The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

Brazilian savanna forest : conservation, medicinal reservoir and bioprospecting

This study aimed to analyse the Brazilian savanna forest from a Legal Reserve (LR) area from a perspective of conservation, reservoir of organic carbon and medicinal biomass for a prospective use of native medicinal plants. An ethnobotanical and ethnopharmacological survey was carried out close to a community settled in the rural area in the south of Tocantins, being selected 9 of the most cited species (cajuí- Anacardium othonianum; inharé-Brosimum gaudichaudii; jatobá-Hymenaeae courbaril; jenipapo-Genipa americana, aroeira-Myracrodruon urundeuva; negramina-Siparuna guianensis; barbatimão- Stryphnodendron obovatum; assa peixe-Vernonia brasiliana, embaúba-Cecropia pachystachya). Crude foliar extracts were subjected to a preliminary phytochemical prospection and triage of secondary metabolites with antimicrobial activity of potential interest in health and familiar agriculture. Phenolic compounds, terpenes and flavonoids were detected in the extracts of most species, which suggests the presence of antimicrobial, antioxidant and anti-insect activities. It was evident the need to better know the LR as a reservoir of medicinal biomass in an area under ecological tension where 35% (610ha) of the property is LR and should be protected by law. Therefore, a forest inventory of live woody species was performed using the allometric or indirect method. This identified a rare remnant of Semidecidual Seasonal Forest amidst the largest world savannah, the Cerrado biome. An analysis of the forest average productivity per basal area (m².ha), aerial live biomass (ton.ha-1) and carbon stock was carried out. The forest fragment was considered relatively rich in species and diversity, although showing signs of disturbance and dominance by a few species. Its horizontal structure suggests biotic regeneration conditions. It is an important reservoir of medicinal plants. Of the families (57.5%) presenting medicinal species, 19 from a total of 33 are represented in the area and contain 44% (27) of the total species (61) and 63% (432) of the total individuals catalogued. Medicinal species have ecological importance for the equilibrium of the local flora and represent 80% of the 10 species with higher Importance Value Index (IVI): Tetragastris altissima, Chrysophyllum marginatum, Oenocarpus distichus, Sclerolobium paniculatum, Simarouba versicolor, Alibertia macrophylla, Siparuna guianensis, Maprounea guianensis, Licania parvifolia e Physocalymma scaberrimum. Medicinal productivity was high for this type of phytophysionomy: 183,2 ton. ha-1 of biomass and 91,51 ton. ha-1 of carbon representing 66% of the total biomass and carbon of this Cerrado forest. From this stage S. guianensis (Siparunaceae) was selected for performing bioassays in order to verify its biological activity against microorganisms of health and agricultural relevance. This is a native aromatic medicinal plant recommended as priority for conservation, with local popular medicinal validation and availability of medicinal feedstock (3300 Kg.ha-1), with the foliar fraction giving 38Kg/ha of crude extract and 5L/ha of essential oil. Foliar crude extracts and essential oil were obtained and tested in vitro using a disk diffusion bioassay. Different concentrations of these natural products were tested against gram-positive bacteria (Staphylococcus aureus ATCC 29213), gram-negative bacteria (Escherichia coli ATCC 25922 and ATCC 35218; Pseudomonas aeruginosa ATCC 10145) and fungi (Candida albicans ATCC 6258 e Fusarium oxysporum). The essential oil inhibited the growth of S. aureus in its crude concentration (380μg.mL-1), as well as diluted to half (190μg.mL-1) and a quarter strength (95μg.mL-1). It’s likely that such action is due to sesquiterpenes major components, such as bisabolol and bisabolene (10.35%), measured by gas chromatography (GC-MS, GC-FID). Extracts did not exhibit any antimicrobial activity against the microorganisms tested. The native medicinal plants prospective market is an alternative that favours the conservation of biodiversity while generating benefits for the development of sustainable family productive activities within local ecosystems instead of the current inappropriate uses. This strengthens conservation policies of Legal Reserve in rural settlements and is in agreement with public policy on global warming and climate changes.

