Risk parity: True versus naive approach

This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.

O direito de exoneração do acionista minoritário

This study specifically addresses the situation of minority shareholders after the transfer of control in an listed company. The various underlying interests and reasons that shareholders have for investing in a company can demonstrate shareholders’ reasoning for taking radically different positions on issues relating to the transfer of control of the referred company. This study analyses the current legal system in Portugal and in the European Union in order to assess whether, in the event of a takeover bid of a listed company where there is a transfer of control, minority shareholders have the same appraisal rights as other shareholders to sell their shares and leave the company. The study then examines the European Court of Justice decision on whether a general principle of equal treatment of minority shareholders exists upon a transfer of control (Audiolux) and the Portuguese Securities Market Commission decision regarding the delisting of Brisa - Autoestradas de Portugal, S.A. based on the principle of investor protection. The study concludes that although the principle of equality amongst shareholders has made progress in the European legal system e.g. it is laid down in Directive 2004/25/EC of 21 April 2004 on takeover bids and the Portuguese Securities Market Code, there is also a need for further improvement, which can be accomplished by allowing minority shareholders to exercise an appraisal right in similar unregulated situations.

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Evidence of market anomalies in the Eurozone: A practical implementation

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance and Financial Economics from NOVA – School of Business and Economics and Maastricht University

Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Dynamic delta hedging of autocallables under a discrete rebalancing context

This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.

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

Impact of mobile app user acquisition on managerial decisions: Evidence from empirical experiment

In this research we conducted a mixed research, using qualitative and quantitative analysis to study the relationship and impact between mobile advertisement and mobile app user acquisition and the conclusions companies can derive from it. Data was gathered from management of mobile advertisement campaigns of a portfolio of three different mobile apps. We found that a number of implications can be extracted from this intersection, namely to product development, internationalisation and management of marketing budget. We propose further research on alternative app users sources, impact of revenue on apps and exploitation of product segments: wearable technology and Internet of Things.

The cellular basis of a congenital heart defect Drosophila

RESUMO: Mutações em genes envolvidos na formação do coração e anomalias em qualquer etapa deste processo causam frequentemente malformações cardíacas, que representam o tipo mais comum de defeitos em neonatais, afetando cerca de 1% dos nascimentos por ano. Assim, estima-se que 20 milhões de pessoas sejam portadoras de um defeito cardíaco congénito. O coração da Drosophila melanogaster (mosca-da-fruta), denominado vaso dorsal, é um órgão relativamente simples que actua como uma bomba muscular, contraindo automaticamente para permitir a circulação da hemolinfa através do corpo. A formação do vaso dorsal na mosca é muito semelhante ao desenvolvimento do coração em vertebrados, representando por isso, um poderoso modelo para estudar a rede de genes e os padrões regulatórios relacionados com o desenvolvimento deste órgão. Anteriormente, nós identificámos um gene em Drosophila, darhgef10, fortemente expresso no coração em desenvolvimento e cuja deleção induz anormalidades cardíacas subtis mas prevalentes. Os mutantes para darhgef10 são viáveis e férteis no ambiente controlado de laboratório. Este trabalho teve como objectivos caracterizar fenotipicamente os mutantes nulos para darhgef10, determinar a localização subcelular da proteína dArhgef10 e investigar a base celular subjacente ao defeito no alinhamento dos cardioblastos observado nos mutantes. Os nossos resultados revelaram que a deleção de darhgef10 provoca uma severa redução da viabilidade, sem no entanto comprometer o tempo de desenvolvimento e a longevidade. Por outro lado, o aumento da expressão de darhgef10 em músculos, glândulas salivares e no disco imaginal do olho afeta drasticamente a integridade destes tecidos. A expressão ectópica de darhgef10 in vitro e in vivo revelou que a proteína está localiza no citoplasma com enriquecimento junto à membrana celular, com associação à actina F. Live imaging de embriões mutantes para darhgef10 revelou que os defeitos observados no coração podem estar associados a um defeito na adesão dos músculos alary e/ou das células pericardiais ao vaso dorsal. O homólogo humano de darhgef10, ARHGEF10, também é expresso no coração e está associação a uma maior susceptibilidade para a ocorrência de acidentes vasculares cerebrais aterotrombóticos, sugerindo que o que aprendemos sobre darhgef10 em Drosophila pode ter implicações do ponto de vista clínico para a saúde humana. ----------------------------- ABSTRACT: Mutations in genes controlling heart development and abnormalities in any of its steps frequently cause cardiac malformations, the most common type of birth defects in humans, affecting nearly 1% of births per year. Hence around 20 million adults are expected to live with a congenital heart defect. The Drosophila melanogaster heart, called dorsal vessel, is a relatively simple organ that acts as a muscular pump contracting automatically to allow the circulation of hemolymph. Drosophila heart formation shares many similarities with heart development in vertebrates providing a powerful system to study gene networks and regulatory pathways involved in heart development. We have previously identified a Drosophila gene, darhgef10, which is strongly expressed in the developing heart and when deleted, leads to flies with highly prevalent yet subtle heart abnormalities, compatible with unchallenged life in the laboratory. Our aims were to phenotypically characterize homozygous null darhgef10 mutants, characterize the subcellular localization of dArhgef10 and to study the cellular basis of the misaligned cardioblasts defect. We found that about half of darhgef10 mutants die during development. However, the survivors surprisingly have a nearly normal developmental time, adult locomotor behavior and total lifespan. Detection of transgene-derived dArhgef10 protein in vitro and in vivo using custom antibodies revealed a cytosolic protein slightly enriched in the cellular membranes and associated with F-actin. Tissue-specific darhgef10 expression disrupts the normal morphology of developing muscles, salivary glands and the eye. Live imaging of darhgef10 mutant embryos revealed that heart defect could be caused by a reduced capacity of attachment of pericardial cells and/or alary muscle to dorsal vessel. The human homolog of darhgef10 is also expressed in the heart and is a susceptibility gene for atherothrombotic stroke, suggesting that what we learn about the function of this gene and its phenotypes in Drosophila could have implications to human health.

