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

Integrated biomarker responses of an estuarine invertebrate to high abiotic stress and decreased metal contamination

An integrated chemical-biological effects monitoring was performed in 2010 and 2012 in two NW Iberian estuaries under different anthropogenic pressure. One is low impacted and the other is contaminated by metals. The aim was to verify the usefulness of a multibiomarker approach, using Carcinus maenas as bioindicator species, to reflect diminishing environmental contamination and improved health status under abiotic variation. Sampling sites were assessed for metal levels in sediments and C. maenas, water abiotic factors and biomarkers (neurotoxicity, energy metabolism, biotransformation, anti-oxidant defences, oxidative damage). High inter-annual and seasonal abiotic variation was observed. Metal levels in sediments and crab tissues were markedly higher in 2010 than in 2012 in the contaminated estuary. Biomarkers indicated differences between the study sites and seasons and an improvement of effects measured in C. maenas from the polluted estuary in 2012. Integrated Biomarker Response (IBR) index depicted sites with higher stress levels whereas Principal Component Analysis (PCA) showed associations between biomarker responses and environmental variables. The multibiomarker approach and integrated assessments proved to be useful to the early diagnosis of remediation measures in impacted sites.

Multi-Objective and Financial Portfolio Optimization of Carrier-Sense Multiple Access Protocols with Cooperative Diversity

8th International Workshop on Multiple Access Communications (MACOM2015), Helsinki, Finland.

Functional and molecular characterization of SR45, a plant-specific factor involved in sugar and stress signaling in Arabidopsis thaliana

Dissertation presented to obtain the Ph.D degree in Molecular Biology

Sertraline accumulation and effects in the estuarine decapod Carcinusmaenas: Importance of the history of exposure to chemical stress

Sertraline is widely prescribed worldwide and frequently detected in aquatic systems. There is, however, a remarkable gap of information on its potential impact on estuarine and coastal invertebrates. This study investigated sertraline accumulation and effects in Carcinus maenas. Crabs from a moderately contaminated (Lima) and a low-impacted (Minho) estuary were exposed to environmental and high levels of sertraline (0.05, 5, 500 μg L−1). A battery of biomarkers related to sertraline mode of action was employed to assess neurotransmission, energy metabolism, biotransformation and oxidative stress pathways. After a seven-day exposure, sertraline accumulation in crabs’ soft tissues was found in Lima (5 μg L−1: 15.3 ng L−1 ww; 500 μg L−1: 1010 ng L−1 ww) and Minho (500 μg L−1: 605 ng L−1 ww) animals. Lima crabs were also more sensitive to sertraline than those from Minho, exhibiting decreased acetylcholinesterase activity, indicative of ventilatory and locomotory dysfunction, inhibition of anti-oxidant enzymes and increased oxidative damage at ≥0.05 μg L−1. The Integrated Biomarker Response (IBR) index indicated their low health status. In addition, Minho crabs showed non-monotonic responses of acetylcholinesterase suggestive of hormesis. The results pointed an influence of the exposure history on differential sensitivity to sertraline and the need to perform evaluations with site-specific ecological receptors to increase relevance of risk estimations when extrapolating from laboratory to field conditions.

Proxy statement proposals after the 2008 financial crash

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

Proteomic and Transcriptomic Approaches to Abiotic Stress Tolerance in Rice (Oryza sativaL.)

Dissertação para a obtenção de grau de doutor em Biologia pelo Instituto de Tecnologia Química e Biológica da Universidade Nova de Lisboa

Proxy statement proposals after the 2008 financial crash

In traumatic financial times, both shareholders and the media promptly blame companies for lack of decent corporate governance mechanisms. Proxy statement proposals have increasingly been used by the more active shareholders as to vindicate managers to correct anomalies and restore financial markets’ confidence. I examine the proposals of the largest companies in the S&P 500 index after the Lehmann Brothers crash and their effect on stock prices. Proposals initiated by shareholders negatively impact the company’s stock price, particularly if the proposers are unions, pension funds and institutional investors. Also, I find corporate governance proposals to harm firm’s market performance, unlike compensation and social policy proposals whose effects are intangible. The exception to these disappointing attempts to improve companies’ conduct relies on proposals shared by several investors.

Qualidade de vida, morbilidade psicológica e stress familiar em idosos residentes na comunidade

Este estudo procurou investigar as relações existentes entre morbilidade psicológica, stress familiar e qualidade de vida (QV) da pessoa idosa. A amostra foi constituída por 126 idosos. Os instrumentos utilizados foram: The Lawton Instrumental Activities of Daily Living (IADL), Quality of Life (WHOQOL-Bref), Geriatric Anxiety Inventory (GSI), Geriatric Depression Scale (GDS); e Index of Family Relations (IFR). Os resultados revelaram a importância da idade, estado civil, escolaridade e número de patologias assim como o género na capacidade funcional, morbilidade, stress familiar e QV. Ao nível dos preditores, a depressão foi a variável que mais contribuiu para a QV. Não foram encontradas variáveis moderadoras no modelo. A discussão e implicações dos resultados são abordadas bem como a intervenção psicológica nesta população.

