Investor sentiment and the cross-section of stock returns in the French stock market

Dissertação de mestrado em Finanças

Trapezoidal SOI FinFET analog parameters` dependence on cross-section shape

The trapezium is often a better approximation for the FinFET cross-section shape, rather than the design-intended rectangle. The frequent width variations along the vertical direction, caused by the etching process that is used for fin definition, may imply in inclined sidewalls and the inclination angles can vary in a significant range. These geometric variations may cause some important changes in the device electrical characteristics. This work analyzes the influence of the FinFET sidewall inclination angle on some relevant parameters for analog design, such as threshold voltage, output conductance, transconductance, intrinsic voltage gain (A V), gate capacitance and unit-gain frequency, through 3D numeric simulation. The intrinsic gain is affected by alterations in transconductance and output conductance. The results show that both parameters depend on the shape, but in different ways. Transconductance depends mainly on the sidewall inclination angle and the fixed average fin width, whereas the output conductance depends mainly on the average fin width and is weakly dependent on the sidewall inclination angle. The simulation results also show that higher voltage gains are obtained for smaller average fin widths with inclination angles that correspond to inverted trapeziums, i.e. for shapes where the channel width is larger at the top than at the transistor base because of the higher attained transconductance. When the channel top is thinner than the base, the transconductance degradation affects the intrinsic voltage gain. The total gate capacitances also present behavior dependent on the sidewall angle, with higher values for inverted trapezium shapes and, as a consequence, lower unit-gain frequencies.

Educational Attainment of Second-Generation Immigrants in Belgium: an Estimation of the Assimilation Degree of Immigrants Based on Cross Section Analysis.

Rapport de recherche

Predictability of stock market returns: Evidence from Eurozone's banking sectors

This paper analyzes the in-, and out-of sample, predictability of the stock market returns from Eurozone’s banking sectors, arising from bank-specific ratios and macroeconomic variables, using panel estimation techniques. In order to do that, I set an unbalanced panel of 116 banks returns, from April, 1991, to March, 2013, to constitute equal-weighted country-sorted portfolios representative of the Austrian, Belgian, Finish, French, German, Greek, Irish, Italian, Portuguese and Spanish banking sectors. I find that both earnings per share (EPS) and the ratio of total loans to total assets have in-sample predictive power over the portfolios’ monthly returns whereas, regarding the cross-section of annual returns, only EPS retain significant explanatory power. Nevertheless, the sign associated with the impact of EPS is contrarian to the results of past literature. When looking at inter-yearly horizon returns, I document in-sample predictive power arising from the ratios of provisions to net interest income, and non-interest income to net income. Regarding the out-of-sample performance of the proposed models, I find that these would only beat the portfolios’ historical mean on the month following the disclosure of year-end financial statements. Still, the evidence found is not statistically significant. Finally, in a last attempt to find significant evidence of predictability of monthly and annual returns, I use Fama and French 3-Factor and Carhart models to describe the cross-section of returns. Although in-sample the factors can significantly track Eurozone’s banking sectors’ stock market returns, they do not beat the portfolios’ historical mean when forecasting returns.

Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data

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

A look into the cross-section of industry stock returns

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

Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth?

This article analyzes empirically the main existing theories on income and population city growth: increasing returns to scale, locational fundamentals and random growth. To do this we implement a threshold nonlinearity test that extends standard linear growth regression models to a dataset on urban, climatological and macroeconomic variables on 1,175 U.S. cities. Our analysis reveals the existence of increasing returns when per-capita income levels are beyond $19; 264. Despite this, income growth is mostly explained by social and locational fundamentals. Population growth also exhibits two distinct equilibria determined by a threshold value of 116,300 inhabitants beyond which city population grows at a higher rate. Income and population growth do not go hand in hand, implying an optimal level of population beyond which income growth stagnates or deteriorates

Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Simplified models for cross-section stress demands on C-section purlins in uplift

The objective of this paper is to provide and verify simplified models that predict the longitudinal stresses that develop in C-section purlins in uplift. The paper begins with the simple case of flexural stress: where the force has to be applied at the shear center, or the section braced in both flanges. Restrictions on load application point and restraint of the flanges are removed until arriving at the more complex problem of bending when movement of the tension flange alone is restricted, as commonly found in purlin-sheeting systems. Winter`s model for predicting the longitudinal stresses developed due to direct torsion is reviewed, verified, and then extended to cover the case of a bending member with tension flange restraint. The developed longitudinal stresses from flexure and restrained torsion are used to assess the elastic stability behavior of typical purlin-sheeting systems. Finally, strength predictions of typical C-section purlins are provided for existing AISI methods and a newly proposed extension to the direct strength method that employs the predicted longitudinal stress distributions within the strength prediction. (C) 2009 Elsevier Ltd. All rights reserved.

