The determinants of international equity and bond investment

The purpose of this research is fourfold. First, to investigate whether the determinants of international equity investment differ between investors with different degrees of information, experience and sophistication. For this purpose, the determinants of international equity investment of institutional and noninstitutional investors from 20 OECD countries, in the period 2001-2009, were analysed and compared. The results show that there are significant differences in the determinants of international equity investment between institutional and noninstitutional investors. Particularly, noninstitutional investors exhibit a more pronounced preference for equities of geographical nearby, contiguous and more transparent countries than institutional investors, suggesting that the effect of information costs and familiarity on international equity investment is stronger for less informed, experienced and sophisticated investors. Moreover, the preference for more developed equity markets and the contrarian behaviour are more severe for noninstitutional investors. Hence, the heterogeneity of institutional and noninstitutional investors in international equity investment is not negligible and therefore should be taken into account. Second, to investigate whether the determinants of international bond investment differ between investors with different degrees of information, experience and sophistication. For this purpose, the determinants of international bond investment of institutional and noninstitutional investors from 20 OECD countries, in the period 2001-2009, were analysed and compared. The results show that there are few significant differences in the determinants of international bond investment between institutional and noninstitutional investors. Particularly, the preference for bonds of more transparent countries and the return chasing behaviour are more pronounced for noninstitutional investors, whereas the preference for bonds with lower risk diversification potential is more pronounced for institutional investors. Hence, not only the results for international bond investment do not allow to support (or reject) the argument that information costs and familiarity are more important for less informed, experienced and sophisticated investors, but also they are contrary to the idea that financial variables, namely return and risk diversification, are more important for more informed, experienced and sophisticated investors. Third, to investigate whether the determinants of international equity investment differ from the determinants of international bond investment. For this purpose, the determinants of both international equity and bond investment of institutional and noninstitutional investors from 20 OECD countries, in the period 2001-2009, were analysed and compared. The results show that, although the effect of information costs on international equity investment tends to be stronger than on international bond investment, the differences between assets are not usually statistically significant, especially when the influence of financial variables is taken into account. Hence, it is not possible to conclude that international equity investment is much more information intensive than international bond investment, as suggested by Gehrig (1993) and Portes, Rey and Oh (2001), among others. Fourth, to investigate whether the flight to quality phenomenon is also observable in international investment and whether the flight to quality phenomenon is more pronounced for more sophisticated than for less sophisticated investors. For this purpose, a two-factor and three-factor ANOVA models, respectively, were applied to the international equity and bond investment of institutional and noninstitutional investors from 20 OECD countries in the period 2001-2009. The results suggest that the flight to quality phenomenon is also observable in international investment, as a change from business cycle of expansion to recession causes investors to significantly decrease the average weight invested in more risky assets (equities) and increase the average weight invested in less risky assets (bonds). The results also show that the variation on the average weight assigned to each type of asset, due to changes in business cycles, is significantly stronger for institutional investors than for noninstitutional investors, thereby suggesting that the flight to quality phenomenon is more pronounced for more sophisticated than for less sophisticated investors.

THE ROLE OF EARNINGS PERSISTENCE IN VALUATION ACCURACY AND THE TIME HORIZON

ABSTRACT Based on the assumption that earnings persistence has implications for both financial analysis and compensation contracts, the aim of this paper is to investigate the role of earnings persistence assuming that (i) more persistent earnings are likely to be a better input to valuation models and (ii) more persistent earnings are likely to serve as a proxy for long-term market and managerial orientation. The analysis is based on Brazilian listed firms from 1995 to 2013, and while we document strong support for the relevance of earnings persistence in financial analysis and valuation, we fail to document a significant relationship between earnings persistence and long-term value orientation. These results are sensitive to different specifications, and additional results suggest that firms' idiosyncratic risk (total risk) is relevant to explain the focus on short-term outcomes (short-termism) across firms. The main contribution of this paper is to offer empirical evidence for the relevance of accounting numbers in both valuation and contractual theories in an emergent market.

