Added Value of Combining Value and Momentum Indicators in the Swiss Stock Market

The purpose of the thesis is to examine the added value of combining value and momentum indicators in the Swiss stock exchange. Value indicators employed are P/E, EV/EBITDA, P/CF, P/B ja P/S. Momentum indicators examined are 52-week high, acceleration rate, 12-month past return and 6-month past return. The thesis examines whether the composite value measures based on the above mentioned ratios can add value and whether the inclusion of momentum can further improve the risk return profile of the value portfolios. The data is gathered from the Swiss equity market during the sample period from May 2001 to May 2011. Previous studies have shown that composite value measures can somewhat add value to the value portfolio strategy. Similarly, recent academic literature have found evidence that momentum works well as a timing indicator for time to entry to value stocks. This study indicates that the added value of composite value measures exists. It also shows that momentum combined to acceleration rate can significantly improve the risk adjusted performance of value-only portfolios.

Assessing the added value of wastewater-based epidemiology to monitor illicit drug use

Wastewater-based epidemiology consists in acquiring relevant information about the lifestyle and health status of the population through the analysis of wastewater samples collected at the influent of a wastewater treatment plant. Whilst being a very young discipline, it has experienced an astonishing development since its firs application in 2005. The possibility to gather community-wide information about drug use has been among the major field of application. The wide resonance of the first results sparked the interest of scientists from various disciplines. Since then, research has broadened in innumerable directions. Although being praised as a revolutionary approach, there was a need to critically assess its added value, with regard to the existing indicators used to monitor illicit drug use. The main, and explicit, objective of this research was to evaluate the added value of wastewater-based epidemiology with regards to two particular, although interconnected, dimensions of illicit drug use. The first is related to trying to understand the added value of the discipline from an epidemiological, or societal, perspective. In other terms, to evaluate if and how it completes our current vision about the extent of illicit drug use at the population level, and if it can guide the planning of future prevention measures and drug policies. The second dimension is the criminal one, with a particular focus on the networks which develop around the large demand in illicit drugs. The goal here was to assess if wastewater-based epidemiology, combined to indicators stemming from the epidemiological dimension, could provide additional clues about the structure of drug distribution networks and the size of their market. This research had also an implicit objective, which focused on initiating the path of wastewater- based epidemiology at the Ecole des Sciences Criminelles of the University of Lausanne. This consisted in gathering the necessary knowledge about the collection, preparation, and analysis of wastewater samples and, most importantly, to understand how to interpret the acquired data and produce useful information. In the first phase of this research, it was possible to determine that ammonium loads, measured directly in the wastewater stream, could be used to monitor the dynamics of the population served by the wastewater treatment plant. Furthermore, it was shown that on the long term, the population did not have a substantial impact on consumption patterns measured through wastewater analysis. Focussing on methadone, for which precise prescription data was available, it was possible to show that reliable consumption estimates could be obtained via wastewater analysis. This allowed to validate the selected sampling strategy, which was then used to monitor the consumption of heroin, through the measurement of morphine. The latter, in combination to prescription and sales data, provided estimates of heroin consumption in line with other indicators. These results, combined to epidemiological data, highlighted the good correspondence between measurements and expectations and, furthermore, suggested that the dark figure of heroin users evading harm-reduction programs, which would thus not be measured by conventional indicators, is likely limited. In the third part, which consisted in a collaborative study aiming at extensively investigating geographical differences in drug use, wastewater analysis was shown to be a useful complement to existing indicators. In particular for stigmatised drugs, such as cocaine and heroin, it allowed to decipher the complex picture derived from surveys and crime statistics. Globally, it provided relevant information to better understand the drug market, both from an epidemiological and repressive perspective. The fourth part focused on cannabis and on the potential of combining wastewater and survey data to overcome some of their respective limitations. Using a hierarchical inference model, it was possible to refine current estimates of cannabis prevalence in the metropolitan area of Lausanne. Wastewater results suggested that the actual prevalence is substantially higher compared to existing figures, thus supporting the common belief that surveys tend to underestimate cannabis use. Whilst being affected by several biases, the information collected through surveys allowed to overcome some of the limitations linked to the analysis of cannabis markers in wastewater (i.e., stability and limited excretion data). These findings highlighted the importance and utility of combining wastewater-based epidemiology to existing indicators about drug use. Similarly, the fifth part of the research was centred on assessing the potential uses of wastewater-based epidemiology from a law enforcement perspective. Through three concrete examples, it was shown that results from wastewater analysis can be used to produce highly relevant intelligence, allowing drug enforcement to assess the structure and operations of drug distribution networks and, ultimately, guide their decisions at the tactical and/or operational level. Finally, the potential to implement wastewater-based epidemiology to monitor the use of harmful, prohibited and counterfeit pharmaceuticals was illustrated through the analysis of sibutramine, and its urinary metabolite, in wastewater samples. The results of this research have highlighted