A contribuição dos Modelos de Avaliação para a previsão do retorno dos títulos finançeiros de empresa do PSI20 - Análise Comparativa entre Capital Asset Pricing Model e Arbitrage Pricing Theory

O crescimento económico de um país depende dos fundos disponíveis, quer para o financiamento da formação de capital quer para a sua reposição. Fundos obtidos pelas empresas e organismos públicos através de diversas formas, entre as quais, se destaca a emissão de valores mobiliários. Os aforradores, detentores de recursos, ao comprarem valores mobiliários, aliam uma alta rentabilidade a uma elevada liquidez na remuneração dos seus investimentos. As bolsas de valores são o meio onde as empresas, os organismos públicos e os aforradores, têm a possibilidade de verem esses interesses conciliados de uma maneira eficiente, eficaz e transparente, garantindo assim, uma maior liquidez aos títulos financeiros transaccionados em bolsa de valores. As empresas possuem várias alternativas de financiamento, o mercado de capitais é considerado pelos gestores, a fonte onde o rendimento ou o retorno obtido pode ser maior, perante a contrapartida de se incorrer um maior risco. Este mercado surge como alternativa aos empréstimos bancários, as empresas podem, dessa forma, adquirir financiamento de terceiros, os quais se tornarão accionistas dessa empresa. Podem emitir novas acções no mercado accionista de forma a atrair investidores externos que garantam a sustentabilidade do negócio. As acções possuem diversas caracteristicas e modalidades e fazem com que o capital da empresa seja partilhado por todos os seus accionistas, tendo em conta a proporção por eles adquirida individualmente. Esta dissertação investiga a dinâmica de compra e de venda das acções no mercado bolsista, os factores que determinam o seu preço, assim como os modelos que permitem a avaliação das mesmas e a inferência da taxa de retorno esperada por um investidor. A avaliação das acções é o tema de maior importância para esta análise, mais concretamente, a determinação e previsão do preço, e não apenas o preço propriamente dito, pois este é facultado diáriamente por vários jornais e também na internet. Perante o estudo da determinação de preços de uma acção num horizonte temporal, um investidor pode inferir se as suas acções estão a ser avaliadas sob um preço justo, e mais importante, pode apurar a sua previsão consoante dados e análises de factores. Outro ponto importante abordado nesta investigação tem que ver com a possibilidade das empresas em conhecer o modo como o mercado faz a sua avaliação a fim de tomar decisões certas acerca do orçamento de capital. Apenas se deve julgar a atractividade de um negócio se se souber como são avaliadas as acções. Nos mercados financeiros existe a tendência, por parte dos agentes económicos, de relacionarem o preço com o valor dos títulos financeiros. As decisões para a transacção de títulos financeiros são tomadas segundo a sua comparação. O preço ou cotação de mercado é formado em mercados organizados, pelo que depende das regras de funcionamento do mercado, tais como, os mínimos para transacção ou a variação máxima e mínima permitida. Estão associados a uma transação dependendo assim da procura e oferta dos títulos e incorporam ainda os custos de transacção. A ideia subjacente ao modelo Capital Asset Pricing Model é a de que, os investidores esperam uma recompensa pela preocupação dos investimentos realizados com risco ou com um retorno incerto. Quando se investe em títulos com