Os fatores de risco da rendibilidade das ações: análise e evidência empírica em países da Zona Euro

Tese de Doutoramento em Ciências Empresariais.

Avaliação dos impactos de movimentos inesperados nas variáveis macroeconômicas no retorno setorial

O objetivo dessa dissertação é analisar o impacto dos movimentos inesperados de variáveis macroeconômicas nos retornos das ações de empresas de diferentes setores. As variáveis macroeconômicas estudadas serão: produto, juros, inflação e preço de commodities. Estudam-se alguns modelos através de diferentes técnicas de regressão para se chegar àquele que tem a melhor especificação. Com o objetivo de melhorar o poder de explicação dos modelos são utilizados os três fatores de Fama e French como variáveis explicativas e outro modelo que além dos fatores de Fama e French incluiu também momentum. Procura-se analisar a magnitude do impacto dos movimentos inesperados das variáveis macroeconômicas e suas relevâncias estatísticas a cada setor.

Neural networks training using the constructivism paradigms

The Backpropagation Algorithm (BA) is the standard method for training multilayer Artificial Neural Networks (ANN), although it converges very slowly and can stop in a local minimum. We present a new method for neural network training using the BA inspired on constructivism, an alphabetization method proposed by Emilia Ferreiro based on Piaget philosophy. Simulation results show that the proposed configuration usually obtains a lower final mean square error, when compared with the standard BA and with the BA with momentum factor.

Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

Measurements of the nuclear modification factor for jets in Pb+Pb collisions at sNN =2.76TeV with the ATLAS detector

Measurements of inclusive jet production are performed in pp and Pb+Pb collisions at sNN−−−√=2.76 TeV with the ATLAS detector at the LHC, corresponding to integrated luminosities of 4.0 pb−1 and 0.14 nb−1 , respectively. The jets are identified with the anti-kt algorithm with R=0.4, and the spectra are measured over the kinematic range of jet transverse momentum 32factor, RAA, is evaluated and jets are found to be suppressed by approximately a factor of two in central collisions compared to pp collisions. The RAA shows a slight increase with pT and no significant variation with rapidity.

Momentum-anomalia ja siihen perustuvat sijoitusstrategiat Yhdysvaltojen osakemarkkinoilla

Tutkielmassa lähestytään osakemarkkinoilla havaittua poikkeavuutta, momentum-anomaliaa, sekä sen ilmenemistä ja selittyvyyttä Yhdysvaltojen osakemarkkinoiden olosuhteissa. Lisäksi tutkielma sisältää lyhyen katsauksen kansainvälisesti ilmenevään momentumiin kuin myös sen muodostumiseen vaikuttaviin tekijöihin. Työn tutkimusongelmana on, selittyykö Yhdysvaltojen osakemarkkinoilla ilmenevä momentum-anomalia selkeämmin behaviorististen vai makrotaloudellisten riskitekijöiden muodostamien mallien avulla. Kuten aiempi tutkimus on havainnut, myös tässä tutkielmassa oletuksena on, että behavioristis-perusteiset tekijät omaavat suuremman selitysvoiman, kuin makrotaloudellisten riskitekijöiden -perusteiset mallit. Yksittäisiin tekijöihin keskittymisen ohella on tarkoitus havainnoida momentum-anomalian ilmentymisen riippuvuus markkinasuhdanteista, jolloin syntyviä momentumin tuottoja tarkastellaan sekä korkea-, että matalasuhdannemarkkinoiden olosuhteissa.