that wastewater-based epidemiology is a useful and powerful approach with numerous scopes. Faced with the complexity of measuring a hidden phenomenon like illicit drug use, it is a major addition to the panoply of existing indicators. -- L'épidémiologie basée sur l'analyse des eaux usées (ou, selon sa définition anglaise, « wastewater-based epidemiology ») consiste en l'acquisition d'informations portant sur le mode de vie et l'état de santé d'une population via l'analyse d'échantillons d'eaux usées récoltés à l'entrée des stations d'épuration. Bien qu'il s'agisse d'une discipline récente, elle a vécu des développements importants depuis sa première mise en oeuvre en 2005, notamment dans le domaine de l'analyse des résidus de stupéfiants. Suite aux retombées médiatiques des premiers résultats de ces analyses de métabolites dans les eaux usées, de nombreux scientifiques provenant de différentes disciplines ont rejoint les rangs de cette nouvelle discipline en développant plusieurs axes de recherche distincts. Bien que reconnu pour son coté objectif et révolutionnaire, il était nécessaire d'évaluer sa valeur ajoutée en regard des indicateurs couramment utilisés pour mesurer la consommation de stupéfiants. En se focalisant sur deux dimensions spécifiques de la consommation de stupéfiants, l'objectif principal de cette recherche était focalisé sur l'évaluation de la valeur ajoutée de l'épidémiologie basée sur l'analyse des eaux usées. La première dimension abordée était celle épidémiologique ou sociétale. En d'autres termes, il s'agissait de comprendre si et comment l'analyse des eaux usées permettait de compléter la vision actuelle sur la problématique, ainsi que déterminer son utilité dans la planification des mesures préventives et des politiques en matière de stupéfiants actuelles et futures. La seconde dimension abordée était celle criminelle, en particulier, l'étude des réseaux qui se développent autour du trafic de produits stupéfiants. L'objectif était de déterminer si cette nouvelle approche combinée aux indicateurs conventionnels, fournissait de nouveaux indices quant à la structure et l'organisation des réseaux de distribution ainsi que sur les dimensions du marché. Cette recherche avait aussi un objectif implicite, développer et d'évaluer la mise en place de l'épidémiologie basée sur l'analyse des eaux usées. En particulier, il s'agissait d'acquérir les connaissances nécessaires quant à la manière de collecter, traiter et analyser des échantillons d'eaux usées, mais surtout, de comprendre comment interpréter les données afin d'en extraire les informations les plus pertinentes. Dans la première phase de cette recherche, il y pu être mis en évidence que les charges en ammonium, mesurées directement dans les eaux usées permettait de suivre la dynamique des mouvements de la population contributrice aux eaux usées de la station d'épuration de la zone étudiée. De plus, il a pu être démontré que, sur le long terme, les mouvements de la population n'avaient pas d'influence substantielle sur le pattern de consommation mesuré dans les eaux usées. En se focalisant sur la méthadone, une substance pour laquelle des données précises sur le nombre de prescriptions étaient disponibles, il a pu être démontré que des estimations exactes sur la consommation pouvaient être tirées de l'analyse des eaux usées. Ceci a permis de valider la stratégie d'échantillonnage adoptée, qui, par le bais de la morphine, a ensuite été utilisée pour suivre la consommation d'héroïne. Combinée aux données de vente et de prescription, l'analyse de la morphine a permis d'obtenir des estimations sur la consommation d'héroïne en accord avec des indicateurs conventionnels. Ces résultats, combinés aux données épidémiologiques ont permis de montrer une bonne adéquation entre les projections des deux approches et ainsi démontrer que le chiffre noir des consommateurs qui échappent aux mesures de réduction de risque, et qui ne seraient donc pas mesurés par ces indicateurs, est vraisemblablement limité. La troisième partie du travail a été réalisée dans le cadre d'une étude collaborative qui avait pour but d'investiguer la valeur ajoutée de l'analyse des eaux usées à mettre en évidence des différences géographiques dans la consommation de stupéfiants. En particulier pour des substances stigmatisées, telles la cocaïne et l'héroïne, l'approche a permis d'objectiver et de préciser la vision obtenue avec les indicateurs traditionnels du type sondages ou les statistiques policières. Globalement, l'analyse des eaux usées s'est montrée être un outil très utile pour mieux comprendre le marché des stupéfiants, à la fois sous l'angle épidémiologique et répressif. La quatrième partie du travail était focalisée sur la problématique du cannabis ainsi que sur le potentiel de combiner l'analyse des eaux usées aux données de sondage afin de surmonter, en partie, leurs limitations. En utilisant un modèle d'inférence hiérarchique, il a été possible d'affiner les actuelles estimations sur la prévalence de l'utilisation de cannabis dans la zone métropolitaine de la ville de Lausanne. Les résultats ont démontré que celle-ci est plus haute que ce que l'on s'attendait, confirmant ainsi l'hypothèse que les sondages ont tendance à sous-estimer la consommation de cannabis. Bien que biaisés, les données récoltées par les sondages ont permis de surmonter certaines des limitations liées à l'analyse des marqueurs du cannabis dans les eaux usées (i.e., stabilité et manque de données sur l'excrétion). Ces résultats mettent en évidence l'importance et l'utilité de combiner les résultats de l'analyse des eaux usées aux indicateurs existants. De la même façon, la cinquième partie du travail était centrée sur l'apport de l'analyse des eaux usées du point de vue de la police. Au travers de trois exemples, l'utilisation de l'indicateur pour produire du renseignement concernant la structure et les activités des réseaux de distribution de stupéfiants, ainsi que pour guider les choix stratégiques et opérationnels de la police, a été mise en évidence. Dans la dernière partie, la possibilité d'utiliser cette approche pour suivre la consommation de produits pharmaceutiques dangereux, interdits ou contrefaits, a été démontrée par l'analyse dans les eaux usées de la sibutramine et ses métabolites. Les résultats de cette recherche ont mis en évidence que l'épidémiologie par l'analyse des eaux usées est une approche pertinente et puissante, ayant de nombreux domaines d'application. Face à la complexité de mesurer un phénomène caché comme la consommation de stupéfiants, la valeur ajoutée de cette approche a ainsi pu être démontrée.