risco, espera-se um retorno extra (comparando com os Bilhetes do Tesouro sem risco, recebe-se apenas os juros) ou um prémio de risco pela preocupação. A incerteza no retorno dos títulos provem de duas fontes, nomeadamente os factores macroeconómicos, pode-se chamar também, um factor comum, e os factores específicos inerentes à actividade da empresa. O facto comum é assumido como tendo um valor esperado zero pois é medido por nova informação respeitante à macroeconomia. O modelo assume duas ideias fundamentais: em primeiro lugar, existe consenso em relação ao facto dos investidores exigirem um retorno adicional por correrem riscos, e em segundo lugar, os investidores preocupam-se geralmente com o risco de mercado geral que não pode ser eliminado através de diversificação da carteira de investimentos. Este modelo pode ser bastante eficaz pois apenas considera um único factor para o cálculo da rendibilidade esperada de um título financeiro, que é a volatilidade do mercado no geral, a qual pode ser estudada. Ao contrário dos modelos multifactoriais, que incluem vários factores macroeconómicos tornando o objectivo da análise pouco intuitivo e complexo. Existem vários modelos para avaliação dos títulos de uma empresa cotada em bolsa de valores, geralmente estes modelos utilizam taxas de juro sem risco para equilibrar carteiras diversificadas, embora seja necessário analisar o retorno de um título ou carteira sob a influência de diversas variáveis macroeconómicas. Por exemplo outro modelo aplicado neste dissertação é o modelo Arbitrage Pricing Theory que perante o seu resultado comparado com o primeiro modelo, se pode definir qual dos modelos tem uma aplicação mais conclusiva para o mercado accionista português. Este modelo de avaliação por arbitragem estabelece uma relação linear entre o excedente do retorno esperado dos activos face à taxa de juro certa (sem risco) e um conjunto de variáveis. Pressupõe que a taxa de rentabilidade de um activo com risco é uma função linear de um conjunto de factores comuns a todos os activos financeiros. Tem como ideia subjacente, a constituição de uma carteira de não arbitragem, ou seja, uma carteira que não envolve qualquer risco (sistemático ou específico) e não requer investimento inicial pois a venda de certos activos gera fundos para adquirir novos. A metodologia implementada abrange o mercado financeiro e modelos possíveis para esta questão. Para responder às hipóteses de investigação efectuou-se a aplicação efectiva do modelo CAPM e do modelo APT, com a captação de dados oficiais em instituições financeiras e na Bolsa de Valores NYSE Euronext Lisbon. Considerou-se um período temporal num passado próximo de forma a poder obter-se conclusões concretas e indicadores precisos para a sua implementação e desenvolvimento no futuro. A principal conclusão desta dissertação relaciona-se com o facto de não se verificar a total validação da aplicação dos modelos, contudo o modelo CAPM é mais conclusivo do que o modelo APT, pois pode-se afirmar que tem aplicação prática em empresas que se conheça à priori a sua capitalização bolsista e beta anual. Por exemplo, aos títulos financeiros de empresas com capitalizações bolsistas inferiores a cinco mil milhões de euros e com um beta anual inferior a 1 poderá aplicar-se o modelo, assim como a títulos de empresas com capitalizações bolsistas superiores a dez mil milhões de euros e beta anual superior 1,5. Os sectores da Banca e do Papel também poderão ter potencial de aplicação do modelo.

