Browsing by Issue Date, starting with "2017-05-09"
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- Is it possible to control for momentum’s huge crashes? : scaled residual momentum : a modified approach to momentum investingPublication . Saias, Luís António Modesto Gonçalves; Kokkonen, Joni AleksiMany researchers find that information travels slowly and an apparently under-reaction to news. As a response, several relative strength strategies appear. Total momentum is one of the most known and widely used nowadays. However, total momentum has huge crashes from times to times. The early 1930s and the late 2000s were the two darkest periods for the strategy. In fact, an investor entering in the beginning of these two periods would see 60% to 75% of his investment wiped out. Trying to control for these crashes we study 3 alternative strategies: residual momentum, scaled momentum and scaled residual momentum. The last strategy scales its exposure to residual momentum, relying on the risk predictability of residual momentum. Our main findings state that overall scaled residual momentum has a Sharpe ratio slightly lower than scaled momentum (0,91 vs 1,00), but in turbulent times this reverts completely. In the early 1930s and the late 2000s it becomes the strategy with highest Sharpe ratio (ranging from 0,36 to 0,66) and highest cumulative return. For the same periods, where total momentum has huge losses, an investor would see a valorization of 20% (in the late 2000s) and of 60% (in the early 1930s). The reason for this is the evident superiority shown by scaled residual momentum in terms of controlling for the crashes - lowest kurtosis, less negative skewness and lower and shorter drawdowns.
- O vídeo como ferramenta de aprendizagemPublication . Cruz, Sara Eduarda Silva; Restivo, Francisco José Oliveira; Almeida, AnaOs atuais papéis e funções do professor não podem ver-se reduzidos à transmissão de saberes e de valores mais ou menos estáticos. O desenvolvimento da sociedade e a incerteza das mudanças exigem, hoje, do professor, um profissional qualificado e atento ao evoluir da sociedade. A evolução das novas tecnologias tem produzido uma verdadeira revolução nas metodologias de ensino, através de uma utilização cada vez maior de computadores e do desenvolvimento de ferramentas educacionais e de criação de novos conteúdos. O recurso às tecnologias digitais como uma nova forma de aprendizagem é já um elemento habitual no mundo atual. O presente relatório tem como objetivos realizar uma reflexão sobre o papel do professor na sociedade contemporânea e descrever, de forma detalhada, o trabalho e experiência profissional enquanto professora estagiária, realizado na Escola Secundária Camilo Castelo Branco. A aplicação prática pedagógica realizou-se numa turma do 12º ano do Curso Profissional Técnico de Gestão e Programação de Sistemas Informáticos. É objetivo, também, apresentar o tema de investigação que debruça-se sobre a utilização de um meio multimédia mais precisamente do vídeo, no contexto de ensino e de aprendizagem. Procede-se a uma revisão da literatura acerca desta temática em particular, com o intuito de se concluir qual o atual estado da utilização de tal meio multimédia, bem como a sua adequação ao longo de todo o processo de ensino e de aprendizagem. Pretende-se constatar se a utilização do vídeo permite um sucesso superior por parte dos alunos, ou se, por outro lado, não representa qualquer tipo de melhoria no seu processo de aprendizagem. A experiência realizada veio corroborar a ideia de que uso da ferramenta vídeo pode tornar o processo de ensino/aprendizagem mais estimulante, capaz de criar motivação e produzir aprendizagens mais significativas.
- Finding simple strategies for high returnsPublication . Coelho, Francisco Nunes Pinto; Bancel, FranckMy objective throughout this paper is to provide useful insights to investors on simple ways to obtain high return focusing on Value & Momentum strategies applied to the US Market. Opposite from most existing literature, we were not able to prove the existence of both Price and Earnings Momentum. However, we see that past returns are explanatory of future for the same stock, as predicted by Moskowitz, Ooi and Pederson (2012). We observe that Value yield positive and abnormal returns, confirming past literature. Nonetheless, both strategies seem to be underperforming as they are not able to efficiently distinguish between true and false winners and losers. In order to solve this problem, I double sorted Value & Momentum using financial ratios and short-term trend indicators (acceleration indexes). For Momentum, generally, double sorting was either slightly or ineffective at all. For Value, double sorting improved returns suggesting that Price Earnings and Price to Cash-flow add complementary information to each other. After Accelerating Value & Momentum, we were able to establish the most profitable returns. However, the best possible risk-adjusted solution is the one proposed by Asness, Moskowitz & Pedersen (2013): an equal-weighted combination of returns.