Value creation in the nursing home real estate investment market - A case study

The underlying thesis examines the value drivers of direct investments in nursing home real estate in Germany. A survey among investors and operators is conducted in order to identify significant value drivers. Moreover, based on survey results, a framework for assessing German nursing home real estate is developed. This is applied in a case-study about the set-up of a nursing home value-add fund which will demonstrate the value creation process of redeveloping an existing nursing home real estate portfolio. Through a concluding analysis the sources of value creation, sensitivities and future prospects of direct investing into German nursing home real estate are concluded.

Are celebrities mediators for negative spillover? An empirical study

The aim of this research is to investigate if a celebrity can be a mediator between two brands so that a negative event happening to one brand can spill over to a completely unrelated brand, which shares with the first brand only the celebrity endorser. Even though celebrity endorsement is a popular marketing strategy and celebrities often endorse multiple brands, so far there has not been any systematic study on this topic. Drawing on Associative Network Theory and the Meaning Transfer Model as theoretical framework, this research finds out that negative publicity about a brand can spill over and thereby not only hurt consumers’ attitude toward the celebrity endorser but also toward a second brand that is endorsed by the same celebrity. An unexpected finding is that celebrities can act as a protective shield for brands by weakening the direct impact of negative publicity.

Universal banks and corporate control: Evidence from the global syndicated loan market

We investigate the effects of bank control over borrower firms whether by representation on boards of directors or by the holding of shares through bank asset management divisions. Using a large sample of syndicated loans, we find that banks are more likely to act as lead arrangers in loans when they exert some control over the borrower firm. Bank-firm governance links are associated with higher loan spreads during the 2003-2006 credit boom, but lower spreads during the 2007-2008 financial crisis. Additionally, these links mitigate credit rationing effects during the crisis. The results are robust to several methods to correct for the endogeneity of the bank- firm governance link. Our evidence, consistent with intertemporal smoothing of loan rates, suggests there are costs and benefits from banks’ involvement in firm governance.

Future lending income and security value

I test the Duffie, Gârleanu, and Pedersen hypothesis that security prices incorporate expected future securities lending income. To determine whether institutional investors anticipate gains from future lending of securities, I examine their trading behavior around loan-fee increases. The evidence suggests that institutions buy shares in response to an increase in lending fees, and that this could explain the premium associated with high- lending-fee stocks. Expected future lending income affects stock prices, although the effect seems to be attenuated by the negative information that arises from short selling.

On the labor share the long-run equilibrium and its adjustment process

This research computes an Equilibrium Labor Share using a VECM for a panel of 19 countries, analyzes what determines the speed at which the labor share adjusts towards that equilibrium and decomposes this adjustment in terms of real wages and employment. Results suggest that the speed at which a country adjusts decreases with employment protection legislation and labor taxes. Most countries’ labor shares adjustment is made through real wages changes instead of changing employment, suggesting that wage moderation policies may play an important role on the adjustment process without harming employment. Keywords: Equilibrium

On the labor share the long-run equilibrium and its adjustment process

This research computes an Equilibrium Labor Share using a VECM for a panel of 19 countries, analyzes what determines the speed at which the labor share adjusts towards that equilibrium and decomposes this adjustment in terms of real wages and employment. Results suggest that the speed at which a country adjusts decreases with employment protection legislation and labor taxes. Most countries’ labor shares adjustment is made through real wages changes instead of changing employment, suggesting that wage moderation policies may play an important role on the adjustment process without harming employment.