NCRF 14 – concentrações de atividades empresariais e os impactos da sua aplicação: estudo de caso no setor empresarial

Projeto apresentado obtenção do Grau de Mestre em Auditoria Orientada pela Professora Doutora Alcina Augusta Sena Dias

Teaching accounting and management through business simulation:

Everyday accounting and management teachers face the challenge of creating learning environments that motivate students. This chapter describes the Business Simulation (BS) experience that has taken place at the Polytechnic Institute of Porto, Institute of Accounting and Administration (IPP/ISCAP). The chapter presents students’ perceptions about the course and the teaching/learning approach. The results show that pedagogical methods used (competency-oriented), generic competencies (cooperation and group work), and interpersonal skills (organisational and communication skills) are relevant for future accounting professionals. In addition, positive remarks and possible constraints based on observation, staff meetings, and past research are reported. The chapter concludes with some recommendations from the project implementation.

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.

Teaching accounting and management through business simulation

Everyday accounting and management teachers face the challenge of creating learning environments that motivate students. This chapter describes the Business Simulation (BS) experience that has taken place at the Polytechnic Institute of Porto, Institute of Accounting and Administration (IPP/ISCAP). The chapter presents students’ perceptions about the course and the teaching/learning approach. The results show that pedagogical methods used (competency-oriented), generic competencies (cooperation and group work), and interpersonal skills (organisational and communication skills) are relevant for future accounting professionals. In addition, positive remarks and possible constraints based on observation, staff meetings, and past research are reported. The chapter concludes with some recommendations from the project implementation

A demonstração dos fluxos de caixa nas instituições particulares de solidariedade social

Dada a atual conjuntura económica internacional, a Economia Social tem vindo a aumentar consideravelmente a sua importância. Desta forma, torna-se importante conhecer o normativo contabilístico que é aplicado em Portugal. No caso concreto das Entidades do Setor Não Lucrativo, surgiu a necessidade de se encontrarem formas mais eficientes de gerir os recursos para dar resposta às necessidades sociais emergentes, e por isso, estas entidades foram, em 2011, enquadradas num novo contexto legal. O sucesso, o crescimento e a sobrevivência de uma entidade dependem da sua capacidade para gerar fluxos de caixa e/ou obter os recursos financeiros necessários ao desenvolvimento da sua atividade. Neste sentido, é a Demonstração de Fluxos de Caixa (DFC) que fornece aos seus utilizadores uma base para avaliar a capacidade da entidade gerar e utilizar os seus fluxos de caixa. Esta dissertação aborda uma área de estudo, ainda pouco investigada, a Economia Social e, em particular, as Instituições Particulares de Solidariedade Social (IPSS), sendo notório que o interesse por esta área tem vindo a acentuar-se nos últimos anos. Assim, fazendo o respetivo enquadramento teórico e normativo, avalia-se a importância da DFC, mais especificamente, a importância do relato dos fluxos nas IPSS. Para a realização desta dissertação, foi feita a análise em profundidade do relato da DFC nas IPSS, recorrendo à metodologia qualitativa, nomeadamente, à investigação descritiva, aos métodos e técnicas de recolha de dados, e, por último, à análise de conteúdo para tratar os dados qualitativos, tais como, as entrevistas. Para tratar alguns dados estatísticos foi utilizado o Microsoft Excel do Microsoft Office. A presente dissertação demonstra que o relato dos fluxos da DFC é extremamente importante, pois proporciona informação financeira que é importante no processo de tomada de decisão e na avaliação do desempenho financeiro das IPSS.