- Leverage variation and its relation to the industry characteristicsPublication . Moreira, Pedro José Silva Lino de Oliveira; Bonfim, Diana Carina Ribeiro GuimarãesIn this study we have focused on North American companies from 1974 until 2015. Based on this sample, it was our objective, to better understand the three dimensions of capital structure variation: within-firm, within-industry and between industries. We concluded that most of the variation in financial structures arises from within-industries rather than between industries. Additionally, in the period considered, within-industry variation was interpreted as the one that showcased the greatest increase, (43%) Taking into consideration these intriguing results, we decided to regress leverage ratios on industry leverage medians, which confirmed the little importance of industry in explaining firm financial structure. In order to better understand how leverage is organized within the different industries, we developed the concept of “level” and “consistency”, reaching a new stylized fact in this area of research, by concluding that industries which portray the highest or the lowest capital structures’ dispersion tend to remain this way for long periods of time. Finally, we proved that capital structure variation is associated to firms in industries with shorter longevities, higher probabilities of default, as well as, to higher leverage ratios.
- Repositioning a product in the decline stage : Danonino case studyPublication . Tomás, Patrícia Alexandra Caetano; Celeste, Pedro Manuel Amador RodriguesThrough the analysis of a real repositioning case, the focus of this thesis is to assess the effectiveness of Danonino’s repositioning while understanding Danone’s strategy, the reasons behind this action, the steps taken and the reaction of both buyers and consumers to it. Danonino is the main children’s brand from Danone’s portfolio. This brand, suffered a repositioning strategy through packaging, portfolio and overall image in order to revert its negative cycle of sales , to boost Danone children's sector, differentiate from the competition, rise brand awareness and construct a positioning, taking several steps to achieve it. The main conclusions of this research, reveal that parents give a lot of importance to the nutritional benefits of yogurts and the flavor. However, price also plays an important decision role in parents’ buying behavior. For Children, the main decision drivers are the flavor, packaging and the convenience. By measuring buyers and consumer’s reactions, it was possible to conclude that Danonino is the brand that parents prefer in the majority of children’s yogurt categories where the brand is present. It was also possible to recognize the effectiveness of the repositioning strategy through the positive evolution of sales, penetration rate, brand awareness and preferences of parents and children regarding packaging.
- L’Oréal : ombré hair kit consumer-focused product development to find new market opportunitiesPublication . Cunha, Maria do Carmo d’Orey da; Celeste, Pedro Manuel Amador RodriguesThis dissertation aims to understand the impact of Google Trends1 on L'Oréal product innovation process. L'Oréal started to use this online platform when saw a different look on celebrities, the ombré look2. Then, they decided to explore this new look on Google Trends, where they were able to understand that this topic was highly searched by female audience. More specifically, a way to apply the ombré hair at home, without needing to go to the hairdresser. Therefore, with all the insights taken from Google Trends, L'Oréal developed the first ombré hair home kit. Through this case, L'Oréal reinforced the idea that it is essential to be close to consumers to better understand what they are looking for, in order to be able to bring innovation to the company. This thesis gives an overview of the implementation of this product, how it was received by consumers in Portugal and internationally, and how this product was important for a new cycle of innovation at L'Oréal.
- The impact of internal social responsibility on organisational commitment : the case of Jerónimo Martins GroupPublication . Figueiredo, Daniela da Silva; Mendonça, Bianca Soraya Soares Vilhena deThe Jerónimo Martins Group is a multinational firm operating in the Distribution and Agribusiness sectors, with a strategy focused on value creation and sustainable development. It assumes a Corporate Responsibility governed by five pillars; however, this thesis focuses essentially on the following one: “Being a Benchmark Employer”. The Group ensures benefits to the members of the organisation, such as training, development, compensation, and a positive working environment. In 2008, the company decided to go further and created a department focused on improving the quality of life of its employees. Since the company has the need to continuously guarantee that this area constitutes a differentiation factor and effectively adds value to the company, the main aim of this thesis is to investigate the relationship between employees’ perceptions of internal social responsibility and organisational commitment. Specifically, it analyse the perceptions of internal social responsibility from two different perspectives – the company and its employees – and subsequently studies the impact of seven internal dimensions on affective and normative commitment: employment stability, working environment, skills development, workplace diversity, work-life balance, tangible employee commitment, and empowerment. The analysis is based on primary and secondary research conducted with managers and employees of the Group. The main results showed that all internal dimensions are significantly and positively related to affective and normative organisational commitment.
