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.

Harvest control rule vs optimal harvesting of an age-structured population: The case of the Ibero-Atlantic Sardine Fishery

Research Masters

How could marketing automation impact the business performance of Comexposium?

Comexposium continues to exhibit strong growth through global acquisition of key events. However, the company identified the need to increase the renewal rate of its exhibitors. In order to do so, Comexposium determined marketing automation software could have enormous value. However, the company currently does not have the appropriate data to determine to specific returns the software could provide. Thus, this report focused on assessing the impact of marketing automation on the business performance of a B2B enterprise and the best methods to implement and measure it. The main findings were that the software could be of immense value to Comexposium, if the company is ready to invest in internal resources and take the time to adapt to the changes the tool will incur.

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Avaliação do desempenho de carteiras de fundos verdes em diferentes estados de mercado

Dissertação de mestrado em Finanças

Post-operating performance of cross-delisted firms from U.S. stock exchanges

We investigate the long-term performance of cross-delisted firms from U.S. stock markets. Using a sample of foreign firms listed and delisted from U.S. stock exchange markets over 2000-2012, we examine the operating performance and the long-run stock returns performance of firms post-cross-delisting. Our results suggest that cross-delisted firms have less growth opportunities than matched cross-listed firms in the long run. Moreover, firms that cross-delist after the passage of Rule 12h-6 of 2007 exhibit a significant decline in operating performance. In contrast, before the adoption of the Rule 12h-6, cross-delisted firms seem to be affected by the cost of a U.S. listing in the precross -delisting period. In addition, we provide evidence that cross-delisted firms underperform their cross-listed peers; cross-delisted firms experience negative average abnormal returns, especially in the post-delisting period.

Tribunais nacionais e tutela jurisdicional efetiva: da cooperação à integração judiciária no contencioso da união europeia

Tese de Doutoramento em Ciências Jurídicas (área de especialização em Ciências Jurídicas Públicas).

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

Tese de Doutoramento em Ciências Empresariais.

The trading relationship between the EU and Mercosur: the mediatory role of Brazil

Dissertação de mestrado em European and Transglobal Business Law

Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

O filme “A Gaiola Dourada”: reflexões sobre o regresso em força da emigração portuguesa e a ‘portugalidade’ de uma gaiola (cada vez menos) dourada

A história de um casal de emigrantes portugueses em França bateu, no verão de 2013, recordes de audiência nas salas de cinema. O filme “A Gaiola Dourada”, de Ruben Alves, recuperou a temática da emigração portuguesa, numa altura em que esta atingiu o boom registado nos anos 1960. Recorrendo ao seu percurso, o realizador refere-se à ‘portugalidade’ como alegada ‘pertença a Portugal’, que assume como um cliché, e utiliza de forma humorística vários estereótipos associados aos emigrantes portugueses, através dos quais é mostrada alguma vergonha que os filhos dos emigrantes sentem em relação ao comportamento dos pais, trazendo ao de cima os contrastes com a sociedade onde vivem. A grande ficção reside no regresso ao país de origem, concretizando o sonho da grande maioria dos emigrantes, mas subvertendo a lógica: no filme, não são os pais que voltam a Portugal, mas os filhos, que aparentemente pouco se identificam com o país dos progenitores. “A Gaiola Dourada” reintroduziu o debate sobre a emigração em Portugal, aproveitando a crise económica para refletir sobre o seu regresso em força, bem como traçar o perfil dos novos emigrantes. Será que os portugueses na ‘diáspora’ ainda reavivam a chama ‘lusitana’ (Gonçalves, 2009)? E será que a partilha do nome ‘Portugal’ basta para sublinhar uma alegada identidade nacional (Sobral, 2012)?

The real economic effects of cross-delistingfrom the united states: evidence on post-operating performance, financial constraints and stock crash risk

Tese de Doutoramento em Ciências Empresariais.

Mecanismo de interacción, calcio dependiente, entre Calcineurina y PERK, involucrado en el Estrés de Retículo Endoplásmico. Ca2+ -dependent mechanism of interaction between Calcineurin and PERK involved in Endoplasmic Reticulum Stress.