Insights from Native American Veterans on Developing a Patient-Centered, Integrative Model for Mental Health Services

Thesis (Master's)--University of Washington, 2016-06

Seismically-Induced Rock-Slope Failure: Numerical Investigation using the Bonded Particle Model

Thesis (Ph.D.)--University of Washington, 2016-06

Solution of the dual reflection equation for A(n-1)((1)) solid-on-solid model

We obtain a diagonal solution of the dual reflection equation for the elliptic A(n-1)((1)) solid-on-solid model. The isomorphism between the solutions of the reflection equation and its dual is studied. (C) 2004 American Institute of Physics.

Application of a coupled ground-surface water flow model to simulate periodic groundwater flow influenced by a sloping boundary, capillarity and vertical flows

Theoretical developments as well as field and laboratory data have shown the influence of the capillary fringe on water table fluctuations to increase with the fluctuation frequency. The numerical solution of a full, partially saturated flow equation can be computationally expensive. In this paper, the influence of the capillary fringe on water table fluctuations is simplified through its parameterisation into the storage coefficient of a fully-saturated groundwater flow model using the complex effective porosity concept [Nielsen, P., Perrochet, P., 2000. Water table dynamics under capillary fringes: experiments and modelling. Advances in Water Resources 23 (1), 503-515; Nielsen, P., Perrochet, P., 2000. ERRATA: water table dynamics under capillary fringes: experiments and modelling (Advances in Water Resources 23 (2000) 503-515). Advances in Water Resources 23, 907-908]. The model is applied to sand flume observations of periodic water table fluctuations induced by simple harmonic forcing across a sloping boundary, analogous to many beach groundwater systems. While not providing information on the moisture distribution within the aquifer, this approach can reasonably predict the water table fluctuations in response to periodic forcing across a sloping boundary. Furthermore, he coupled ground-surface water model accurately predicts the extent of the seepage face formed at the sloping boundary. (C) 2005 Elsevier Ltd. All rights reserved.

Efficient accommodation of local minima in watershed model calibration

The Gauss-Marquardt-Levenberg (GML) method of computer-based parameter estimation, in common with other gradient-based approaches, suffers from the drawback that it may become trapped in local objective function minima, and thus report optimized parameter values that are not, in fact, optimized at all. This can seriously degrade its utility in the calibration of watershed models where local optima abound. Nevertheless, the method also has advantages, chief among these being its model-run efficiency, and its ability to report useful information on parameter sensitivities and covariances as a by-product of its use. It is also easily adapted to maintain this efficiency in the face of potential numerical problems (that adversely affect all parameter estimation methodologies) caused by parameter insensitivity and/or parameter correlation. The present paper presents two algorithmic enhancements to the GML method that retain its strengths, but which overcome its weaknesses in the face of local optima. Using the first of these methods an intelligent search for better parameter sets is conducted in parameter subspaces of decreasing dimensionality when progress of the parameter estimation process is slowed either by numerical instability incurred through problem ill-posedness, or when a local objective function minimum is encountered. The second methodology minimizes the chance of successive GML parameter estimation runs finding the same objective function minimum by starting successive runs at points that are maximally removed from previous parameter trajectories. As well as enhancing the ability of a GML-based method to find the global objective function minimum, the latter technique can also be used to find the locations of many non-global optima (should they exist) in parameter space. This can provide a useful means of inquiring into the well-posedness of a parameter estimation problem, and for detecting the presence of bimodal parameter and predictive probability distributions. The new methodologies are demonstrated by calibrating a Hydrological Simulation Program-FORTRAN (HSPF) model against a time series of daily flows. Comparison with the SCE-UA method in this calibration context demonstrates a high level of comparative model run efficiency for the new method. (c) 2006 Elsevier B.V. All rights reserved.

Beach face and berm morphodynamics fronting a coastal lagoon

This study documents two different modes of berm development: (I) vertical growth at spring tides or following significant beach cut due to substantial swash overtopping, and (2) horizontal progradation at neap tides through the formation of a proto-berm located lower and further seaward of the principal berm. Concurrent high-frequency measurements of bed elevation and the associated wave runup distribution reveal the details of each of these berm growth modes. In mode I sediment is eroded from the inner surf and lower swash zone where swash interactions are prevalent. The net transport of this sediment is landward only, resulting in accretion onto the upper beach face and over the berm crest. The final outcome is a steepening of the beach face gradient, a change in the profile shape towards concave and rapid vertical and horizontal growth of the berm. In mode 2 sediment is eroded from the lower two-thirds of the active swash zone during the rising tide and is transported both landward and seaward. On the falling tide sediment is eroded from the inner surf and transported landward to backfill the zone eroded on the rising tide. The net result is relatively slow steepening of the beach face, a change of the profile shape towards convex, and horizontal progradation through the formation of a neap berm. The primary factor determining which mode of berm growth occurs is the presence or absence of swash overtopping at the time of sediment accumulation on the beach face. This depends on the current phase of the spring-neap tide cycle, the wave runup height (and indirectly offshore wave conditions) and the height of the pre-existing berm. A conceptual model for berm morphodynamics is presented, based on sediment transport shape functions measured during the two modes of berm growth. (c) 2006 Elsevier B.V. All rights reserved.