Occupational stress and coping among portuguese military police officers

This study describes the professional experience of military police officers from the Portuguese Republican National Guard (N = 95). We focused on the main sources and consequences of stress and the coping strategies used to deal with stress. The evaluation protocol included one closed-ended question and four open-ended questions. Data analysis of meaningful text segments was conceptually based and data categorization followed deductive content analysis. Results allowed the identification of 483 meaning units. Factors intrinsic to the job and the relationships at work were the main stressors referred by participants. The consequences of stressors were evident at an individual level, affecting family, psychological, and physical/health domains. The coping strategies used to deal with the main source of stress in the professional career were focused on problem solving (e.g., active confrontation) and emotional regulation (e.g., situation acceptance). Practical implications and future avenues of research with these professionals are discussed.

Assessment of Myocardial Ischemia in Obese Individuals Undergoing Physical Stress Echocardiography (PSE)

Background: Physical stress echocardiography is an established methodology for diagnosis and risk stratification of coronary artery disease in patients with physical capacity. In obese (body mass index ≥ 30 kg/m2) the usefulness of pharmacological stress echocardiography has been demonstrated; however, has not been reported the use of physical stress echocardiography in this growing population group. Objective: To assess the frequency of myocardial ischemia in obese and non-obese patients undergoing physical stress echocardiography and compare their clinical and echocardiographic differences. Methods: 4,050 patients who underwent treadmill physical stress echocardiography were studied according to the Bruce protocol, divided into two groups: obese (n = 945; 23.3%) and non-obese (n = 3,105; 76.6%). Results: There was no difference regarding gender. Obese patients were younger (55.4 ± 10.9 vs. 57.56 ± 11.67) and had a higher frequency of hypertension (75.2% vs. 57, 2%; p < 0.0001), diabetis mellitus (15.2% vs. 10.9%; p < 0.0001), dyslipidemia (59.5% vs 51.9%; p < 0.0001), family history of coronary artery disease (59.3% vs. 55.1%; p = 0.023) and physical inactivity (71.4% vs. 52.9%, p < 0.0001). The obese had greater aortic dimensions (3.27 vs. 3.14 cm; p < 0.0001), left atrium (3.97 vs. 3.72 cm; p < 0.0001) and the relative thickness of the ventricule (33.7 vs. 32.8 cm; p < 0.0001). Regarding the presence of myocardial ischemia, there was no difference between groups (19% vs. 17.9%; p = 0.41). In adjusted logistic regression, the presence of myocardial ischemia remained independently associated with age, female gender, diabetes and hypertension. Conclusion: Obesity did not behave as a predictor of the presence of ischemia and the physical stress echocardiography. The application of this assessment tool in large scale sample demonstrates the feasibility of the methodology, also in obese.

Understanding Liquidity and Credit Risks in the Financial Crisis

This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which reflect liquidity and credit risk. Our empirical results show that surges in the short term LIBOR-OIS spreads during the 2007-2009 fi nancial crisis were largely driven by liquidity risk. However, credit risk played a more signifi cant role in the longer term (twelve-month) LIBOR-OIS spread. The liquidity risk factors are more volatile than the credit risk factor. Most of the familiar events in the financial crisis are linked more to movements in liquidity risk than credit risk.

Corruption and Financial Intermediation in a Panel of Regions: Cross-Border Effects of Corruption

The importance of financial market reforms in combating corruption has been highlighted in the theoretical literature but has not been systemically tested empirically. In this study we provide a first pass at testing this relationship using both linear and nonmonotonic forms of the relationship between corruption and financial intermediation. Our study finds a negative and statistically significant impact of financial intermediation on corruption. Specifically, the results imply that a one standard deviation increase in financial intermediation is associated with a decrease in corruption of 0.20 points, or 16 percent of the standard deviation in the corruption index and this relationship is shown to be robust to a variety of specification changes, including: (i) different sets of control variables; (ii) different econometrics techniques; (iii) different sample sizes; (iv) alternative corruption indices; (v) removal of outliers; (vi) different sets of panels; and (vii) allowing for cross country interdependence, contagion effects, of corruption.

Effects of stress on economic decision-making: Evidence from laboratory experiments

The ways in which preferences respond to the varying stress of economic environments is a key question for behavioral economics and public policy. We conducted a laboratory experiment to investigate the effects of stress on financial decision making among individuals aged 50 and older. Using the cold pressor task as a physiological stressor, and a series of intelligence tests as cognitive stressors, we find that stress increases subjective discounting rates, has no effect on the degree of risk-aversion, and substantially lowers the effort individuals make to learn about financial decisions.