Customer value based entry decision in International markets the concept of International Added Customer Equity

Market entry decisions are some of a firm's most important long-term strategic choices. Still, the international marketing literature has not yet fully incorporated the idea of relationship marketing in general, and the customer value concept in particular, as a basis for market entry decisions. This article presents some conceptual ideas about a customer value based market selection model. The metric International Added Customer Equity (IACE), a straightforward decision criterion derived from the customer equity concept is presented as an additional decision criterion for export market selection and ultimately market entry.

Determinants of frailty: the added value of assessing medication

This study aims to analyze which determinants predict frailty in general and each frailty domain (physical, psychological, and social), considering the integral conceptual model of frailty, and particularly to examine the contribution of medication in this prediction. A cross-sectional study was designed using a non-probabilistic sample of 252 community-dwelling elderly from three Portuguese cities. Frailty and determinants of frailty were assessed with the Tilburg Frailty Indicator. The amount and type of different daily-consumed medication were also examined. Hierarchical regression analysis were conducted. The mean age of the participants was 79.2 years (±7.3), and most of them were women (75.8%), widowed (55.6%) and with a low educational level (0–4 years: 63.9%). In this study, determinants explained 46% of the variance of total frailty, and 39.8, 25.3, and 27.7% of physical, psychological, and social frailty respectively. Age, gender, income, death of a loved one in the past year, lifestyle, satisfaction with living environment and self-reported comorbidity predicted total frailty, while each frailty domain was associated with a different set of determinants. The number of daily-consumed drugs was independently associated with physical frailty, and the consumption of medication for the cardiovascular system and for the blood and blood-forming organs explained part of the variance of total and physical frailty. The adverse effects of polymedication and its direct link with the level of comorbidities could explain the independent contribution of the amount of prescribed drugs to frailty prediction. On the other hand, findings in regard to medication type provide further evidence of the association of frailty with cardiovascular risk. In the present study, a significant part of frailty was predicted, and the different contributions of each determinant to frailty domains highlight the relevance of the integral model of frailty. The added value of a simple assessment of medication was considerable, and it should be taken into account for effective identification of frailty.

Banif Bank: Value creation in the Maltese market

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

Business model: What should be the strategy used by Smart Galp to implement and potentiate its value proposition in the Portuguese market?