Pensions accounting and value relevance

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

Policies, policy-makers and financial flows: An empirical examination

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Bank-firm relationships and financial crisis

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

Assessing the production of jet mix columns using alkali activated waste based on mechanical and financial performance and CO2 (eq) emissions

Recent research has proved the potential of alkaline activated fly-ash for soil stabilisation. However, such studies have not focused on the link between financial, mechanical and environmental aspects of this solution, but only on their absolute mechanical properties. The present paper characterises the mechanical behaviour of a large spectrum of activator-ash-soil combinations used to build jet mixing columns, analysing also the cost and CO2 (eq) emissions. The concern with these two vectors forced a decrease in the quantity of stabilising agent added to the soil, relatively to previous research, and the effects of such low quantities have not yet been published. However, the results clearly showed a significant improve in strength, still well above the average values expected when improving the stressstrain behaviour of a weak soil. Uniaxial compressive strength tests were used to assess the effects of the fly-ash percentage, the alkalieash ratio and the water content. The carbon calculator recently developed by the European Federation of Foundation Contractors and the Deep Foundations Institute was used to quantify the CO2 (eq) emissions associated with this technique. The financial cost was estimated based on the experience of a major Portuguese contractor. For comparison purposes, soil cement mixtures were also analysed, using similar conditions and tools used for the soil-ash analysis. Results showed that the cement and ash solutions are very similar in terms of overall performance, with some advantage of the former regarding financial cost, and a significant advantage of the latter regarding the CO2 (eq) emissions. This new grout, although it is in an embryonic stage, it has the potential for broader developments in the field.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty

The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our setting the shifts are governed by a three-state Markov switching model with constant transition probabilities. The magnitude of the link between cyclical uncertainty and investment is quantified using simulations of the model. The chief implication of the model is that recessions and financial turmoil are important catalysts for waiting. In other words, our model shows that macroeconomic risk acts as an important deterrent to investments.

Time Horizons And Smoothing In The Bank Of England’s Reaction Function: The Contrast Between The Standard GMM And Ex Ante Forecast Approaches

The monetary policy reaction function of the Bank of England is estimated by the standard GMM approach and the ex-ante forecast method developed by Goodhart (2005), with particular attention to the horizons for inflation and output at which each approach gives the best fit. The horizons for the ex-ante approach are much closer to what is implied by the Bank’s view of the transmission mechanism, while the GMM approach produces an implausibly slow adjustment of the interest rate, and suffers from a weak instruments problem. These findings suggest a strong preference for the ex-ante approach.

Time Horizons And Smoothing In The Bank Of England’s Reaction Function: The Contrast Between The Standard GMM And Ex Ante Forecast Approaches

The monetary policy reaction function of the Bank of England is estimated by the standard GMM approach and the ex-ante forecast method developed by Goodhart (2005), with particular attention to the horizons for inflation and output at which each approach gives the best fit. The horizons for the ex-ante approach are much closer to what is implied by the Bank’s view of the transmission mechanism, while the GMM approach produces an implausibly slow adjustment of the interest rate, and suffers from a weak instruments problem. These findings suggest a strong preference for the ex-ante approach.

Nominal Stability and Financial Globalization

Over the past four decades, advanced economies experienced a large growth in gross external portfolio positions. This phenomenon has been described as Financial Globalization. Over roughly the same time frame, most of these countries also saw a substantial fall in the level and variability of inflation. Many economists have conjectured that financial globalization contributed to the improved performance in the level and predictability of inflation. In this paper, we explore the causal link running in the opposite direction. We show that a monetary policy rule which reduces inflation variability leads to an increase in the size of gross external positions, both in equity and bond portfolios. This appears to be a robust prediction of open economy macro models with endogenous portfolio choice. It holds across different modeling specifications and parameterizations. We also present preliminary empirical evidence which shows a negative relationship between inflation volatility and the size of gross external positions.

Firm survival, uncertainty and financial frictions: Is there a financial uncertainty accelerator?

Using a large panel of unquoted UK over the period 2000-09, we examine the impact of firm-specific uncertainty on corporate failures. In this context we also distinguish between firms which are likely to be more or less dependant on bank finance as well as public and non-public companies. Our results document a significant effect of uncertainty on firm survival. This link is found to be more potent during the recent financial crisis compared with tranquil periods. We also uncover significant firm-level heterogeneity since the survival chance of bank-dependent and non-public firms are most affected by changes in uncertainty, especially during the recent global financial crisis.