Aglomerado estelar M67: processos de diluição e a evolução do Momentum Angular

Galactic stellar clusters have a great variety of physical properties that make valuable probes of stellar and galactic chemical evolution. Current studies show a discrepancy between the standard evolutionary models and observations, mainly considering the level of mixing and convective dilution of light elements, as well as to the evolution of the angular momentum. In order to better settle some of these properties, we present a detailed spectroscopic analysis of 28 evolved stars, from the turn-off to the RGB, belonging to the stellar open cluster M67. The observations were performed using UVES+FLAMES at VLT/UT2. We determined stellar parameters and metallicity from LTE analysis of Fe I and Fe II lines between 420 1100 nm. The Li abundance was obtained using the line at 6707.78 ˚A, for the whole sample of stars. The Li abundances of evolved stars of M67 present a gradual decreasing when decreasing the effective temperature. The Li dilution factor for giant stars of M67 with Teff ∼ 4350K is at least 2300 times greater than that predicted by standard theory for single field giant stars. The Li abundance as a function of rotation exhibits a good correlation for evolved stars of M67, with a much smaller dispersion than the field evolved stars. The mass and the age seem to be some of the parameters that influence this connection. We discovered a Li-rich subgiant star in M67 (S1242). It is member of a spectroscopic binary system with a high eccentricity. Its Li abundance is 2.7, the highest Li content ever measured for an evolved star in M67. Two possibilities could explain this anomalous Li content: (i) preservation of the Li at the post turn off stage due to tidal effects, or (ii) an efficient dredge-up of Li, hidden below the convective zone by atomic diffusion occurring in the post turn off stage. We also study the evolution of the angular momentum for the evolved stars in M67. The results are in agreement with previous studies dedicated to evolved stars of this cluster, where stars in the same region of the CM-diagram have quite similar rotations, but with values that indicate an extra breaking along the main sequence. Finally, we analize the distributions of the average rotational velocity and of the average Li abundance as a function of age. With relation to the average Li abundances, stars in clusters and field stars present the same type of exponencial decay law t−β. Such decay is observed for ages lesser than 2 Gyr. From this age, is observed that the average Li abundance remain constant, differently of the one observed in the rotation age connection, where the average rotational velocity decreases slowly with age

On high Q(2) behavior of the pion form factor for transitions gamma*gamma -> pi(0) and gamma*gamma* -> pi(0) within the nonlocal quark-pion model

The behavior of the transition pion form factor for processes gamma (*)gamma --> pi(0) and gamma (*)gamma (*) --> pi(0) at large values of space-like photon momenta is estimated within the nonlocal covariant quark-pion model. It is shown that, in general, the coefficient of the leading asymptotic term depends dynamically on the ratio of the constituent quark mass and the average virtuality of quarks in the vacuum and kinematically on the ratio of photon virtualities. The kinematic dependence of the transition form factor allows us to obtain the relation between the pion light-cone distribution amplitude and the quark-pion vertex function. The dynamic dependence indicates that the transition form factor gamma (*)gamma -->, pi(0) at high momentum transfers is very sensitive to the nonlocality size of nonperturbative fluctuations in the QCD vacuum. (C) 2000 Elsevier B.V. B.V. All rights reserved.

Measurement of the shape of the boson-transverse momentum distribution in p(p)over-bar -> Z/gamma*-> e(+)e(-)+X events produced at root s=1.96 TeV

We present a measurement of the shape of the Z/gamma* boson transverse momentum (q(T)) distribution in p (p) over bar -> Z/gamma(*)-> e(+)e(-)+X events at a center-of-mass energy of 1.96 TeV using 0.98 fb(-1) of data collected with the D0 detector at the Fermilab Tevatron collider. The data are found to be consistent with the resummation prediction at low q(T), but above the perturbative QCD calculation in the region of q(T)> 30 GeV/c. Using events with q(T)< 30 GeV/c, we extract the value of g(2), one of the nonperturbative parameters for the resummation calculation. Data at large boson rapidity y are compared with the prediction of resummation and with alternative models that employ a resummed form factor with modifications in the small Bjorken x region of the proton wave function.

Finite-momentum condensate of magnetic excitons in a bilayer quantum Hall system

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Frame dependence of the pair contribution to the pion electromagnetic form factor in a light-front approach

The frame dependence of the pair-term contribution to the electromagnetic form factor of the pion is studied within the Light Front approach. A symmetric ansatz for the pion Bethe-Salpeter amplitude with a pseudo scalar coupling of the constituent to the pion field is used. In this model, the pair term vanishes for the Drell-Yan condition, while it is dominant for momentum transfer along the light-front direction.

Elastic scattering and the proton form factor

We use the QCD pomeron model proposed by Landshoff and Nachtmann to compute the differential and the total cross-sections for pp scattering in order to discuss a QCD-based approach to the proton form factor. This model is quite dependent on the experimental electromagnetic form factor, and it is not totally clear why this form factor gives good results even at moderate transferred momentum. We exchange the electromagnetic form factor by the asymptotic QCD proton form factor determined by Brodsky and Lepage (BL) plus a prescription for its low energy behavior dictated by the existence of a dynamically generated gluon mass. We fit the data with this QCD inspired form factor and a value for the dynamical gluon mass consistent with the ones determined in the literature. Our results also provide a determination of the proton wave function at the origin, which appears in the BL form factor.

