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Browsing by Issue Date, starting with "2022-10-18"

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  • Combination of ESG and momentum : evidence of the Canadian market
    Publication . López Vargas, Rodrigo Abner; Schliephake, Eva
    The increasing relevance of Environmental and Social impact of firms on the world has also increased the importance of the ESG score. According to the study performed by Kaiser and Welters, (2019), a higher ESG score decreases the probability that the company is going to be affected by a social movement or any kind of adversity that the market could face. This study analyzes if a double-sorted momentum strategy based on ESG scores and prior returns can outperform and achieve a lower volatility than the Canadian market benchmark and single factor momentum portfolios between the years 2008 and 2020. At the same time, it is tested if the strategy also decreases the volatility of momentum during market crashes. I find that the double-sorted strategy outperforms the S&P/TSX Composite in most of the portfolios created. My strategy achieves an average return higher than the benchmark and the single factor momentum portfolios. However, the volatility that the double-sorted portfolios present is higher than the benchmark or single factor portfolios, this can be noticed in the fact that the strategy achieves higher maximum return values, but the minimum returns are considerably lower than the single factor strategies or the benchmark. Focusing on market crashes, the strategy still presents a higher volatility with average returns higher than the S&P/TSX Composite or the single factor portfolios.
    2022-10-18Master thesis Open access Show more
  • A cláusula de hardship nos contratos comerciais internacionais
    Publication . Rebelo, Francisca Maria Brochado; Antunes, José Augusto Quelhas Lima Engrácia
    Com este estudo, pretendemos abordar a necessidade e os benefícios da inclusão de cláusulas de hardship no contexto dos contratos comerciais internacionais como forma de adaptação dos mesmos a alterações profundas da base do negócio. Analisámos o regime da alteração de anormal de circunstâncias no ordenamento jurídico português e inglês, assim como as suas limitações e dificuldades de aplicação. Posteriormente focamo-nos na cláusula de hardship, aprofundando a sua redação e efeitos através da utilização dos instrumentos internacionais que se encontram ao nosso dispor. Suscitamos o enquadramento de situações atuais (como a pandemia trazida pelo COVID- 19 e o conflito armado na Ucrânia) enquanto situações de hardship passíveis de acionar tal cláusula. Por último, sumariamos os benefícios, a importância da inclusão e pormenorizada redação destas cláusulas como válvula que auxilia a conservação do negócio jurídico nos contratos internacionais de execução continuada.
    2022-10-18Master thesis Open access Show more
  • Portfolio optimization : does the optimization methodology have a significant impact on portfolio measures, in a context of elevated market volatility?
    Publication . Neves, Maria Beatriz de Santarém; Prazeres, Pedro Miguel
    This submitted master’s dissertation focuses on the practical application of resampling as a portfolio optimization methodology, in a context of elevated market volatility. In the process of constructing investment portfolios, the optimization methodology plays a crucial role, since it must output portfolios that are able to withstand unexpected unfavorable market conditions. In this context, portfolio resampling is a methodology that explicitly considers information uncertainty about assets, and outputs asset portfolios that are, according to the literature, more resilient to volatile environments. This dissertation explores and tries to assess the ex-post performance of hypothetical portfolios of the US and the EU stock markets, constructed using the resampling technique, during the initial stages of the COVID-19 pandemic, in the first semester of 2020. The findings indicate that in general, resampling strategy enhances portfolio performance and reduces the portfolio volatility.