The planning and management of health for development:a model for Zimbabwe

In this thesis, I view the historical background of Zimbabwe to show the patterns of traditional life that existed prior to settlerism. The form, nature, pace and impact of settlerism and colonialism up to the time of independence are also discussed to show how they affected the health of the population and the pace of development of the country. The political, social and economic underdevelopment of the African people that occurred in Zimbabwe prior to independence was a result of deliberate, politically motivated and controlled policy initiatives. These led to inequatable, inadequate, inappropriate and inaccessible health care provision. It is submitted that since it was the politics that determined the pace of underdevelopment, it must be the politics that must be at the forefront of the development strategy adopted. In the face of the amed conflict that existed in Zimbabwe, existing frameworks of analyses are shown to be inadequate for planning purposes because of their inability to provide indications about the stability of future outcomes. The Metagame technique of analysis of options is proposed as a methology that can be applied in such situations. It rejects deterministic predicative models as misleading and advocates an interactive model based on objective and subjective valuation of human behaviour. In conclusion, the search for stable outcomes rather than optimal and best solutions strategies is advocated in decision making in organisations of all sizes.

Self-calibrated, multi-spectral photometric stereo for 3D face capture

This paper addresses the problem of obtaining 3d detailed reconstructions of human faces in real-time and with inexpensive hardware. We present an algorithm based on a monocular multi-spectral photometric-stereo setup. This system is known to capture high-detailed deforming 3d surfaces at high frame rates and without having to use any expensive hardware or synchronized light stage. However, the main challenge of such a setup is the calibration stage, which depends on the lights setup and how they interact with the specific material being captured, in this case, human faces. For this purpose we develop a self-calibration technique where the person being captured is asked to perform a rigid motion in front of the camera, maintaining a neutral expression. Rigidity constrains are then used to compute the head's motion with a structure-from-motion algorithm. Once the motion is obtained, a multi-view stereo algorithm reconstructs a coarse 3d model of the face. This coarse model is then used to estimate the lighting parameters with a stratified approach: In the first step we use a RANSAC search to identify purely diffuse points on the face and to simultaneously estimate this diffuse reflectance model. In the second step we apply non-linear optimization to fit a non-Lambertian reflectance model to the outliers of the previous step. The calibration procedure is validated with synthetic and real data.

Enhancing the performance of intelligent control systems in the face of higher levels of complexity and uncertainty

Modern advances in technology have led to more complex manufacturing processes whose success centres on the ability to control these processes with a very high level of accuracy. Plant complexity inevitably leads to poor models that exhibit a high degree of parametric or functional uncertainty. The situation becomes even more complex if the plant to be controlled is characterised by a multivalued function or even if it exhibits a number of modes of behaviour during its operation. Since an intelligent controller is expected to operate and guarantee the best performance where complexity and uncertainty coexist and interact, control engineers and theorists have recently developed new control techniques under the framework of intelligent control to enhance the performance of the controller for more complex and uncertain plants. These techniques are based on incorporating model uncertainty. The newly developed control algorithms for incorporating model uncertainty are proven to give more accurate control results under uncertain conditions. In this paper, we survey some approaches that appear to be promising for enhancing the performance of intelligent control systems in the face of higher levels of complexity and uncertainty.

Results of analysis and model simulation of the bed profiles

Bedforms such as dunes and ripples are ubiquitous in rivers and coastal seas, and commonly described as triangular shapes from which height and length are calculated to estimate hydrodynamic and sediment dynamic parameters. Natural bedforms, however, present a far more complicated morphology; the difference between natural bedform shape and the often assumed triangular shape is usually neglected, and how this may affect the flow is unknown. This study investigates the shapes of natural bedforms and how they influence flow and shear stress, based on four datasets extracted from earlier studies on two rivers (the Rio Paraná in Argentina, and the Lower Rhine in The Netherlands). The most commonly occurring morphological elements are a sinusoidal stoss side made of one segment and a lee side made of two segments, a gently sloping upper lee side and a relatively steep (6 to 21°) slip face. A non-hydrostatic numerical model, set up using Delft3D, served to simulate the flow over fixed bedforms with various morphologies derived from the identified morphological elements. Both shear stress and turbulence increase with increasing slip face angle and are only marginally affected by the dimensions and positions of the upper and lower lee side. The average slip face angle determined from the bed profiles is 14°, over which there is no permanent flow separation. Shear stress and turbulence above natural bedforms are higher than above a flat bed but much lower than over the often assumed 30° lee side angle.