El Estrés de Retículo Endoplásmico (RE) es inducido por la acumulación de proteínas sin plegar en el lumen de la organela. Esto se puede observar en diversas situaciones fisio-patológicas como durante una infección viral o en proceso isquémico. Además, contribuye a la base molecular de numerosas enfermedades ya sea índole metabólico (Fibrosis quística o Diabetes Miellitus) o neurodegenerativas como mal de Alzheimer o Parkinson (Mutat Res, 2005, 569). Para restablecer la homeostasis en la organela se activa una señal de transducción (UPR), cuya respuesta inmediata es la atenuación de la síntesis de proteína debido a la fosforilación de subunidad alpha del factor eucariótico de iniciación de translación (eIF2α) vía PERK. Esta es una proteína de membrana de RE que detecta estrés. Bajo condiciones normales, PERK está inactiva debido a la asociación de su dominio luminar con la chaperona BIP (Nat Cell Biol, 2000, 2: 326). Frente a una situación de estrés, la chaperona se disocia causando desinhibición. Recientemente, (Plos One 5: e11925) se observó, bajo condiciones de estrés, un aumento de Ca2+ citosólico y un rápido incremento de la expresión de calcineurina (CN), una fosfatasa citosólica dependiente de calcio, heterodimérica formada por una subunidad catalítica (CN-A) y una regulatoria (CN-B). Además, CN interacciona, sin intermediarios, con el dominio citosólico de PERK favoreciendo su trans-autofosforilación. Resultados preliminares indican que, astrocitos CNAβ-/- exhibieron, en condiciones basales, un mayor número de células muertas y de niveles de eIF2α fosforilado que los astrocitos CNAα-/-. Hipótesis: CNAβ/B interacciona con PERK cuando el Ca2+ citosólico esta incrementado luego de haberse inducido Estrés de RE, lo cual promueve dimerización y auto-fosforilación de la quinasa, acentuándose así la fosforilación de eIF2α e inhibición de la síntesis de proteínas. Esta activación citosólica de PERK colaboraría con la ya descrita, desinhibición luminal llevada cabo por BIP. Cuando el Ca2+ citosólico retorna a los niveles basales, PERK fosforila a CN, reduciendo su afinidad de unión y disociándose el complejo CN/PERK. Objetivo general: Definir las condiciones por las cuales CN interacciona con PERK y regula la fosforilación de eIF2α e inhibición de la síntesis de proteína. Objetivos específicos: I-Estudiar la diferencia de afinidades y dependencia de Ca2+, de las dos isoformas de CN (α y β) en su asociación con PERK. Además verificar la posible participación de la subunidad B de CN en esta interacción. II-Determinar si la auto-fosforilación de PERK es diferencialmente regulada por las dos isoformas de CN. III-Discernir la relación del estado de fosforilación de CN con su unión a PERK. IV-Determinar efectos fisiológicos de la interacción de CN-PERK durante la respuesta de Estrés de RE. Para llevar a cabo este proyecto se realizarán experimentos de biología molecular, interacción proteína-proteína, ensayos de fosforilación in vitro y un perfil de polisoma con astrocitos CNAβ-/- , CNA-/- y astrocitos controles. Se espera encontrar una mayor afinidad de unión a PERK de la isoforma β de CN y en condiciones donde la concentración de Ca2+ sea del orden micromolar e imite niveles del ión durante un estrés. Con respecto al estado de fosforilación de CN, debido a los resultados preliminares, donde solo se la encontró fosforilada en condiciones basales, se piensa que CN podría interactuar con mayor afinidad con PERK cuando CN se encuentre desfosforilada. Por último, se espera encontrar un aumento de eIF2α fosforilado y una acentuación de la atenuación de la síntesis de proteína como consecuencia de la mayor activación de PERK por su asociación con la isoforma β de CN en astrocitos donde el Estrés de RE se indujo por privación de oxigeno y glucosa. Estos experimentos permitirán avanzar en el estudio de una nueva función citoprotectora de CN recientemente descrita por nuestro grupo de trabajo y sus implicancias en un modelo de isquemia. The accumulation of unfolded proteins into the Endoplasmic Reticulum (ER) activates a signal transduction cascade called Unfolding Protein Response (UPR), which attempts to restore homeostasis in the organelle. (PKR)-like-ER kinase (PERK) is an early stress response transmembrane protein that is generally inactive due to its association with the chaperone BIP. During ER stress, BIP is tritrated by the unfolded protein, leading PERK activation and phosphorylation of eukaryotic initiation factor-2 alpha (eIF2alpha), which attenuates protein síntesis. If ER damage is too great and homeostasis is not restored within a certain period of time, an apoptotic response is elicited. We recently demonstrated a cytosolic Ca2+ increase in Xenopus oocytes after induce ER stress. Moreover, calcineurin A/B, a an heterotrimeric Ca2+ dependent phosphatases (CN-A/B), associates with PERK increasing its auto-phosphorylation and significantly enhancing cell viability. Preliminary results suggest that, CN-Aβ-/- knockout astrocytes exhibit a significant higher eIF2α phosphorylated level compared to CN-Aα-/- astrocytes. Our working hypothesis establishes that: CN binds to PERK when cytosolic Ca2+ is initially increased by ER stress, promoting dimerization and autophosphorylation, which leads to phosphorylation of elF2α and subsequently attenuation of protein translation. When cytosolic Ca2+ returns to resting levels, PERK phosphorylates CN, reducing its binding affinity so that the CN/PERK complex dissociates. The goal of this project is to determine the conditions by which CN binding to PERK attenuates protein translation during the ER stress response and subsequently, to determine how the interaction of CN with PERK is terminated when stress is removed. To perform this project is planed to do molecular biology experiments, pull down assays, in vitro phosphorylations and assess overall mRNA translation efficiency doing a polisome profile.