Beyond time and oblivion : Sir Robert Sidney’s autograph manuscript

Dealing with ancient manuscript or old printed texts often constitutes a difficult task, especially to philologists and editors, for two main reasons: the precarious state of preservation of the documents and the uncertainty regarding their origin, authenticity and authorship. These problems are aggravated by spurious versions, due to the publication of truncated works, poorly supervised miscellanies and non-authorised editions. Sir Robert Sidney’s literary text constitutes an exception amidst such vicissitudes, once the original corpus is wholly contained in a notebook exhibiting the organisation and unity conceived by the author himself. Today, there is no evidence that any loose poems, either autograph or copied by amanuenses, were in circulation among members of the Elizabethan court society. The notebook was kept in private collections for four centuries, which probably explains why it was so well preserved. In fact, only in 1984 would P.J. Croft’s fine edition bring the youngest Sidney’s Poems into light. In this work, I approach Croft’s perceptive, accurate philological study that eventually rescued from oblivion a remarkable piece both of the Elizabethan lyric poetry and of the English Renaissance, and, at the same time, look into Robert Sidney’s peculiar, careful and original formatting of his own autograph manuscript.

Accessing Planktothrix species diversity and associated toxins using quantitative real-time PCR in natural waters

Tese de Doutoramento em Biologia apresentada à Faculdade de Ciências da Universidade do Porto, 2015.

Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

Can varying the number of teams in a shift schedule constitute a preventive strategy?

OBJECTIVE: The study examines the implications for shiftworkers of applying different numbers of teams in the organization of shiftwork. METHODS: The participating operators came from five different companies applying continuous shift rotation systems. The companies shared the same product organization and a common corporate culture belonging to the same multinational company. Each company had a shift system consisting of four, five or six teams, with the proportion of shifts outside day work decreasing as the number of teams increased. Questionnaire and documentary data were used as data sources. RESULTS: Operators in systems with additional teams had more daywork but also more irregular working hours due to both overtime and schedule changes. Operators using six teams used fewer social compensation strategies. Operators in four teams were most satisfied with their work hours. Satisfaction with the time available for various social activities outside work varied inconsistently between the groups. CONCLUSIONS: In rotating systems the application of more teams reduces the number of shifts outside day work. This apparent improvement for shiftworkers was counteracted by a concomitant irregularity produced by greater organizational requirements for flexibility. The balance of this interaction was found to have a critical impact on employees.

Evaluation of IMRT and VMAT techniques with and without flattening filter using pareto optimal fronts

Mestrado em Radiações Aplicadas às Tecnologias da Saúde.

Q192R polymorphism of the paraoxonase-1 gene as a risk factor for obesity in Portuguese women

Introduction - Obesity became a major public health problem as a result of its increasing prevalence worldwide. Paraoxonase-1 (PON1) is an esterase able to protect membranes and lipoproteins from oxidative modifications. At the PON1 gene, several polymorphisms in the promoter and coding regions have been identified. The aims of this study were i) to assess PON1 L55M and Q192R polymorphisms as a risk factor for obesity in women; ii) to compare PON1 activity according to the expression of each allele in L55M and Q192R polymorphisms; iii) to compare PON1 activity between obese and normal-weight women. Materials and methods - We studied 75 healthy (35.9±8.2 years) and 81 obese women (34.3±8.2 years). Inclusion criteria for obese subjects were body mass index ≥30 kg/m2 and absence of inflammatory/neoplasic conditions or kidney/hepatic dysfunction. The two PON1 polymorphisms were assessed by real-time PCR with TaqMan probes. PON1 enzymatic activity was assessed by spectrophotometric methods, using paraoxon as a substrate. Results - No significant differences were found for PON1 activity between normal and obese women. Nevertheless, PON1 activity was greater (P<0.01) for the RR genotype (in Q192R polymorphism) and for the LL genotype (in L55M polymorphism). The frequency of allele R of Q192R polymorphism was significantly higher in obese women (P<0.05) and was associated with an increased risk of obesity (odds ratio=2.0 – 95% confidence interval (1.04; 3.87)). Conclusion - 55M and Q192R polymorphisms influence PON1 activity. The allele R of the Q192R polymorphism is associated with an increased risk for development of obesity among Portuguese Caucasian premenopausal women.

5' and 3' UTR thymidylate synthase polymorphisms modulate the risk of colorectal cancer independently of the intake of methyl group donors

Thymidylate synthase, as a rate-limiting step in DNA synthesis, catalyses the conversion of dUMP into dTMP using 5,10-methylenotetrahydrofolate as the methyl donor. Two polymorphisms have been described in this gene: a repeat polymorphism in the 5' promoter enhancer region (3R versus 2R) and a 6 bp deletion in the 3' unstranslated region. Both of these may affect protein levels. The present case control study was aimed at investigating the influence of these two polymorphisms on the development of colorectal cancer (CRC), as well as their potential interaction with folate, vitamin B6 and vitamin B12 intake. A total of 196 cases and 200 controls, matched for age and sex distribution, were included in the study. No association was found between CRC and the 28 bp repeat polymorphism, but it was observed that individuals with the 6 bp/del and del/del genotypes had a significantly lower risk of developing the disease (OR=0.47; 95% CI 0.30-0.72). A combined genotype (2R/2R; 6 bp/del+del/del) was also found, which was associated with an even lower risk of developing of the disease (OR=0.42; 95% CI 0.26-0.69). No significant interaction between these polymorphisms and vitamin intake was observed. These results indicate for the first time that the 6 bp/del allele might be a protective factor in the development of CRC, independent of the intake of methyl group donors.

