Operating profitability in branded pharmaceutical firms

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

TIMWE: IPO go or no go?

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

Commoditization: a threat or an opportunity?: A case study on IBM

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics

Rebalancing frequency and the welfare cost of inflation

Cash-in-advance models usually require agents to reallocate money and bonds in fixed periods, every month or quarter, for example. I show that fixed periods underestimate the welfare cost of inflation. I use a model in which agents choose how often they exchange bonds for money. In the benchmark specification, the welfare cost of ten percent instead of zero inflation increases from 0.1 percent of income with fixed periods to one percent with optimal periods. The results are robust to different preferences, to different compositions of income in bonds or money, and to the introduction of capital and labor.

Internationalization strategy of Skypro Shoes to Japan

Skypro is a footwear brand targeted at the aviation professionals’ niche market, explored by the Portuguese microenterprise Abotoa Lda..The saturation of the Portuguese market led Skypro to expand to different worldwide countries and to be a footwear supplier of Airlines from the USA, Qatar or Australia, among others. Abotoa aims for its 2014’s exports to represent around 80% of total sales and this Internationalization Plan for Japan represents the possibility of further exploring the Asian market. Japan appears as the 2nd worldwide footwear importer and the 5th footwear consumer, with a high purchasing power – GDP per capita (PPP). This country possesses two enormous Airlines (ANA and JAL) that employ more than 15000 on-board personnel, the world’s 4th busiest Airport in 2013 (Tokyo’s Haneda International Airport) and a geographic structure with more than 6500 islands, implying high frequency of aerial transportation in the medium-run. These aspects make Japan an adequate country to invest in. At the course of this Work Project, trustworthy recommendations are provided for the current state of Abotoa and for the introduction and implementation of this Internationalization Plan. These findings strongly suggest that Skypro should indeed penetrate Japan’s market.

Rethinking the Portuguese banking sector in a post-crisis context

As the financial crisis hit the Portuguese banks, the profitability of the whole sector squeezed to historical minimums. Reinventing the banking business model in the post-crisis context is an overriding issue to achieve sustainable profits and a low cost-to-income ratio. We propose banks to adopt a true multichannel approach, proceeding to a branch network reformatting and a relocation of services to online channels; adopt a true customer-centric approach and reduce the product and services portfolio complexity; finally, industrialize operations and rationalize the structure. With these measures in place, Portuguese banks will become leaner and more efficient, aspiring to a cost-to-income ratio below 45%.

Portuguese banks and the economic adjustment programme: balance sheet adjustments and impact on profitability

Double Degree. A Work Project presented as part of the requirements for the Award of a Masters Degree in Management from the NOVA – School of Business and Economics and a Masters Degree in Finance from Louvain School of Management

Beyond the carry trade: Optimal currency portfolios

Author's Pre-print

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.

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

The role of humor in television advertisement: A study regarding Portuguese consumers’ emotions and reactions

The purpose of this study is to explore the humorous side of television advertisement and its impact on Portuguese consumers’ hearts, minds and wallets. Both qualitative (through in-depth interviews) and quantitative (through an on-line survey and subsequent statistical data analysis) methods were used, guaranteeing a more consistent, strong and valid research. Twenty-five interviews with randomly chosen consumers were conducted face-to-face and three interviews via e-mail with marketers and television advertisers were performed in order to explore profoundly the subject. Moreover, 360 people have answered the on-line survey. Through the analysis of the data collected humor perception was found to be positively correlated with persuasion and intention to purchase the product; intention to share the advert; message comprehension; product liking and development of positive feelings towards the brand and brand credibility variables. The main implication of these findings relies on the fact that humor in advertising is able to boost its effectiveness.