The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

Idiosyncratic risk really drives stock returns; Spanish evidence

Following the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanish stock market over the period 1987-2007. Our results show a positive relation between returns and individual indiosyncratic risk levels and a negative but lower relation with the aggregate measure of idiosyncratic risk. These findings have important implications for portfolio and risk management and contribute to provide a unified and coherent answer for the main and still unsolved question about the idiosyncratic risk puzzle: whether or not there exists a premium associated to this kind of risk and the sign for this risk premium.

Compensação de executivos: stock options: o caso particular da compensação dos altos executivos

Orientadora: Mestre Cláudia Maria Ferreira Pereira Lopes

La social stock exchange au Portugal: un nouvel allié de l'économie sociale

Résumé Cet article vise à contribuer à la connaissance de la Bolsa de Valores Sociais (BVS) — Social Stock Exchange — récemment créé au Portugal, dont le but primatial était de permettre la prise de moyens de financement des entités de l'Économie Sociale engagées dans des projets d'éducation et d'entreprenariat. Il se penchera sur la qualification juridique des divers types d'entités cotées dans la BVS, sur le concept d'investisseur social et sur la protection dont il jouira, vis-à-vis des exigences de transparence et de gouvernance qui incombent à ces entités. Le thème proposé sera examiné en soulignant les virtualités et le potentiel de la BVS, faisant référence à l'un ou à l'autre sujet qui viennent à effet, avec un accent particulier sur l'avantage d'élaborer un code de gouvernance corporative pour les entités de l'Économie Sociale. Abstract This article aims to contribute to the knowledge of the Bolsa de Valores Sociais (BVS) — Social Stock Exchange — recently created in Portugal, whose primatial purpose was to allow the taking of means of financing the Social Economy entities, engaged in projects in education and entrepreneurship. It will reflect on the legal classification of the various types of entities rated in the BVS, on the concept of social investor and on the protection he will enjoy, leading to the consequent demands for transparency and governance that falls upon those entities. The proposed theme will be discussed highlighting the virtues and potential of BVS, playing in one or two topics that comes to purpose, with particular emphasis on the relevance of drawing up a code of corporate governance for entities of the Social Economy. Resumen Este artículo tiene como objetivo contribuir al conocimiento de la Bolsa de Valores Sociales (BVS), recientemente creada en Portugal, cuya finalidad principal es que las entidades de la economía social dedicadas a proyectos en las áreas de educación y de iniciativa empresarial puedan obtener medios financieros. Se abordará la calificación jurídica de los diversos tipos de entidades que cotizan en la BVS, así como el concepto de inversor social y la protección de que éste goza, con las consiguientes exigencias en materia de transparencia y de gobierno que recaen sobre esas entidades. Se analizará la temática propuesta destacando las virtudes y potencialidades de la BVS, sin omitir algún otro tópico adyacente que resulte relevante, en especial la conveniencia de que sea elaborado un código de gobernanza corporativa para las entidades de la economía social.

Da programação de fluxo à televisão de stock: programação e serviço público

No futuro, o papel da televisão pública ver-se-á condicionado pelo processo acelerado de evolução que marca uma transição da forma dominante da televisão de fluxo à televisão de stock – algo que já acontece, aliás, nos nossos dias. O meio tem evoluído desde o seu nascimento, respondendo a uma tensão existente entre dois vectores de força, em cujos pólos encontramos, por um lado, a inovação tecnológica e, por outro, a regulação. O primeiro pólo está representado na linha temporal pelo movimento entre o deslumbramento da tecnologia analógica e o da tecnologia digital. O segundo marca o momento em que a televisão deixa de ser considerada um bem público (ideia dominante) e passa a ser vista como mais uma indústria. Os dois pólos têm mantido uma relação activa e de mútuo condicionamento. Pode-se dizer que a regra subjacente a esta dinâmica tem sido a seguinte: a um menor grau de inovação tecnológica corresponde uma maior regulação; um maior grau de inovação está associado a uma maior desregulação. Se concordamos que o nascimento da televisão corresponde ao grau zero de inovação (pese embora a própria invenção da mesma tenha constituído uma novidade espectacular), também é verdade que esse grau pressupunha o uso de uma tecnologia que possibilitava a transmissão à distância de som e imagens em movimento, sem necessidade de se dispor de um elo físico. Para tal, nesta fase de desenvolvimento tecnológico, era utilizada a modulação das ondas hertzianas, um bem escasso que permitia transmitir sem interferências um número limitado de canais.

Avaliação do stock de Abalones: uma pesca sustentável

Jornadas "Ciência nos Açores – que futuro? Tema Ciências Naturais e Ambiente", Ponta Delgada, 7-8 de Junho de 2013.