Risk factors for osteoporotic fractures and low bone density in pre and postmenopausal women

OBJECTIVE: To estimate the prevalence and analyze risk factors associated to osteoporosis and low-trauma fracture in women. METHODS: Cross-sectional study including a total of 4,332 women older than 40 attending primary care services in the Greater São Paulo, Southeastern Brazil, between 2004 and 2007. Anthropometrical and gynecological data and information about lifestyle habits, previous fracture, medical history, food intake and physical activity were obtained through individual quantitative interviews. Low-trauma fracture was defined as that resulting from a fall from standing height or less in individuals 50 years or older. Multiple logistic regression models were designed having osteoporotic fracture and bone mineral density (BMD) as the dependent variables and all other parameters as the independent ones. The significance level was set at p<0.05. RESULTS: The prevalence of osteoporosis and osteoporotic fractures was 33% and 11.5%, respectively. The main risk factors associated with low bone mass were age (OR=1.07; 95% CI: 1.06;1.08), time since menopause (OR=2.16; 95% CI: 1.49;3.14), previous fracture (OR=2.62; 95% CI: 2.08;3.29) and current smoking (OR=1.45; 95% CI: 1.13;1.85). BMI (OR=0.88; 95% CI: 0.86;0.89), regular physical activity (OR=0.78; 95% CI: 0.65;0.94) and hormone replacement therapy (OR=0.43; 95% CI: 0.33;0.56) had a protective effect on bone mass. Risk factors significantly associated with osteoporotic fractures were age (OR=1.05; 95% CI: 1.04;1.06), time since menopause (OR=4.12; 95% CI: 1.79;9.48), familial history of hip fracture (OR=3.59; 95% CI: 2.88;4.47) and low BMD (OR=2.28; 95% CI: 1.85;2.82). CONCLUSIONS: Advanced age, menopause, low-trauma fracture and current smoking are major risk factors associated with low BMD and osteoporotic fracture. The clinical use of these parameters to identify women at higher risk for fractures might be a reasonable strategy to improve the management of osteoporosis.

Response of high-risk of recurrence/progression bladder tumours expressing sialyl-Tn and sialyl-6-T to BCG immunotherapy

High risk of recurrence/progression bladder tumours is treated with Bacillus Calmette-Guérin (BCG) immunotherapy after complete resection of the tumour. Approximately 75% of these tumours express the uncommon carbohydrate antigen sialyl-Tn (Tn), a surrogate biomarker of tumour aggressiveness. Such changes in the glycosylation of cell-surface proteins influence tumour microenvironment and immune responses that may modulate treatment outcome and the course of disease. The aim of this work is to determine the efficiency of BCG immunotherapy against tumours expressing sTn and sTn-related antigen sialyl-6-T (s6T). METHODS: In a retrospective design, 94 tumours from patients treated with BCG were screened for sTn and s6T expression. In vitro studies were conducted to determine the interaction of BCG with high-grade bladder cancer cell line overexpressing sTn. RESULTS: From the 94 cases evaluated, 36 had recurrence after BCG treatment (38.3%). Treatment outcome was influenced by age over 65 years (HR=2.668; (1.344-5.254); P=0.005), maintenance schedule (HR=0.480; (0.246-0.936); P=0.031) and multifocality (HR=2.065; (1.033-4.126); P=0.040). sTn or s6T expression was associated with BCG response (P=0.024; P<0.0001) and with increased recurrence-free survival (P=0.001). Multivariate analyses showed that sTn and/or s6T were independent predictive markers of recurrence after BCG immunotherapy (HR=0.296; (0.148-0.594); P=0.001). In vitro studies demonstrated higher adhesion and internalisation of the bacillus to cells expressing sTn, promoting cell death. CONCLUSION: s6T is described for the first time in bladder tumours. Our data strongly suggest that BCG immunotherapy is efficient against sTn- and s6T-positive tumours. Furthermore, sTn and s6T expression are independent predictive markers of BCG treatment response and may be useful in the identification of patients who could benefit more from this immunotherapy.