A framework for investigating the use of face features to identify spontaneous emotions

Emotion-based analysis has raised a lot of interest, particularly in areas such as forensics, medicine, music, psychology, and human-machine interface. Following this trend, the use of facial analysis (either automatic or human-based) is the most common subject to be investigated once this type of data can easily be collected and is well accepted in the literature as a metric for inference of emotional states. Despite this popularity, due to several constraints found in real world scenarios (e.g. lightning, complex backgrounds, facial hair and so on), automatically obtaining affective information from face accurately is a very challenging accomplishment. This work presents a framework which aims to analyse emotional experiences through naturally generated facial expressions. Our main contribution is a new 4-dimensional model to describe emotional experiences in terms of appraisal, facial expressions, mood, and subjective experiences. In addition, we present an experiment using a new protocol proposed to obtain spontaneous emotional reactions. The results have suggested that the initial emotional state described by the participants of the experiment was different from that described after the exposure to the eliciting stimulus, thus showing that the used stimuli were capable of inducing the expected emotional states in most individuals. Moreover, our results pointed out that spontaneous facial reactions to emotions are very different from those in prototypic expressions due to the lack of expressiveness in the latter.

A dinâmica da taxa de câmbio no Brasil face às operações swap (2002-2015)

This dissertation investigates, based on the Post-Keynesian theory and on its concept of monetary economy of production, the exchange rate behavior of the Brazilian Real in the presence of Brazilian Central Bank's interventions by means of the so-called swap transactions over 2002-2015. Initially, the work analyzes the essential properties of an open monetary economy of production and, thereafter, it presents the basic propositions of the Post-Keynesian view on the exchange rate determination, highlighting the properties of foreign exchange markets and the peculiarities of the Brazilian position into the international monetary and financial system. The research, thereby, accounts for the various segments of the Brazilian foreign exchange market. To accomplish its purpose, we first do a literature review of the Post-Keynesian literature about the topic. Then, we undertake empirical exams of the exchange rate determination using two statistical methods. On the one hand, to measure the volatility of exchange rate, we estimate Auto-regressive Conditional Heteroscedastic (ARCH) and Generalized Auto-regressive Conditional Heteroscedastic (GARCH) models. On the other hand, to measure the variance of the exchange rate in relation to real, financial variables, and the swaps, we estimate a Vector Auto-regression (VAR) model. Both experiments are performed for the nominal and real effective exchange rates. The results show that the swaps respond to exchange rate movements, trying to offset its volatility. This reveals that the exchange rate is, at least in a certain magnitude, sensitive to swaps transactions conducted by the Central Bank. In addition, another empirical result is that the real effective exchange rate responds more to the swaps auctions than the nominal rate.

Les stratégies syndicales face aux restructurations d’entreprises : une étude comparative des contre-pouvoirs syndicaux dans le secteur des équipementiers automobiles en France et au Canada

