Browsing by Issue Date, starting with "2016-10-27"
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- A fundamental approach to quantitative equity portfolio managementPublication . Jesus, João Pedro Vilas Boas de; Guedes, José Filipe Garcia CorrêaThe aim of the present paper is to determine the explanatory power of three fundamental factors in cross-sectional stock returns. In order to do so, these three factors were combined with the Carhart four factor model. Results revealed that from 2006 to 2015, the Size factor of Fama and French and the twelve month Momentum of Jegadeesh and Titman had no statistical power in explaining the cross-sectional stock returns. Conversely, the Value and Market Beta factors of Fama and French, and the fundamental factors EBITDA/Sales, CFO/Capex, Price/CFO have demonstrated to be all statistically significant in explaining the cross-sectional stock returns in the period in analysis. It was also found that portfolios constructed monthly, using a Long/Short strategy in which one buys the top quintile and sells the lowest quintile, are able to produce statistically significant abnormal returns, or alpha. The abnormal returns are determined using as control factors, or benchmark, the returns of the Fama and French three factor strategy in the European market. Furthermore, the Long/Short strategy is negatively and positively exposed to the Size portfolio and to the Value portfolio, respectively, of the Fama and French three factor model.
- The Portuguese water sector public private partnerships : risk allocation analysisPublication . Teixeira, Samuel Sousa de Moura; Reis, Ricardo César Ribeiro Ventura FerreiraThis thesis investigates the risk allocation of the Portuguese water sector Public Private Partnerships. Its objective is to identify the risk matrix of several Portuguese water sector PPPs and analyze whether or not those risks were properly allocated. Each risk category is compared with the literature view on efficient risk allocation. The conclusions are then tested on 3 case studies of ongoing Portuguese water PPPs. The findings reflect the Portuguese PPP experience history. The water sector PPPs are characterized by a lack of risk transfer to the private party particularly demand risk, which guarantees the private operator a business with very few risks and considerable high rates of return, resulting in a lack of Value for Money generation. Notwithstanding these findings, the water sector does present specific characteristics that can justify a risk matrix where less risk is transferred to the private party.
- Does anything beat parametric portfolio policies?Publication . Galocha, Rita Bugalho Vidas; Gerard, BrunoThis thesis’ objective is to test the parametric portfolio policies (PPP) approach to asset allocation developed by Brandt, Santa-Clara and Valkanov (2009) on an investment universe of large stocks. I enlarge the number of conditional variables to include volatility and tail risk alongside value, size and momentum. I introduce a novel approach by using industry specific standardization when normalizing the characteristics. I also model the stocks for both the unconstrained and the long-only portfolio of stocks. Using a power utility function as representative of the investor’s preferences I test this approach using the Standard & Poor’s 500 as a market proxy. I include a sensibility analysis to different risk aversion coefficients. I conclude that despite the overall good performance of this strategy it should not be seen as a way to hedge the market exposure, but as a way to ’ride’ the market with high risk adjusted returns. I find that an investor always prefers small stocks and past winners. The preference between value and growth stocks depends on the models specifications.
- Differences of emotional intelligence between men and women and its impact on team leadership and effectivenessPublication . Mahjoub, Nadia; Costa, Patrícia LopesThe objective of this study is to explore the leader’s Emotional Intelligence (Goleman, 2004) influence team leadership (Morgeson et al., 2010) in order to achieve better Team Effectiveness (Kozlowski & Bell, 2003). The relationship between these three variables has not been identified in the past, which is the reason this study has been conducted. A survey has been created based on validated scales and was distributed to teams. After an extensive literature review, four hypotheses about these relationships have been created and were all supported after the statistical analysis. This study confirms the link between Emotional Intelligence, Leadership and Team Effectiveness. Our findings show that Emotional Intelligence leads to better Team Effectiveness through Leadership Support the Social Climate function. It also shows a higher level of Emotional Intelligence in Women Leaders compared to Men Leaders. Taking into consideration these results, companies should start paying more attention to Emotional Intelligence values of the candidates during the hiring and promotion processes, in order to achieve higher overall organizational succes.
- The impact of team work engagement on team satisfaction and the role of psychological safety as a moderatorPublication . Gaspar, Raquel Costa; Costa, Patrícia LopesThe purpose of this master thesis is the study of the impact of Team Work Engagement (TWE) on Team Satisfaction in the presence or absence of Psychological Safety. Data was collected through a laboratory study and by running a survey in real world teams in organizations. It was expected from the research that TWE would have a positive effect on Team Satisfaction and that teams who experienced high levels of TWE and high levels of Psychological Safety, would be more satisfied than teams who experienced high levels of TWE but low levels of Psychological Safety. The results confirmed that TWE positively impacts Team Satisfaction. They also showed that TWE has only a small impact on Team Satisfaction when Psychological Safety is already high.
- The effect of the leader’s multicultural experience and cultural intelligence on team effectivenessPublication . Lamarão, Joana da Conceição Moreira; Costa, Patrícia LopesThe purpose of this dissertation is the study of the effect of multicultural experience and cultural intelligence on team effectiveness through leadership functions. Data was collected from 51 teams from real world companies and from a laboratory study. Results show that the leader’s cultural intelligence has a statistically significant effect on his leadership functions. Additionally, results indicate that different leadership functions mediate the effect of cultural intelligence on team effectiveness. Multicultural experience, on the other hand, does not show a statistically significant relationship with leadership functions, nor with the effectiveness of the team.
- Quantitative equity portfolio management strategy : a combination of fundamental value and risk-managed MomentumPublication . Dey, Thomas; Guedes, José Filipe Garcia CorrêaThis dissertation examines return predictability from B/M and Momentum for US stocks for the period 1970-2015. Particularly, it investigates whether a simple fundamental screening (F-Score) within the high B/M quintile helps separating winners (financially undistressed firms) from losers (financially distressed firms). Finally, it identifies whether a simple 50-50 combination of HML (High-Minus-Low) and risk-adjusted WML (Winners-Minus-Losers) portfolios generates significant abnormal returns (alpha) for the full sample and sub-sample periods. In accordance with the literature, Fama-MacBeth cross-sectional regressions reveal that Momentum and B/M offer significant and persistent return predictive ability. Conflicting with previous evidence (Piotroski 2000), no return predictability in the cross-section of firms is detected for the interaction term between the F-Score and B/M. Return improvements from conditioning the high B/M quintile on high F-Scores are reduced to the 1976-1996 sample period of Piotroski (2000). Contrary, the target volatility momentum adjustment (Barroso & Santa-Clara 2015) does yield significant risk-return improvements, duplicating the Sharpe-Ratio from the Raw WML portfolio, reducing the maximum drawdown and improving the third and fourth moments of the return distribution. The 50-50 HML and WML* (target vol-atility WML) portfolio strategy significantly outperforms the CRSP market-value weighted portfolio and the S&P500 from 1970-2015, although the outperformance was strongest from 1970-2000. Ultimately, both the pure HML - WML* and the HML_F-Score - WML* com-binations (50-50) generated highly statistically significant abnormal monthly returns of 0.8% when setting the Carhart Four-Factor Model as the relevant asset-pricing model benchmark.