Effects of irregular-shift work and physical activity on cardiovascular risk factors in truck drivers

OBJECTIVE: To analyze the putative effect of type of shift and its interaction with leisure-time physical activity on cardiovascular risk factors in truck drivers.METHODS: A cross-sectional study was undertaken on 57 male truck drivers working at a transportation company, of whom 31 worked irregular shifts and 26 worked on the day-shift. Participants recorded their physical activity using the International Physical Activity Questionnaire along with measurements of blood pressure, body mass index and waist-hip ratio. Participants also provided a fasting blood sample for analysis of lipid-related outcomes. Data were analyzed using a factorial model which was covariate-controlled for age, smoking, work demand, control at work and social support.RESULTS: Most of the irregular-shift and day-shift workers worked more than 8 hours per day (67.7% and 73.1%, respectively). The mean duration of experience working the irregular schedule was 15.7 years. Day-shift workers had never engaged in irregular-shift work and had been working as a truck driver for 10.8 years on average. The irregular-shift drivers had lower work demand but less control compared to day-shift drivers (p < 0.05). Moderately-active irregular-shift workers had higher systolic and diastolic arterial pressures (143.7 and 93.2 mmHg, respectively) than moderately-active day-shift workers (116 and 73.3 mmHg, respectively) (p < 0.05) as well as higher total cholesterol concentrations (232.1 and 145 mg/dl, respectively) (p = 0.01). Irrespective of their physical activity, irregular-shift drivers had higher total cholesterol and LDL-cholesterol concentrations (211.8 and 135.7 mg/dl, respectively) than day-shift workers (161.9 and 96.7 mg/dl, respectively (ANCOVA, p < 0.05).CONCLUSIONS: Truck drivers are exposed to cardiovascular risk factors due to the characteristics of the job, such as high work demand, long working hours and time in this profession, regardless of shift type or leisure-time physical activity.

Fungal burden in waste industry: an occupational risk to be solved

High loads of fungi have been reported in different types of waste management plants. This study intends to assess fungal contamination in one waste-sorting plant before and after cleaning procedures in order to analyze their effectiveness. Air samples of 50 L were collected through an impaction method, while surface samples, taken at the same time, were collected by the swabbing method and subject to further macro- and microscopic observations. In addition, we collected air samples of 250 L using the impinger Coriolis μ air sampler (Bertin Technologies) at 300 L/min airflow rate in order to perform real-time quantitative PCR (qPCR) amplification of genes from specific fungal species, namely Aspergillus fumigatus and Aspergillus flavus complexes, as well as Stachybotrys chartarum species. Fungal quantification in the air ranged from 180 to 5,280 CFU m−3 before cleaning and from 220 to 2,460 CFU m−3 after cleaning procedures. Surfaces presented results that ranged from 29 × 104 to 109 × 104 CFU m−2 before cleaning and from 11 × 104 to 89 × 104 CFU m−2 after cleaning. Statistically significant differences regarding fungal load were not detected between before and after cleaning procedures. Toxigenic strains from A. flavus complex and S. chartarum were not detected by qPCR. Conversely, the A. fumigatus species was successfully detected by qPCR and interestingly it was amplified in two samples where no detection by conventional methods was observed. Overall, these results reveal the inefficacy of the cleaning procedures and that it is important to determine fungal burden in order to carry out risk assessment.

Task-based occupational exposure assessment and particle number concentration: two important data resources to perform risk assessment for occupational exposure to particles

Environment monitoring has an important role in occupational exposure assessment. However, due to several factors is done with insufficient frequency and normally don´t give the necessary information to choose the most adequate safety measures to avoid or control exposure. Identifying all the tasks developed in each workplace and conducting a task-based exposure assessment help to refine the exposure characterization and reduce assessment errors. A task-based assessment can provide also a better evaluation of exposure variability, instead of assessing personal exposures using continuous 8-hour time weighted average measurements. Health effects related with exposure to particles have mainly been investigated with mass-measuring instruments or gravimetric analysis. However, more recently, there are some studies that support that size distribution and particle number concentration may have advantages over particle mass concentration for assessing the health effects of airborne particles. Several exposure assessments were performed in different occupational settings (bakery, grill house, cork industry and horse stable) and were applied these two resources: task-based exposure assessment and particle number concentration by size. The results showed interesting results: task-based approach applied permitted to identify the tasks with higher exposure to the smaller particles (0.3 μm) in the different occupational settings. The data obtained allow more concrete and effective risk assessment and the identification of priorities for safety investments.