Geographic variation in sardine population traits: implications for stock assessment

Tese dout., Ciências e Tecnologias das Pescas, Universidade do Algarve, 2007

How do analysts deal with bad news? Going-concern opinions and analyst behaviour

Tese dout., University of Edinburg, 2008

Estudo das possibilidades de resultados anormais através de estratégias momentum no mercado Euronext

Dissertação de mestrado, Finanças Empresariais, Faculdade de Economia, Universidade do Algarve, 2014

M&A und das Synergieversprechen. Wen interessiert's? Entwicklung eines Ansatzes zur Analyse von Aktienkursreaktionen auf M&A-basierte Finanzkommunikation

Die Arbeit entwickelt einen Ansatz, mit dem Aktienkursreaktionen auf Unternehmensmeldungen untersucht werden können. Die Vorgehensweise entstammt der Forschungsfrage, ob Investoren im Sinne einer Kontrollfunktion des Kapitalmarktes angemessen auf Unternehmensmeldungen reagieren, die auf den Stand einer M&A-Integration hinweisen. Vermutet wird, dass Synergieeffekte vom Management im Vorfeld versprochen werden, um M&A-Transaktionen zu rechtfertigen. Anschließend würdigen bzw. kontrollieren Investoren die Entwicklung der Integration jedoch nicht ausreichend. Dies soll bewiesen werden, indem gezeigt wird, dass Kursreaktionen in Form von bereinigten Tagesrenditen und -volatilitäten, Handelsvolumen und Hoch-Tief-Spannen auf M&A-Meldungen vergleichsweise geringer ausfallen. Um eine Vergleichbarkeit von Unternehmensmeldungen verschiedener Gruppen (M&A, Produkte usw.) herstellen zu können, werden die Handlungsanreize der Meldungen mittels der qualitativen Inhaltsanalyse kategorisiert. Im Rahmen einer exemplarischen Anwendung zeigte sich, dass der Ansatz, dessen Besonderheit in der systematischen Auswahl probater Beobachtungen liegt, nicht für eine praktische Übertragung geeignet ist. Demnach konnte die Vermutung weder verworfen noch bestätigt werden. Theoretisch kann aufgrund der Betrachtung eines einzelnen Ereignistages, an dem neben der zu untersuchenden Meldung keine weiteren Informationen über das Unternehmen veröffentlicht worden sind, ein relativ starker Kausalitätsbezug zwischen Meldung und Reaktion hergestellt werden. Allerdings bestehen immer noch zu viele Störereignisse und Überlagerungseffekte, die eine kritische Validierung der Ergebnisse verhindern.

Hotel Valuation Software, Version 4.0

[Updated August 2016] The Hotel Valuation Software, freely available from Cornell’s Center for Hospitality Research, has been updated to reflect the many changes in the 11th Edition of the Uniform System of Accounts for the Lodging Industry (USALI). Version 4.0 of the Hotel Valuation Software provides numerous enhancements over the original tool from 2011. In addition to a significant increase in functionality and an update to reflect the 11th edition of the USALI, Version 4.0 takes advantage of the power of the latest release of Microsoft Excel®. Note that Version 4.0 works only on a PC running Microsoft Windows, it does not work on a Mac running OS X. Users desiring an OS X compatible version should click here (Labeled as Version 2.5). 酒店评估软件手册和三个程序（点击这里 ) Users desiring a Mandarin version of the Hotel Valuation Software should click here The Hotel Valuation Software remains the only non-proprietary computer software designed specifically to assist in the preparation of market studies, forecasts of income and expense, and valuations for lodging property. The software provides an accurate, consistent, and cost-effective way for hospitality professionals to forecast occupancy, revenues and expenses and to perform hotel valuations. Version 4.0 of the Hotel Valuation Software includes the following upgrades – a complete update to reflect the 11th edition of the USALI – the most significant change to the chart of accounts in a generation, an average daily rate forecasting tool, a much more sophisticated valuation module, and an optional valuation tool useful in periods of limited capital liquidity. Using established methodology, the Hotel Valuation Software is a sophisticated tool for lodging professionals. The tool consists of three separate software programs written as Microsoft Excel files and a software users' guide. The tool is provided through the generosity of HVS and the School of Hotel Administration. The three software modules are: Room Night Analysis and Average Daily Rate: Enables the analyst to evaluate the various competitive factors such as occupancy, average room rate, and market segmentation for competitive hotels in a local market. Calculates the area-wide occupancy and average room rate, as well as the competitive market mix. Produce a forecast of occupancy and average daily rate for existing and proposed hotels in a local market. The program incorporates such factors as competitive occupancies, market segmentation, unaccommodated demand, latent demand, growth of demand, and the relative competitiveness of each property in the local market. The program outputs include ten-year projections of occupancy and average daily rate. Fixed and Variable Revenue and Expense Analysis: The key to any market study and valuation is a supportable forecast of revenues and expenses. Hotel revenue and expenses are comprised of many different components that display certain fixed and variable relationships to each other. This program enables the analyst to input comparable financial operating data and forecast a complete 11-year income and expense statement by defining a small set of inputs: The expected future occupancy levels for the subject hotel Base year operating data for the subject hotel Fixed and variable relationships for revenues and expenses Expected inflation rates for revenues and expenses Hotel Capitalization Software: A discounted cash flow valuation model utilizing the mortgage-equity technique forms the basis for this program. Values are produced using three distinct underwriting criteria: A loan-to-value ratio, in which the size of the mortgage is based on property value. A debt coverage ratio (also known as a debt-service coverage ratio), in which the size of the mortgage is based on property level cash flow, mortgage interest rate, and mortgage amortization. A debt yield, in which the size of the mortgage is based on property level cash flow. By entering the terms of typical lodging financing, along with a forecast of revenue and expense, the program determines the value that provides the stated returns to the mortgage and equity components. The program allows for a variable holding period from four to ten years The program includes an optional model useful during periods of capital market illiquidity that assumes a property refinancing during the holding period

