Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Reação dos mercados de CDS e de cotações bolsistas a anúncios de rating: o caso dos maiores bancos portugueses

A presente dissertação tem como principal objetivo avaliar a capacidade que os mercados de Credit Default Swaps (CDS) e acionista apresentam de antecipar alterações nas notações das principais Agências de Rating mundiais. Para esse efeito serão analisadas as cotações diárias dos prémios de CDS e as cotações diárias de ações dos quatro principais bancos portugueses entre 2004 e 2012, bem como os eventos de rating associados a esses bancos. A literatura existente, apresenta, resultados que tendem a evidenciar que os CDS reagem, regra geral, de forma mais rápida a anúncios das Agências de Rating e que esta mesma reação é maior para eventos negativos (downgrade das notações de rating) do que para eventos positivos (upgrade das notações). O presente estudo detecta, para dois daqueles bancos alguma capacidade dos prémios dos CDS anteciparem eventos negativos de rating.

Measuring the cytochrome c nitrite reductase activity—practical considerations on the enzyme assays

Hindawi Publishing Corporation Bioinorganic Chemistry and Applications Volume 2010, Article ID 634597, 8 pages

Measuring data transfer in heterogeneous IoT environments

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Treasury bond returns and U.S. political cycles

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

Mergers and acquisitions in the banking sector: An empirical review of the impact of merger announcement on abnormal returns

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

Measuring poverty in Portugal: an absolute approach

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

Measuring the impact with the social return on investment: the case of the social innovation HUB

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

The sovereign CDS-Bond basis: From a crisis perspective

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

Reducing Discomfort While Measuring Crown-Heel Length in Neonates

To assess the degree of discomfort caused by length measurement in neonates, performed with one or both lower limbs extended, on the first and second day after birth, with either one or both lower limbs extended. METHODS: Healthy full-term neonates were systematically sampled during the months of February and March 2004. Crown-heel length was measured, using a 1-mm precision neonatometer, at approximately 8 h and 32 h after birth, with one and both lower limbs extended. The Neonatal Facial Coding System was used to assess discomfort during measurements. Data were analysed by parametric and non-parametric tests as appropriate. RESULTS: Whatever the measurement technique, discomfort scores are significantly higher during the length measurement than at baseline. Whenever length measurements are performed, discomfort scores are significantly higher when extending both lower limbs rather than one lower limb (p < 0.006). The measured length is greater with one lower limb extended; however, the difference decreases over time, being 0.19 cm (95% CI 0.1-0.3; p < 0.001) at approximately 32 h of age. No significant differences in length were found between measurements at approximately 8 or 32 h, regardless of the technique used. The best correlation between length measurements with one or both lower limbs extended was observed at approximately 32 h after birth (r = 0.98). CONCLUSION: Measuring crown-heel length is a distressful procedure for the neonate. Measurements with one lower limb extended result in less discomfort than when both lower limbs are extended, without decreasing the accuracy.

A look into the cross-section of industry stock returns

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

Depreciation manipulation and its impact on firms' returns

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

Fearful asymmetry: An analysis of pre-earnings abnormal returns

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