção especial ao input textual, recorrendo à leitura obras literárias para crianças. Após a intervenção, foi realizado o pós-teste, sob as mesmas condições que o pré-teste, e observaram-se melhorias acentuadas na competência de escrita das crianças.