Avaliação do risco de lesões músculo-esqueléticas ligadas ao trabalho nos serventes da construção civil: contributos da análise macro-postural

Mestrado em Segurança e Higiene no Trabalho

Stock Options: impacte nas empresas cotadas em Portugal

Mestrado em Contabilidade

Removal of Cd(II), Zn(II) and Pb(II) from aqueous solutions by brown marine macro algae: kinetic modelling

Specific marine macro algae species abundant at the Portuguese coast (Laminaria hyperborea, Bifurcaria bifurcata, Sargassum muticum and Fucus spiralis) were shown to be effective for removing toxic metals (Cd(II), Zn(II) and Pb(II)) from aqueous solutions. The initial metal concentrations in solution were about 75–100 mg L−1. The observed biosorption capacities for cadmium, zinc and lead ions were in the ranges of 23.9–39.5, 18.6–32.0 and 32.3–50.4 mg g−1, respectively. Kinetic studies revealed that the metal uptake rate was rather fast, with 75% of the total amount occurring in the first 10 min for all algal species. Experimental data were well fitted by a pseudo-second order rate equation. The contribution of internal diffusion mechanism was significant only to the initial biosorption stage. Results indicate that all the studied macro algae species can provide an efficient and cost-effective technology for eliminating heavy metals from industrial effluents.

Nano-CF: a Coordination Framework for macro-programming in wireless sensor networks

Wireless Sensor Networks (WSN) are being used for a number of applications involving infrastructure monitoring, building energy monitoring and industrial sensing. The difficulty of programming individual sensor nodes and the associated overhead have encouraged researchers to design macro-programming systems which can help program the network as a whole or as a combination of subnets. Most of the current macro-programming schemes do not support multiple users seamlessly deploying diverse applications on the same shared sensor network. As WSNs are becoming more common, it is important to provide such support, since it enables higher-level optimizations such as code reuse, energy savings, and traffic reduction. In this paper, we propose a macro-programming framework called Nano-CF, which, in addition to supporting in-network programming, allows multiple applications written by different programmers to be executed simultaneously on a sensor networking infrastructure. This framework enables the use of a common sensing infrastructure for a number of applications without the users having to worrying about the applications already deployed on the network. The framework also supports timing constraints and resource reservations using the Nano-RK operating system. Nano- CF is efficient at improving WSN performance by (a) combining multiple user programs, (b) aggregating packets for data delivery, and (c) satisfying timing and energy specifications using Rate- Harmonized Scheduling. Using representative applications, we demonstrate that Nano-CF achieves 90% reduction in Source Lines-of-Code (SLoC) and 50% energy savings from aggregated data delivery.

Analysis of stock market indices with multidimensional scaling and wavelets

Stock market indices SMIs are important measures of financial and economical performance. Considerable research efforts during the last years demonstrated that these signals have a chaotic nature and require sophisticated mathematical tools for analyzing their characteristics. Classical methods, such as the Fourier transform, reveal considerable limitations in discriminating different periods of time. This paper studies the dynamics of SMI by combining the wavelet transform and the multidimensional scaling MDS . Six continuous wavelets are tested for analyzing the information content of the stock signals. In a first phase, the real Shannon wavelet is adopted for performing the evaluation of the SMI dynamics, while their comparison is visualized by means of the MDS. In a second phase, the other wavelets are also tested, and the corresponding MDS plots are analyzed.

Analysis of stock market indices through multidimensional scaling

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

ERICA: intake of macro and micronutrients of Brazilian adolescents

ABSTRACT OBJECTIVE To describe food and macronutrient intake profile and estimate the prevalence of inadequate micronutrient intake of Brazilian adolescents. METHODS Data from 71,791 adolescents aged from 12 to 17 years were evaluated in the 2013-2014 Brazilian Study of Cardiovascular Risks in Adolescents (ERICA). Food intake was estimated using 24-hour dietary recall (24-HDR). A second 24-HDR was collected in a subsample of the adolescents to estimate within-person variability and calculate the usual individual intake. The prevalence of food/food group intake reported by the adolescents was also estimated. For sodium, the prevalence of inadequate intake was estimated based on the Tolerable Upper Intake Level (UL). The Estimated Average Requirement (EAR) method used as cutoff was applied to estimate the prevalence of inadequate nutrient intake. All the analyses were stratified according to sex, age group and Brazilian macro-regions. All statistical analyses accounted for the sample weight and the complex sampling design. RESULTS Rice, beans and other legume, juice and fruit drinks, breads and meat were the most consumed foods among the adolescents. The average energy intake ranged from 2,036 kcal (girls aged from 12 to 13 years) to 2,582 kcal (boy aged from14 to 17 years). Saturated fat and free sugar intake were above the maximum limit recommended (< 10.0%). Vitamins A and E, and calcium were the micronutrients with the highest prevalence of inadequate intake (> 50.0%). Sodium intake was above the UL for more than 80.0% of the adolescents. CONCLUSIONS The diets of Brazilian adolescents were characterized by the intake of traditional Brazilian food, such as rice and beans, as well as by high intake of sugar through sweetened beverages and processed foods. This food pattern was associated with an excessive intake of sodium, saturated fatty acids and free sugar.