Identifying the relative importance of stock characteristics

There is no consensus in the literature as to which stock characteristic best explains returns. In this study, we employ a novel econometric approach better suited than the traditional characteristic sorting method to answer this question for the UK market. We evaluate the relative explanatory power of market, size, momentum, volatility, liquidity and book-to-market factors in a semiparametric characteristic-based factor model which does not require constructing characteristic portfolios. We find that momentum is the most important factor and liquidity is the least important based on their relative contribution to the fit of the model and the proportion of sample months for which factor returns are significant. Overall, this study provides strong evidence to support that the momentum characteristic can best explain stock returns in the UK market. The econometric approach employed in this study is a novel way to assess relevant investment risk in international financial markets outside U.S. Moreover, multinational institutions and investors can use this approach to identify regional factors in order to diversify their portfolios.

The direction of media influence: Real-estate news and the stock market

This paper uses a novel identification strategy to test the influence of news media on the stock market. Because the stock market does not impact the media coverage of the housing market, a relationship between real-estate news and shares of companies engaged in the housing market is attributable media influence. I find that the content of reporting exhibits a significant relationship with stock returns, and the amount of news with the number of trades. These relationships exist even after controlling for known risk factors, housing market performance and intra-week correlation. This finding is consistent with the function of the media as a source of information and sentiment in financial markets.

How to return to “normal” after a cardiac event: State of the Art Lecture

Electronic report

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

Development of open models and tools for seismic risk assessment: application to Portugal

The exponential growth of the world population has led to an increase of settlements often located in areas prone to natural disasters, including earthquakes. Consequently, despite the important advances in the field of natural catastrophes modelling and risk mitigation actions, the overall human losses have continued to increase and unprecedented economic losses have been registered. In the research work presented herein, various areas of earthquake engineering and seismology are thoroughly investigated, and a case study application for mainland Portugal is performed. Seismic risk assessment is a critical link in the reduction of casualties and damages due to earthquakes. Recognition of this relation has led to a rapid rise in demand for accurate, reliable and flexible numerical tools and software. In the present work, an open-source platform for seismic hazard and risk assessment is developed. This software is capable of computing the distribution of losses or damage for an earthquake scenario (deterministic event-based) or earthquake losses due to all the possible seismic events that might occur within a region for a given interval of time (probabilistic event-based). This effort has been developed following an open and transparent philosophy and therefore, it is available to any individual or institution. The estimation of the seismic risk depends mainly on three components: seismic hazard, exposure and vulnerability. The latter component assumes special importance, as by intervening with appropriate retrofitting solutions, it may be possible to decrease directly the seismic risk. The employment of analytical methodologies is fundamental in the assessment of structural vulnerability, particularly in regions where post-earthquake building damage might not be available. Several common methodologies are investigated, and conclusions are yielded regarding the method that can provide an optimal balance between accuracy and computational effort. In addition, a simplified approach based on the displacement-based earthquake loss assessment (DBELA) is proposed, which allows for the rapid estimation of fragility curves, considering a wide spectrum of uncertainties. A novel vulnerability model for the reinforced concrete building stock in Portugal is proposed in this work, using statistical information collected from hundreds of real buildings. An analytical approach based on nonlinear time history analysis is adopted and the impact of a set of key parameters investigated, including the damage state criteria and the chosen intensity measure type. A comprehensive review of previous studies that contributed to the understanding of the seismic hazard and risk for Portugal is presented. An existing seismic source model was employed with recently proposed attenuation models to calculate probabilistic seismic hazard throughout the territory. The latter results are combined with information from the 2011 Building Census and the aforementioned vulnerability model to estimate economic loss maps for a return period of 475 years. These losses are disaggregated across the different building typologies and conclusions are yielded regarding the type of construction more vulnerable to seismic activity.