Cette thèse tente de comprendre l’impact des restructurations des entreprises multinationales sur les stratégies syndicales. Les acteurs syndicaux locaux sont-ils déterminés par l’appartenance à des régimes nationaux et à des contingences organisationnelles ou peuvent-ils influencer des décisions objectives comme les restructurations ? Cette recherche s’insère dans une problématique large qui fait la jonction entre la mondialisation économique sur une base continentale, la réorganisation productive des entreprises multinationales et l’action syndicale. Au plan théorique, nous confrontons trois grandes approches analytiques, à savoir : le néo-institutionnalisme et les structures d’opportunités ; l’économie politique critique et la question du pouvoir syndical ; la géographie économique critique mettant de l’avant les contingences, l’encastrement et l’espace concurrentiel. Sur la base de ces trois familles, nous présentons un modèle d’analyse multidisciplinaire. Au plan méthodologique, cette thèse est structurée autour de quatre études de cas locales qui ont subi des menaces de restructurations. Cette collecte a été effectuée dans deux pays (la France et le Canada) et dans un secteur particulier (les équipementiers automobiles). Trois sources qualitatives forment le cœur empirique de cette thèse : des statistiques descriptives, des documents de sources secondaires et des entretiens semi-dirigés (44), principalement avec des acteurs syndicaux. L’analyse intra et inter régime national éclaire plusieurs aspects de la question des stratégies syndicales en contexte de restructurations. Les principales contributions de cette thèse touchent : 1. l’impact des facteurs relationnels et des ressources de pouvoir développées par les syndicats locaux sur les structures d’opportunités institutionnelles; 2. l’importance des aspects « cognitifs » et d’envisager le pouvoir de manière multi-niveaux; 3. l’importance de l’encastrement social et des dynamiques relationnelles entre syndicats et patronats; 4. l’influence de la concurrence internationale/nationale/régionale/locale dans le secteur des équipementiers automobiles; et 5. l’importance des arbitrages et des relations entre les acteurs de l’entreprise par rapport à la théorie de la contingence pour comprendre les marges structurelles des syndicats locaux. Notre recherche invite les acteurs sociaux à repenser leur action dans le cadre des restructurations. En particulier, les syndicats locaux se doivent d’explorer de nouveaux répertoires stratégiques pour répondre aux nombreux défis que posent le changement économique et les restructurations.

Atitudes e práticas de professores do ensino secundário face à inclusão de alunos com Currículo Específico Individual

O conceito de Escola Inclusiva reforça o direito de todos os alunos frequentarem o mesmo tipo de ensino, preconizando um modelo de atendimento adequado a cada um. Com a publicação de nova legislação entre 2009 e 2012, a escola, ao nível do ensino secundário, encontra-se perante o repto de responder a um grupo de alunos cada vez mais heterogéneo, nomeadamente a alunos com Currículo Específico Individual (CEI). O que implica a existência de novos desafios para as escolas e para os professores. Este estudo essencialmente quantitativo, visa identificar e descrever as atitudes e práticas de professores do ensino secundário, relativamente à inclusão de alunos com CEI na sala de aula, assim como identificar e descrever as dificuldades sentidas pelos mesmos. No que diz respeito à recolha da informação, recorreu-se à opção do inquérito por questionário a 94 professores do ensino secundário. Os resultados obtidos mostram-nos que, no geral, os professores revelam atitudes e práticas favoráveis à inclusão dos alunos com CEI na sala de aula, no entanto, quando se aprofunda a questão, nos itens de resposta descritiva, as atitudes e práticas não são tão favoráveis como as perguntas fechadas pareciam revelar. Concluiu-se que as variáveis “género” e “idade” exercem influência sobre as atitudes, enquanto o “grau académico” e a “experiência profissional a lecionar turmas com alunos com CEI” influenciam as práticas pedagógicas dos professores inquiridos. Por sua vez, a “formação na área da Educação Especial (EE)” influência de forma significativa as atitudes dos professores inquiridos, bem como de forma menos significativa as práticas. Os professores referem como principais dificuldades a existência de um número elevado de alunos por turma, a falta de equipamento pedagógico/didático adequado, a falta de formação em EE e de técnicos, bem como dificuldades na elaboração de um Currículo Específico Individual e na gestão do currículo. As dificuldades sentidas são influenciadas pelas variáveis “funções desempenhadas” e “formação na área da EE”. Sendo esta última essencial para a superação das dificuldades sentidas.