Effects of temperature-dependent viscosity variation on entropy generation, heat and fluid flow through a porous-saturated duct of rectangular cross-section

Effect of temperature-dependent viscosity on fully developed forced convection in a duct of rectangular cross-section occupied by a fluid-saturated porous medium is investigated analytically. The Darcy flow model is applied and the viscosity-temperature relation is assumed to be an inverse-linear one. The case of uniform heat flux on the walls, i.e. the H boundary condition in the terminology of Kays and Crawford, is treated. For the case of a fluid whose viscosity decreases with temperature, it is found that the effect of the variation is to increase the Nusselt number for heated walls. Having found the velocity and the temperature distribution, the second law of thermodynamics is invoked to find the local and average entropy generation rate. Expressions for the entropy generation rate, the Bejan number, the heat transfer irreversibility, and the fluid flow irreversibility are presented in terms of the Brinkman number, the Péclet number, the viscosity variation number, the dimensionless wall heat flux, and the aspect ratio (width to height ratio). These expressions let a parametric study of the problem based on which it is observed that the entropy generated due to flow in a duct of square cross-section is more than those of rectangular counterparts while increasing the aspect ratio decreases the entropy generation rate similar to what previously reported for the clear flow case.

The role of an illiquidity factor in the Portuguese stock market

This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.

In situ measured cross section geometry of old timber structures and its influence on structural safety

Old timber structures may show significant variation in the cross section geometry along the same element, as a result of both construction methods and deterioration. As consequence, the definition of the geometric parameters in situ may be both time consuming and costly. This work presents the results of inspections carried out in different timber structures. Based on the obtained results, different simplified geometric models are proposed in order to efficiently model the geometry variations found. Probabilistic modelling techniques are also used to define safety parameters of existing timber structures, when subjected to dead and live loads, namely self-weight and wind actions. The parameters of the models have been defined as probabilistic variables, and safety of a selected case study was assessed using the Monte Carlo simulation technique. Assuming a target reliability index, a model was defined for both the residual cross section and the time dependent deterioration evolution. As a consequence, it was possible to compute probabilities of failure and reliability indices, as well as, time evolution deterioration curves for this structure. The results obtained provide a proposal for definition of the cross section geometric parameters of existing timber structures with different levels of decay, using a simplified probabilistic geometry model and considering a remaining capacity factor for the decayed areas. This model can be used for assessing the safety of the structure at present and for predicting future performance.

Measurement of the WW+WZ cross section and limits on anomalous triple gauge couplings using final states with one lepton, missing transverse momentum, and two jets with the ATLAS detector at s√=7 TeV

The production of a W boson decaying to eν or μν in association with a W or Z boson decaying to two jets is studied using 4.6 fb−1 of proton--proton collision data at s√=7 TeV recorded with the ATLAS detector at the LHC. The combined WW+WZ cross section is measured with a significance of 3.4σ and is found to be 68±7 (stat.)±19 (syst.) pb, in agreement with the Standard Model expectation of 61.1±2.2 pb. The distribution of the transverse momentum of the dijet system is used to set limits on anomalous contributions to the triple gauge coupling vertices and on parameters of an effective-field-theory model.

On the temperature dependence of the absorption cross section for black holes in string theory

We study the low frequency absorption cross section of spherically symmetric nonextremal d-dimensional black holes. In the presence of α′ corrections, this quantity must have an explicit dependence on the Hawking temperature of the form 1/TH. This property of the low frequency absorption cross section is shared by the D1-D5 system from type IIB superstring theory already at the classical level, without α′ corrections. We apply our formula to the simplest example, the classical d-dimensional Reissner-Nordstr¨om solution, checking that the obtained formula for the cross section has a smooth extremal limit. We also apply it for a d-dimensional Tangherlini-like solution with α′3 corrections.