Pernod Ricard: Equity research

UNL - NSBE

Empirical evidence on the difference between the effective and the statutory tax rates for listed groups in Germany

The difference between the statutory and effective tax rate for listed groups is a complex variable influenced by a variety of factors. This paper aims to analyze whether this difference exists for listed groups in the German market and tests which factors have an impact on it. Thus the sample consists of 130 corporations listed in the three major German stock indices. The findings suggest that the companies that pay less than the statutory rate clearly outweigh the ones that pay more, and that the income earned from associated companies has a significant impact on this difference.

COMTEMP: Financing expansion through private equity?

COMTEMP – Companhia de Temperos, Lda. is a Portuguese company that produces vinegars (e.g. CRISTAL vinegars), sauces and condiments. This case study aims to analyze its attractiveness to receive a venture capital investment. The main covered topics are arranged into the following sections: foundation, company, industry, competition, industrial kitchen opportunity, financial strategy and decision.

How to bring equity investors to the social sector? A quasi-equity approach through the case study of SPEAK

As nonprofits do not have access to the same capital markets as for-profit enterprises, organizations usually scramble for funding to keep up with their mission. This scenario can be changed through the use of the right financial engineering. This Work Project aims at studying an innovative financing mechanism based on the concept of quasi-equity for organizations devoted to social ends to cope with their capital needs. A quasi-equity investment model is built for the Portuguese social business SPEAK, and an in-depth assessment of its current financial, organizational and impact situations is conducted. This is a pioneer case study in Portugal.

Psychological safety, authentic leadership and social networks : A psycho-structural approach to the study of groups

Tese de Doutoramento em Psicologia na área de especialização de Psicologia das Organizações apresentada ao ISPA - Instituto Universitário

Money never sleeps – overnight returns in equity markets

The present research analyses overnight returns’ outperformance in relation to daytime returns. In a first stage, it will be assessed whether these returns are robust throughout time, markets and across different scopes of analysis (e.g. weekdays, months, states of the economy). In a second stage, several hypothesis will be empirically tested, in an attempt to understand what drives non-trading period returns (e.g. liquidity, market volatility). Even though several authors have analysed overnight returns and suggested several explanatory factors, there seems to be no consensus in the literature regarding its drivers.

Rating corporate groups a modelling experience

This paper aims to provide a model that allows BPI to measure the credit risk, through its rating scale, of the subsidiaries included in the corporate groups who are their clients. This model should be simple enough to be applied in practice, accurate, and must give consistent results in comparison to what have been the ratings given by the bank. The model proposed includes operational, strategic, and financial factors and ends up giving one of three results: no support, partial support, or full support from the holding to the subsidiary, and each of them translates in adjustments in each subsidiary’s credit rating. As it would be expectable, most of the subsidiaries should have the same credit rating of its parent company.

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Monte Carlo valuation of worst-of auto-callable equity swaps

This thesis proposes a Monte Carlo valuation method for Worst-of Auto-callable equity swaps. The valuation of this type of swap usually requires complex numerical methods which are implemented in “black-box” valuation systems. The method proposed is an alternative benchmark tool that is relatively simple to implement and customize. The performance of the method was evaluated according to the variance and bias of the output and to the accuracy when compared to a leading valuation system in the market.

How to invest as a private equity

This work project presents a road map for making deals under the umbrella support of a private equity investor. Fundraising, investment analysis, asset monitoring, and divestment are stages in the process that are covered in-depth and clarified in terms of action plan and procedures. Moreover, private equity brings tangible and intangible efficiency to the economy and companies, not only by providing finance to grow and expand but also by forcing superior organizational organics that foster sustainable business positions. In a world domain, Europe as been a second liner as compared to US in terms of size within the private equity sector, but it is quickly maturing and converging to US numbers. In this sense, Portugal has been improving in both numbers and regulations in order to leverage on its strategic location and position itself as a key player to address future business challenges coming from emerging markets such as Africa and Latin America.

Pratiques comptables des hôpitaux et faisabilité d'un calcul de coûts basés sur les Diagnosis Related Groups

Travaux effectués dans le cadre de l'étude "Case Mix" menée par l'Institut universitaire de médecine sociale et préventive de Lausanne et le Service de la santé publique et de la planification sanitaire du canton de Vaud, en collaboration avec les cantons de Berne, Fribourg, Genève, Jura, Neuchâtel, Soleure, Tessin et Valais

Psychometrics of the Dyadic Coping Inventory in three language groups

This article introduces the Dyadic Coping Inventory (DCI; Bodenmann, 2008) and aims (1) to investigate the reliability and aspects of the validity of the Italian and French versions of the DCI, and (2) to replicate its factor structure and reliabilities using a new Swiss German sample. Based on 216 German-, 378 Italian-, and 198 French-speaking participants, the factor structure of the original German inventory was able to be replicated by using principal components analysis in all three groups after excluding two items in the Italian and French versions. The latter were shown to be as reliable as the German version with the exception of the low reliabilities of negative dyadic coping in the French group. Confirmatory factor analyses provided additional support for delegated dyadic coping and evaluation of dyadic coping. Intercorrelations among scales were similar across all three languages groups with a few exceptions. Previous findings could be replicated in all three groups, showing that aspects of dyadic coping were more strongly related to marital quality than to dyadic communication. The use of the dyadic coping scales in the actor-partner interdependence model, the common fate model, and the mutual influence model is discussed.

Impact of relative size and language on the attitudes between nations and linguistic groups : The case of Switzerland

This study explores the impact of relative size on the intra- and intergroup attitudes of groups who either share a language or have a different language. For that purpose, we examined international attitudes, comparing a small nation, Switzerland, and two larger nations, Germany and France. We found support for the assumption that large neighbouring nations pose a threat to the smaller nation's identity, especially when they are linguistically similar. Consequently, in line with Tajfel's Social Identity Theory (1978), the smaller nation's inhabitants evaluate those of the larger nation less positively, liking them less and perceiving them to be more arrogant than vice versa. By investigating the special case of the French-speaking and the German-speaking Swiss as linguistic groups within their own nation we were able to demonstrate that these groups seek support with the larger-linguistically-similar nation to defend themselves against the more direct in-country threat to their identity. They acknowledge the similarity with the larger nation, yet keep defending their social identity by expressing a dislike for this perceived similarity.

Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.