- Does quantitative easing have an impact on European equity markets?Publication . Penida, Joana Pereira dos Santos; Kokkonen, Joni AleksiWe examine whether the European Quantitative Easing program has an impact on equity markets, considering eight benchmark equity indices and applying a multivariate regression model. During the announcement period of the program, we find evidence of positive abnormal returns in 5 out of 8 benchmark indices, consistent with the portfolio rebalancing mechanism. When considering the launch period, we find positive abnormal returns in the German index (DAX30) and negative variations for both Spanish (IBEX35) and French (CAC40) indices. Furthermore, we suggest that the benchmark indices seem to react differently, depending on the country exposures to the program, for both announcement and launch periods.
- A marca pessoal no contexto mediático : aplicação ao caso de estudo Daniel OliveiraPublication . Mendonça, Maria da Pureza de Magalhães Vasconcelos e Sousa de; Ilharco, Fernando Albano Maia de MagalhãesA tecnologia e a informação são bases que sustentam uma sociedade em rede, instável e mutável. Nela participam os mais preparados e que melhor se adaptam, aqueles que criam progresso e lhe constituem valor. Neste sentido de progresso e eficácia, é abordada a geração de valor das marcas, tanto para as empresas como para o consumidor, surgindo o tema da marca pessoal pela necessidade de diferenciação num mundo empresarial instável e competitivo. A marca pessoal passa por um processo de gestão e controlo da mensagem que transmite, de forma a potenciar-se e adquirir poder de influência. A exploração da marca pessoal é desenvolvida através do estudo de caso Daniel Oliveira, entrevistador da SIC, à luz de vários modelos teóricos, nomeadamente o de construção de marca pessoal de Montoya (2002) (através do Personal Brand Self Test; e os oito passos de construção de marca pessoal); e o modelo da “Pirâmide de Ressonância da Marca”, de Keller (2001, 2003). Esta investigação defende Daniel Oliveira como marca pessoal, associada ao programa televisivo “Alta Definição”. A perceção atual da marca, conforme o que foi investigado, sugere a necessidade de ajustes, aptando melhor a marca à mensagem transmitida. Este relatório discute e sugere um conjunto de soluções para adaptar e aumentar o valor da marca, através do reforço do relacionamento entre a mesma e o público.
- Consumption of luxury goods in Brazil : purchasing motives and values of Brazilian consumers and implications for marketingPublication . Teiking, Alina; Caldieraro, FabioAiming at success in the currently challenging Brazilian market, luxury firms must consider a number of factors. Not only the adaptation to certain economic and political conditions but also the understanding of Brazilian luxury consumers’ characteristics as well as their value perceptions towards luxury are crucial in order to create an effective marketing strategy. This study investigated the value perceptions and purchasing motives of 428 Brazilian consumers. Brazilians purchase luxury goods in order to conspicuously put them on show to certain social reference group or to the general public. Thus, they display their wealth, income and social status. Social groups therefore play a distinct role in the purchasing decision process. Moreover, Brazilians are found to be hedonic consumers, seeking pleasurable moments and the reduction of stress when consuming luxury products. In addition to that, they use luxurious products to express their own personality. Brazilians hence place a much higher importance on self-expressive, emotional product benefits rather than on rational, functional product benefits. Marketers of luxury goods are advised to make use of this knowledge in order to adequately address consumers’ needs, wants and beliefs. The study focuses on consumers living in Rio de Janeiro and does not take into account different value perceptions on different luxury product categories. Therefore, suggestions for further research include replicating the study in different Brazilian regions and probing for differences among product categories.