Evaluation of fish pots as a feasible fishing method in Irish waters, with specific reference to the physiological effects of common and alternate pots on the lesser spotted dogfish (Scyliorhinus canicula).

Finfish pots have emerged as a “responsible” gear, when used in combination with conservational and technical measures to sustain fisheries. Previous trials in Irish waters have offered no published reported data and so three designs tested in the current study provide new information on this gear. The most successful traps in terms of fish catch were rigid steel framed rectangular pots used to target Conger eel. Although commercial yield was low (0.2 per trap haul), potential existed for a viable pot fishery. Deployment and storage of Norwegian floating pots was conducted with relative ease but performance in the water was poor resulting in loss of gear. Catch returns were notable even though effort was restricted as mega-faunal by-catch was a problem, which lead to ending this trial. From these initial trials it was evident that catch rates were low compared to established Norwegian fisheries (3.6 cod per pot), which resulted in the utilisation of pots, already established in the crustacean fishery, to find species readily accessible to pot capture. Although fished and designed differently, these gears provided an opportunity to establish the benefits of pot fishing to fish quality and to determine the effects on by-catch. The fishing effects of three catching methods (pots, angling and trawl) and the effects of air exposure on the physiological status of a common by-catch, the lesser spotted dogfish Scyliorhinus canícula (L.) were examined using a range of physiological biomarkers (plasma catecholamine, glucose, lactate, muscle pH and muscle lactate). Physiological responses of fish to an emersion stress regime resulted in a significant metabolic disturbance in groups, but may not have weakened the overall health of these fish, as signified in the revival of some metabolites. Plasma glucose and lactate concentrations did not however recovery to baseline levels indicating that to achieve an accurate profile, responses should be determined by a suite of biomarkers. Responses did not demonstrate that samples from the pots were significantly less stressed than for the other two methods; angling and trawling, which are in contrast to many other studies. Employment of finfish potting therefore in Irish waters needs further consideration before further promotion as a more responsible method to supplement or replace established techniques.

Diversity and structure of microcrustacean assemblages (Cladocera and Copepoda) and limnological variability in perennial and intermittent pools in a semi-arid region, Bahia, Brazil

Temporary wetlands undergo recurrent drought due to the scarcity of water, which disrupts the hydrological connectivity with adjacent aquatic systems. However, some environments retain water for longer periods, allowing greater persistence of the community. The current study evaluated differences in the microcrustacean assemblages and limnological variability between perennial and intermittent pools in a semi-arid region of Brazil. The abiotic features (water temperature, pH, total alkalinity, electrical conductivity and depth) of intermittent pools were affected more than perennial pools due to loss of water volume. This may have contributed to a higher average richness and diversity index in some intermittent pools and differences in the structure of the assemblages. The lowest species richness and diversity were recorded where physical factors, such as a large quantity of suspended solids and variability in the electrical conductivity of the water and pH, make the environment unsuitable for these organisms. These results suggest that community development in intermittent pools is interrupted by the dry season; when the water returns, due to rainfall or rising groundwater, each pond undergoes a different process of colonization. In these circumstances, the biological importance of temporary aquatic environments is clear, since such pools provide shelters and have an important role in the maintenance of the regional diversity of aquatic environments.