Avaliação da vulnerabilidade sísmica de edifícios escolares

A grande motivação para este trabalho resultou na avaliação da vulnerabilidade sísmica das escolas básicas e secundárias que fazem parte integrante do parque escolar de Portugal Continental. Apesar de até ao momento apenas se terem estudado a vulnerabilidade de algumas escolas em algumas zonas particulares do nosso país, para este trabalho de investigação tivemos uma ambição muito maior e obviamente fizemos um esforço muito maior. Estabelecemos assim como meta, a avaliação de todo o parque escolar. Embora todo o parque escolar possua na ordem das três centenas de escolas em todo o território nacional e sendo este projeto de reabilitação, um projeto com a duração de 2007 a 2015. Em 2011, por motivos da crise económica, todo o projeto congelou sendo reabilitadas até à data cerca de apenas um terço das escolas. Esta quantidade foi o número de escolas que avaliamos em todo o país. As escolas, sendo edifícios públicos com uma importância fundamental, tanto pela elevada concentração de jovens, como pela função essencial como centros de aprendizagem para as gerações vindouras, como também pela ameaça que representam na eventualidade dum cenário sísmico pela enorme densidade de utilizadores, e pela vantagem de nesse cenário de catástrofe a importância estrutural ser superior em relação à maior parte dos edifícios correntes, devidamente demonstrado pelos argumentos enumerados, consequentemente as escolas podem servir como instalações de proteção civil perante uma catástrofe sísmica para apoio das populações circundantes afetadas. Portanto para cada uma das escolas cordialmente fornecidas pelo Parque Escolar, E.P.E., foi feito um estudo exaustivo e muito individual de cada uma das escolas, onde cada análise foi desenvolvida por uma metodologia simplificada, sendo cada análise sempre individual, e nunca tendo sida aplicada em série, este fator melhora substancialmente a eficácia da avaliação para a quantificação das vulnerabilidades e da determinação do grau de dano e das frações de perda para os requisitos fundamentais de limitação de danos, de não colapso, e de colapso iminente que correspondem a ações com períodos de retorno de 95, 475 e 975 anos. Este trabalho é fundamental para as entidades competentes terem a consciência da vulnerabilidade das escolas secundárias, para puderem atuar a nível estrutural e diminuir assim a vulnerabilidade sísmica, e mesmo que por impossibilidade económica o poder governamental não intervenha, então pode e principalmente deve, elaborar planos de emergência tanto com engenheiros civis qualificados como com a total colaboração das corporações de bombeiros que fazem parte das forças de operação e socorro da Autoridade Nacional de Proteção Civil (ANPC).

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.

Geographic variation in sardine population traits: implications for stock assessment

Tese dout., Ciências e Tecnologias das Pescas, Universidade do Algarve, 2007

How do analysts deal with bad news? Going-concern opinions and analyst behaviour

Tese dout., University of Edinburg, 2008

Future Air Quality Related Health Effects in Europe and the Nordic Region—Sensitivity to Changes in Climate, Anthropogenic Emissions, Demography and Building Stock

Future changes in population exposures to ambient air pollution are inherently linked with long-term trends in outdoor air quality, but also with changes in the building stock. Moreover, the burden of disease is further driven by the ageing of the European populations. This study aims to assess the impact of changes in climate, emissions, building stocks and population on air pollution related human health impacts across Europe in the future. Therefore an integrated assessment model combining atmospheric models and health impacts has been setup for projections of the future developments in air pollution related premature mortality. The focus is here on the regional scale impacts of exposure to surface ozone (O3), Secondary Inorganic Aerosols (SIA) and primary particulate matter (PPM).

On absence: society’s return to barbarians

The problem of social exclusion is dealt here through the lens of a particularly radical social theory, that of autopoietic society by Niklas Luhmann. Here, exclusion is included in society, no longer as an issue for care, integration and therapy, but as a mechanism to show the importance of the visibility of exclusion. The inclusion of exclusion in autopoiesis is a far-reaching step that demands a revisiting of the concept of autopoietic society. This article proposes a radicalization of the concept on the basis of an acknowledgment of the impossibility of communication with the excluded. This acknowledgement conditions society from within. It is built upon the Luhmannian description of Barbarism as the included exclusion, and is further conceptualized as its excess, as a 'space of absence'. Within autopoiesis, absence is described as an aporetic rather than a paradoxical structure, a memento vanitas that irritates the system from within, constantly reminding it of its limitations.

How does a house remember? heritage-ising return migration in an Indonesian-Chinese house museum in Guangdong, PRC

This paper is an attempt to integrate heritage and museum studies through exploring the complex relationship between the materiality of architecture and social memories with a house museum of return migration in Guangdong, PRC as a case study. It unveils that the ongoing process of memory is intrinsically intertwined with spatial and temporal dimensions of the physical dwelling and built environment and the wider social-historical context and power relations shaping them. I argue that it is the house as ‘object of exhibit’ just as much as the exhibits inside the house that materialises the turbulent and traumatic migratory experience of Returned Overseas Chinese, embodies their memories and exposes the contested nature of museumification. By looking at the socially and geographically marginalised dwelling of return migrants, the house draws people’s attention to the often neglected importance of conceptual periphery in re-theorising what is often assumed to be the core of heritage value. It points to the necessity to integrate displaced, diasporic, transnational subjects to heritage and museum studies that have been traditionally framed within national and territorial boundaries.