Single-particle momentum distributions of Efimov states in mixed-species systems

We solve the three-body bound-state problem in three dimensions for mass imbalanced systems of two identical bosons and a third particle in the universal limit where the interactions are assumed to be of zero range. The system displays the Efimov effect and we use the momentum-space wave equation to derive formulas for the scaling factor of the Efimov spectrum for any mass ratio assuming either that two or three of the two-body subsystems have a bound state at zero energy. We consider the single-particle momentum distribution analytically and numerically and analyze the tail of the momentum distribution to obtain the three-body contact parameter. Our findings demonstrate that the functional form of the three-body contact term depends on the mass ratio, and we obtain an analytic expression for this behavior. To exemplify our results, we consider mixtures of lithium with either two caesium or rubidium atoms which are systems of current experimental interest. © 2013 American Physical Society.

Nuclear-modification factor for open-heavy-flavor production at forward rapidity in Cu plus Cu collisions at root s(NN)=200 GeV

Background: Heavy-flavor production in p + p collisions is a good test of perturbative-quantum-chromodynamics (pQCD) calculations. Modification of heavy-flavor production in heavy-ion collisions relative to binary-collision scaling from p + p results, quantified with the nuclear-modification factor (R-AA), provides information on both cold-and hot-nuclear-matter effects. Midrapidity heavy-flavor R-AA measurements at the Relativistic Heavy Ion Collider have challenged parton-energy-loss models and resulted in upper limits on the viscosity-entropy ratio that are near the quantum lower bound. Such measurements have not been made in the forward-rapidity region. Purpose: Determine transverse-momentum (p(T)) spectra and the corresponding R-AA for muons from heavy-flavor meson decay in p + p and Cu + Cu collisions at root s(NN) = 200 GeV and y = 1.65. Method: Results are obtained using the semileptonic decay of heavy-flavor mesons into negative muons. The PHENIX muon-arm spectrometers measure the p(T) spectra of inclusive muon candidates. Backgrounds, primarily due to light hadrons, are determined with a Monte Carlo calculation using a set of input hadron distributions tuned to match measured-hadron distributions in the same detector and statistically subtracted. Results: The charm-production cross section in p + p collisions at root s = 200 GeV, integrated over p(T) and in the rapidity range 1.4 < y < 1.9, is found to be d(sigma e (e) over bar)/dy = 0.139 +/- 0.029 (stat)(-0.058)(+0.051) (syst) mb. This result is consistent with a perturbative fixed-order-plus-next-to-leading-log calculation within scale uncertainties and is also consistent with expectations based on the corresponding midrapidity charm-production cross section measured by PHENIX. The R-AA for heavy-flavor muons in Cu + Cu collisions is measured in three centrality bins for 1 < p(T) < 4 GeV/c. Suppression relative to binary-collision scaling (R-AA < 1) increases with centrality. Conclusions: Within experimental and theoretical uncertainties, the measured charm yield in p + p collisions is consistent with state-of-the-art pQCD calculations. Suppression in central Cu + Cu collisions suggests the presence of significant cold-nuclear-matter effects and final-state energy loss.

Suppression of high transverse momentum D mesons in central Pb-Pb collisions at root s(NN)=2.76 TeV

The production of the prompt charm mesons D-0, D+, D*(+), and their antiparticles, was measured with the ALICE detector in Pb-Pb collisions at the LHC, at a centre-of-mass energy root s(NN) = 2.76 TeV per nucleon-nucleon collision. The p(t)-differential production yields in the range 2 < p(t) < 16 GeV/c at central rapidity, vertical bar y vertical bar < 0.5, were used to calculate the nuclear modification factor R-AA with respect to a proton-proton reference obtained from the cross section measured at root s = 7 TeV and scaled to root s = 2.76 TeV. For the three meson species, R-AA shows a suppression by a factor 3-4, for transverse momenta larger than 5 GeV/c in the 20% most central collisions. The suppression is reduced for peripheral collisions.