Equity Research - Cork Supply Portugal

Mestrado em Finanças

Equity research – CTT Correios de Portugal, S.A.

Dissertação de Mestrado, Gestão Empresarial, Faculdade de Economia, Universidade do Algarve, 2016

Equity Research - Luz Saúde

Mestrado em Finanças

Equity-focused health impact assessment of Portuguese tobacco control legislation

The World Health Organization recommend the Equity-Focused Health Impact Assessment (HIA) as a means to assess the impact of social and economic policies on the health of populations, and acknowledges their contribution to health inequality. We describe the application of the Equity-focusedImpact Assessment methodology on the Portuguese law on Smoking Prevention and Tobacco Control (Law No. 37/2007). A rapid assessment was carried out to issue recommendations which could be incorporated into the law during a revision in 2014. Quantitative (consumption and health status indicators; equity analysis) and qualitative (Focus Group) approaches were taken to evaluate the impact of the law and formulate recommendations. Young people, men and women of low socioeconomic status, and pregnant women were identified as requiring specific and appropriate interventions to prevent smoking and support smoking cessation.

Investigación de mercados como herramienta para determinar la disponibilidad a pagar un precio adicional o premium por carne de res certificada, mediante un sello de inocuidad en la empresa DIKA S.A. de C.V.

Los orígenes de esta investigación, tienen como base la implementación de un sello de inocuidad en la empresa DIKA S.A. de C.V. Para mejorar sus procesos en los destaces de las reses en su rastro, ya que en la actualidad los rastros no brindan un servicio de buena calidad para sus clientes. El objetivo primordial de la investigación es: Determinar mediante el trabajo de campo, si los clientes están dispuestos a pagar un precio adicional por carne de res certificada; y de acuerdo a la información obtenida la empresa pueda tomar las decisiones sobre la implementación del sello de inocuidad. La metodología que se utilizó fue, por la naturaleza de la investigación, basada en el tipo de muestreo no probabilístico ya que en Súper Selectos (principal intermediario) tienen como política no permitir encuestadores en sus locales de venta, esto nos obligó a tomar otras medidas de recolección de información, como los mencionados anterior mente. Los resultados obtenidos indicaron que de los 104 encuestados, el 64.4% está a favor o dispuesto a pagar un precio adicional, por el contrario u opinión diferente se encuentra el 35.6%. Estos porcentajes indican, que la inversión podría ser rentable. Después de analizar los datos brindados por las encuestas, concluimos que sí, el sello debe ser implementado; pero el alza en los precios debe ser pausado y estratégicamente, además buscar recuperar la inversión no solo en los precios sino en otras estrategias, las cuales recomendamos en el Capítulo III.

Horizontal fiscal equity: a theoretical contribution with an application to the portuguese municipalities.

Doutoramento em Economia.

Analisi delle "exit strategies" nel settore dell'Equity Crowdfunding

La tesi analizza il fenomeno dell'Equity Crowdfunding con particolare attenzione alle strategie di disinvestimento. Si basa sull'analisi di un campione di 100 progetti finanziati sulla piattaforma Crowdcube. Il crowdfunding è un meccanismo di finanziamento collettivo che nasce fondamentalmente dall’esigenza di piccoli progetti di reperire capitale per essere sviluppati. Si sviluppa mediante l’ausilio di piattaforme informatiche, che fungono da tramite tra le parti interessate, permettendo ai promotori di lanciare i progetti e presentarli al pubblico, ed ai potenziali investitori di informarsi riguardo le diverse opportunità ed eventualmente partecipare alle iniziative. Si crea in questo modo una community virtuale, che si muove attraverso meccanismi differenti rispetto ai classici canali di finanziamento, e offre nuove opportunità agli ideatori di progetti così come agli investitori. Esistono diversi modelli di crowdfunding, che si differenziano per le rispettive finalità, le modalità di raccolta fondi e le forme di compenso. In particolare, risulta importante soffermarsi sull’equity crowdfunding, che si distingue dagli altri modelli in quanto raccoglie denaro che viene impiegato direttamente nel capitale di rischio dell’azienda finanziata. È il modello che attualmente riscuote maggior successo in termini di quote raccolte. La ricompensa è di tipo economico e si realizza attraverso il disinvestimento della quota di partecipazione, entro una data finestra temporale e secondo le modalità delineate inizialmente dal promotore del progetto. Le modalità di disinvestimento sono dette “exit strategies” e consistono negli obiettivi che i promotori dei progetti si propongono di realizzare dopo aver lanciato ed amministrato per un certo intervallo temporale i propri business, e sono rilevanti per gli investitori in quanto rappresentano il meccanismo attraverso il quale essi si aspettano un guadagno dall’investimento effettuato.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

The Spanish equity market (2000-2014): stylized facts

Introduction. This thesis is framed in the last 15 years of history of the Spanish equity market (years 2000 to 2014). In this sense and, as an introduction of this work, in the first chapter the main features of the background of the electronic market for shares and the implications that the migration from out-c1y circles to this automatic system is explained. The main changes of this electronic system (Spanish stock exchange interconnection system) are detailed in this part. Also in this first chapter is explained the important European meeting, in December 1999, of eight stock exchanges which foresee, in a first step, to design a single market model for, lately, try to merge, final step that did not take place. After this initial moment in December 1999, in this work the main features of the market model of the main European markets (London, Paris, Germany and Italy) are generally described, given that it is important to consider the European context of the Spanish equity market, specially during these last fifteen years. Along chapter two, the thesis is supported with the theoretic frame explaining here the nature of markets and their important role in the economy, detailing afte1wards the Spanish case from the point of view of its institutional structure and legal framework. Besides, in this chapter, a deep review of initial public offerings (main concepts and calendar steps) is done as well as take-over bids (typology and key-concepts)...

Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.