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

Valorization of pumpkin residue by supercritical extraction of added-value compounds

Dissertação para a obtenção do Grau de Mestre em Engenharia Química e Bioquímica

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Evaluating the potential of yeast strains to produce added value products for the food and/or pharmaceutical industries

This study focus in the valorization of the apple pomace with the main goal of obtaining added value products. For that, hot compressed water technology was used for the extraction of phenolic compounds and hydrolysis of polysaccharides presents in the lignocellulosic structure of apple pomace to obtain simple sugars. The sugars have been utilized as alternative carbon source for growth, lipid accumulation and carotenoids production by five different yeast Yarrowia lipolytica, Rhodotorula mucilaginosa, Rhodotorula glutinis, Rhodosporidium babjevae and Rhodosporidium toruloides. Hydrolysis experiments were carried out with constant pressure of 100 bar, flow rate of 2mL/min and temperatures between 50°C and 250°C. The amount of total sugars present in apple pomace hydrolysates showed maximum values for the hydrolysis temperatures of 110°C and 190°C. In fact, these temperatures revealed the best results regarding the monosaccharides quantities. The amount of 5-HMF and furfural in each hydrolysate varied through the different temperatures. Maximum values for 5-HMF were obtained with 170°C, while furfural showed to be maximum at 210°C. Extraction of phenolic compounds were performed in simultaneously with hydrolysis reactions. Total phenolic compounds (TPC) increased along the temperature, however with small variations between 170°C and 250°C. Hydrolysates were then used as alternative carbon source to yeast growth. R. mucilaginosa shows the highest optical density, with the hydrolysate obtained at 130°C. Carotenoids produced by these yeast scored a total of 7.02μg carotenoids/g cell dry weight, while for the control assay, the same yeast scored 9.31μg caratonoides/g cell dry weight. β-carotene was quantified by HPLC, were 33% of the carotenoid production by R. mucilaginosa with hydrolysate as carbon source, corresponded to β-caroteno.

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.

The added value from adopting a CGE approach to analyse changes in environmental trade balances

The application of multi-region environmental input-output (IO) analysis to the problem of accounting for emissions generation (and/or resource use) under different accounting principles has become increasingly common in the ecological and environmental economics literature in particular, with applications at the international and interregional subnational level. However, while environmental IO analysis is invaluable in accounting for pollution flows in the single time period that the accounts relate to, it is limited when the focus is on modelling the impacts of any marginal change in activity. This is because a conventional demand-driven IO model assumes an entirely passive supply-side in the economy (i.e. all supply is infinitely elastic) and is further restricted by the assumption of universal Leontief (fixed proportions) technology implied by the use of the A and multiplier matrices. Where analysis of marginal changes in activity is required, extension from an IO accounting framework to a more flexible interregional computable general equilibrium (CGE) approach, where behavioural relationships can be modelled in a more realistic and theory-consistent manner, is appropriate. Our argument is illustrated by comparing the results of introducing a positive demand stimulus in the UK economy using IO and CGE interregional models of Scotland and the rest of the UK. In the case of the latter, we demonstrate how more theory consistent modelling of both demand and supply side behaviour at the regional and national levels effect model results, including the impact on the interregional CO2 ‘trade balance’.

The added value from a general equilibrium analyses of increased efficiency in household energy use

The aim of the paper is to identify the added value from using general equilibrium techniques to consider the economy-wide impacts of increased efficiency in household energy use. We take as an illustrative case study the effect of a 5% improvement in household energy efficiency on the UK economy. This impact is measured through simulations that use models that have increasing degrees of endogeneity but are calibrated on a common data set. That is to say, we calculate rebound effects for models that progress from the most basic partial equilibrium approach to a fully specified general equilibrium treatment. The size of the rebound effect on total energy use depends upon: the elasticity of substitution of energy in household consumption; the energy intensity of the different elements of household consumption demand; and the impact of changes in income, economic activity and relative prices. A general equilibrium model is required to capture these final three impacts.

Valeur ajoutée de la supervision du médecin-assistant par un médecin de famille dans une permanence [Added value of family practitioners' supervision of junior doctors in a walk-in clinic].

The pending workforce crisis in family medicine has triggered various initiatives. This article describes the PMU-FLON walk-in clinic, a project of the Institute of General Medicine University of Lausanne. The working conditions in this clinic are close to that of a family practice. Doctors in training are supervised by family doctors who work part-time in the clinic. The objective is to improve training in the various fields of family medicine, from technical skills (improving optimal use of diagnostic tools), to integrating patients' requests in a more global patient-centered approach. This new educational model allows doctors in training to benefit from the specific approaches of different trainers. It will contribute to promoting quality family medicine in the future.