Average age of pending and disposed cases report for period 7/1/2012 thru 6/30/2013

This gives the average age of pending and disposes criminal cases broken down by county and circuit.

Future Air Quality Related Health Effects in Europe and the Nordic Region—Sensitivity to Changes in Climate, Anthropogenic Emissions, Demography and Building Stock

Future changes in population exposures to ambient air pollution are inherently linked with long-term trends in outdoor air quality, but also with changes in the building stock. Moreover, the burden of disease is further driven by the ageing of the European populations. This study aims to assess the impact of changes in climate, emissions, building stocks and population on air pollution related human health impacts across Europe in the future. Therefore an integrated assessment model combining atmospheric models and health impacts has been setup for projections of the future developments in air pollution related premature mortality. The focus is here on the regional scale impacts of exposure to surface ozone (O3), Secondary Inorganic Aerosols (SIA) and primary particulate matter (PPM).

Essays on Applications of the Factor Model

Thesis (Ph.D.)--University of Washington, 2013

Forecasting overseas visitors into the United Kingdom using continuous time and autoregressive fractional integrated moving average models with discrete data

This paper applies Gaussian estimation methods to continuous time models for modelling overseas visitors into the UK. The use of continuous time modelling is widely used in economics and finance but not in tourism forecasting. Using monthly data for 1986–2010, various continuous time models are estimated and compared to autoregressive integrated moving average (ARIMA) and autoregressive fractionally integrated moving average (ARFIMA) models. Dynamic forecasts are obtained over different periods. The empirical results show that the ARIMA model performs very well, but that the constant elasticity of variance (CEV) continuous time model has the lowest root mean squared error (RMSE) over a short period.

Monetary policy, exchange rates and stock prices in the Middle East region

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables are left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflect the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.

Consumer confidence indices and stock markets’ meltdowns

Consumer confidence indices (CCIs) are a closely monitored barometer of countries’ economic health and an informative forecasting tool. Using European and US data, we provide a case study of the two recent stock market meltdowns (the post-dotcom bubble correction of 2000–2002 and the 2007–2009 decline at the beginning of the financial crisis) to contribute to the discussion on their appropriateness as proxies for stock markets’ investor sentiment. Investor sentiment should positively covary with stock market movements (DeLong, Shleifer, Summers, and Waldmann 1990); however, we find that the CCI–stock market relationship is not universally positive.We also do not find support for the information effect documented in the previous literature, but identify a more subtle relationship between consumer expectations about future household finances and stock market fluctuations.