Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Market value of corruption

This paper studies the impact of the Brazilian anticorruption legislation, PL 6826/2010, on stock returns. I show that, around the law approval date, the greater the link between the corporate and political worlds, the worse is the companies’ performance. Companies awarded with public contracts in 2012 suffer more with the new legislation approval. Firms with above median contract values have 2.9% lower returns than its peers. The negative effect is more pronounced for bigger and more complex entities, associated with higher levels of Corporate Responsibility and Governance and not subject to the US FCPA.

The accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend

This project characterizes the accuracy of the escrowed dividend model on the value of European options on a stock paying discrete dividend. A description of the escrowed dividend model is provided, and a comparison between this model and the benchmark model is realized. It is concluded that options on stocks with either low volatility, low dividend yield, low ex-dividend to maturity ratio or that are deep in or out of the money are reasonably priced with the escrowed dividend model.

Comprehensive income: evidence from Portuguese listed companies on reporting choices and value relevance

This work project aims at analysing choices related to Comprehensive income (CI) of Portuguese listed firms and understanding the reasons behind them. Additionally, it studies the relevance of CI versus Net Income (NI). It was found that firm’s size and volume of Other comprehensive income (OCI) are positively related with the choice for separate statements while smaller firms with positive NI and negative OCI tend to disclose less information about taxes. The value relevance of CI proved to be superior to that of NI but OCI seems to have no incremental value relevance.

Lifetime-value creation through a customized offer adressed to diferent lifestyles

This paper purposes a method for marketing segmentation based on customers‟ lifestyle. A quantitative and qualitative segmentation established by the Whitaker Lifestyle™ Method was created in order to define a concrete and clear identification of the customer, by understanding the behavior, style and preferences of each segment. After conducting 18 in-depth interviews, it was concluded that four main personas characterize the customer base of the company. These four personas will be the support for the creation of „quick-wins‟ that address to the expectations of each lifestyle, projecting a significant impact on the lifetime-value of the company‟s customer base

Developing a gamification system to increase customer lifetime value at MyGon

There have never been so many touch points between companies and consumers as there are today, which paradoxically makes it very challenging for companies to be able to retain and engage customers. Gamification is a strategy used by a large number of companies to increase customer engagement and customer lifetime value. This work aims at developing a gamification system for MyGon, a Portuguese startup working in the market of discounts and experiences. In addition to examining the literature concerning gamification, its elements and characteristics, recommendations were developed for addressing MyGon’s business goals of increasing conversion and customer engagement. The gamification mechanisms suggested include badges, missions, points, leaderboards and levels.

Value creation in the nursing home real estate investment market - A case study

The underlying thesis examines the value drivers of direct investments in nursing home real estate in Germany. A survey among investors and operators is conducted in order to identify significant value drivers. Moreover, based on survey results, a framework for assessing German nursing home real estate is developed. This is applied in a case-study about the set-up of a nursing home value-add fund which will demonstrate the value creation process of redeveloping an existing nursing home real estate portfolio. Through a concluding analysis the sources of value creation, sensitivities and future prospects of direct investing into German nursing home real estate are concluded.

A type system for value-dependent information flow analysis

Information systems are widespread and used by anyone with computing devices as well as corporations and governments. It is often the case that security leaks are introduced during the development of an application. Reasons for these security bugs are multiple but among them one can easily identify that it is very hard to define and enforce relevant security policies in modern software. This is because modern applications often rely on container sharing and multi-tenancy where, for instance, data can be stored in the same physical space but is logically mapped into different security compartments or data structures. In turn, these security compartments, to which data is classified into in security policies, can also be dynamic and depend on runtime data. In this thesis we introduce and develop the novel notion of dependent information flow types, and focus on the problem of ensuring data confidentiality in data-centric software. Dependent information flow types fit within the standard framework of dependent type theory, but, unlike usual dependent types, crucially allow the security level of a type, rather than just the structural data type itself, to depend on runtime values. Our dependent function and dependent sum information flow types provide a direct, natural and elegant way to express and enforce fine grained security policies on programs. Namely programs that manipulate structured data types in which the security level of a structure field may depend on values dynamically stored in other fields The main contribution of this work is an efficient analysis that allows programmers to verify, during the development phase, whether programs have information leaks, that is, it verifies whether programs protect the confidentiality of the information they manipulate. As such, we also implemented a prototype typechecker that can be found at http://ctp.di.fct.unl.pt/DIFTprototype/.