    2022-10-18Master thesis Open access Show more
  • Prescrição de dívidas à Segurança Social : o especial caso dos factos interruptivos
    Publication . Agostinho, Gonçalo João Martins; Vasques, Sérgio Trigo Tavares
    2022-10-18Master thesis Restricted access Show more
  • Impact of a purified blueberry extract on in vitro probiotic mucin-adhesion and its effect on probiotic/intestinal pathogen systems
    Publication . Silva, Sara; Costa, Eduardo M.; Oliveira, Hélder; Freitas, Vitor de; Morais, Rui M.; Calhau, Conceição; Pintado, Manuela
    Several arguments have been made to substantiate the need for natural antimicrobials for the food industry. With blueberry extracts, the most compelling are both their healthy connotation and the possibility of obtaining a multipurpose solution that can be an antioxidant, colorant, and antimicrobial. From an antimicrobial perspective, as blueberry/anthocyanin-rich extracts have been associated with a capacity to inhibit harmful bacteria while causing little to no inhibition on potential probiotic microorganisms, the study of potential benefits that come from synergies between the extract and probiotics may be of particular interest. Therefore, the present work aimed to evaluate the effect of an anthocyanin-rich extract on the adhesion of five different probiotics as well as their effect on the probiotics’ capacity to compete with or block pathogen adhesion to a mucin/BSA-treated surface. The results showed that, despite some loss of probiotic adhesion, the combined presence of extract and probiotic is more effective in reducing the overall amount of adhered viable pathogen cells than the PROBIOTIC alone, regardless of the probiotic/pathogen system considered. Furthermore, in some instances, the combination of the extract with Bifidobacterium animalis Bo allowed for almost complete inhibition of pathogen adhesion
    2022-10-18Journal article Open access Show more
  • 2022-10-18Master thesis Open access Show more
  • Is the ECB monetary policy strategy review a catalyst towards a sustainable financial system? Evidence from market reactions
    Publication . Lencastre, Mafalda Coutinho de; Bonfim, Diana Carina Ribeiro Guimarâes
    This paper provides novel insights regarding the impact of ECB incorporating climate change in its Monetary Policy Strategy Review (July 2021) and of ECB announcing the tilting of its corporate bond purchases (July 2022) on financing conditions of eligible corporate bonds through the calculation of a Climate Change Score attributed at a firm level. The main purpose is to understand if the two ECB announcements helped in some degree as a catalyst to a decrease in carbon footprint and to an improvement of climate performance in the euro area. Using a difference-in-differences estimation, we compare the evolution of prices for eligible bonds issued by brown firms versus green firms and for eligible green bonds versus conventional bonds. By July 2021, we find that market participants believed that the ECB would continue to apply the market neutrality principle and that the climate incorporation into the monetary policy framework would be translated by an increase in the proportion of green bonds into its portfolio. On the contrary, by July 2022 the regression analysis suggest that participants understand that ECB tilting choice will depend on the issuer climate score rather than on the type of bond issued. However, there is no strong data that supports that market participants believe that ECB shift towards a market efficiency principle.
    2022-10-18Master thesis Open access Show more
  • 2022-10-18Master thesis Restricted access Show more
  • Estimating the market value of attacking football players using multiple linear regression
    Publication . Lorincz, Máté Kristóf; Fouquau, Julien
    The challenging problem of understanding the value of football players inspired countless analyses both in the academic and professional world. This paper has introduced a regression model to estimate attacking football players’ market value, building on the findings of prior academic research. The model included performance metrics, personal information metrics, and commercial potential metrics as well. The alternative model introduced was derived from a sample consisting of Premier League attackers, but the regression was later tested on attackers from the Bundesliga as well. Using cross-sectional data, including 105 attacking players from the English Premier League, 27 metrics were exported. All data were retrieved from freely accessible databases (Transfermarkt, FBREF, Instagram). This research paper successfully introduced two new variables not considered by previous academic research: (1) commercial potential and (2) nationality based on the homegrown rule. The proposed alternative regression has an R2 of 0.65, eliminating multicollinearity and heteroskedasticity, and out-performs the regression models based on prior academic literature, both in-, and out-of-sample. Based on this study, the most important metrics to estimate a football player’s market value are (1) expected goals and assists, (2) pressures, (3) player’s age, (4) player’s nationality, (5) club’s prestige, and (6) player’s commercial potential.
    2022-10-18Master thesis Open access Show more
  • Seasonality anomalies in the cryptocurrency market
    Publication . Ossola, Davide; Schliephake, Eva
    This study revisits the market efficiency theory, evaluating one anomaly analyzed and comprised in Fama’s market efficiency theory (1991), seasonalities of returns in securities. This topic has been thoroughly analyzed for traditional financial instruments such as stocks and currencies. After describing most of the seasonality typologies found in the literature, this study proposes a similar analysis for cryptocurrencies. The Weekend effect, Weekly effect, Monthly effect, and Halloween effect are explored with a focus on potential differences among different 3 assets. Prices, volumes, returns, and market capitalization are considered to evaluate potential seasonalities. The results show that, as per the traditional securities, seasonalities persist in the cryptocurrency market reflecting a size effect in the magnitude of the effects isolated. These effects recur significantly for Mondays or Fridays or during the November-April semester returns. Monthly effects have been found; however, seasonal returns seem to occur differently from the stock market, potentially because of the lack of the tax payment loss distinguishing firms. Further research should dig deeper into how the nature and size of coins are influencing this effect. Moreover, the impacting role of institutional investors is disregarded, and further studies should evaluate if this impact would affect the anomaly, diminishing it as occurred in the stock market. From an asset pricing perspective, the exploitability of this anomaly should be evaluated to accept or not the weak form of market efficiency.
    2022-10-18Master thesis Open access Show more