Browsing by Issue Date, starting with "2024-05-07"
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- Volatility-managed portfolios and sentiment : evidence from across the globePublication . Ferreira, João Pedro Soares; Barroso, PedroVolatility-Managed Portfolios (VMPs) provide economic gains for mean-variance investors for several factors. Recent literature highlights that the market factor VMP has a performance that is robust to transaction costs and limits to arbitrage and its abnormal returns are concentrated in high sentiment periods. This paper delves into the relationship between the performance of volatility-managed market factors and investor sentiment globally and tests whether its performance is concentrated in high sentiment times. By employing an inverse volatility strategy, this research analyses the performance of VMPs against its unmanaged market factors across six countries between 1986 to 2015, integrating sentiment indicators such as the Baker and Wurgler Index, and local sentiment indexes like the Consumer Confidence Index and Economic Policy Uncertainty. This paper shows alphas and Sharpe ratios for the entire sample period and across high and low sentiment periods as well as for high and low volatility times. Findings show that generally VMPs do not significantly surpass unmanaged market factors in risk-adjusted returns terms, with its performance relatively influenced by investor sentiment. More specifically, using BW as sentiment index the US VMPs’ exhibit concentrated alpha in high-sentiment times, resonating with established sentiment theories. In contrast, data from Germany and France hint at stronger VMPs’ abnormal returns concentration during low sentiment periods. Additionally, it is also demonstrated that different sentiment proxies lead to different performance distribution.
- Beta analysis on the US stock marketPublication . Ulloa, Maximo Souto; Barroso, PedroThis study conducts extensive research in the NYSE and S&P500 markets, exploring various investment strategies based on Beta. Throughout this work, I present results for 156 portfolios, structuring them according to the systematic risk characteristics of each stock. I investigate Beta, a measure of systematic risk, to build my portfolios. The "betting against beta" factor demonstrates considerable effectiveness applied across a broad spectrum of assets. This approach, which prioritizes investments in low-beta assets while reallocating resources from high-beta assets, consistently exhibits superior performance in risk-adjusted returns. Expanding on Frazzini & Pedersen (2014), I identify that those portfolios composed of low-beta assets provided robust returns and showed significant resilience to market volatility. I closely analyzed the impact of variations in the rolling window on the performance of beta-based portfolios. This analysis revealed how adjustments in beta calculation methodologies can influence the outcome of the strategy. The existing literature used 5-years for correlations to calculate beta. I expand this by exanimating 3-years to 7-years rolling window for correlations. My findings show that the strategy does not suffer major disturbances which highlight the robustness of the strategy. Future research can examine the effect of using larger rolling windows for volatility calculation. In summary, the results of this research strongly suggest the effectiveness of stock beta-based strategies, especially when applied in a context of broad asset diversification. These findings contribute to the advancement of academic knowledge and offer practical insights for investors in making informed and effective decisions.
- Lemna minor: unlocking the value of this duckweed for the food and feed industryPublication . Sosa, Diana; Alves, Felipe M.; Prieto, Miguel A.; Pedrosa, Mariana C.; Heleno, Sandrina A.; Barros, Lillian; Feliciano, Manuel; Carocho, MárcioDuckweed (Lemna minor L.) is a small floating aquatic plant that has an important economic impact in several industrial areas. With its high biomass production, reasonable protein content, and resilience to several climates, it has been attracting increasing interest for potential use in animal and human food systems. Historically consumed in southwest Asia, this duckweed is now gaining attention as a potential novel food in Europe. This manuscript explores the contributions of duckweed to various food and feed industries, including aquaculture and livestock, while also pointing out the incipient research carried out for human consumption. Most importantly, it highlights the potential of Lemna minor as a vegetable for future human consumption whether eaten whole or through extraction of its nutrients.
- Spiritual distress, hopelessness, and depression in palliative care: simultaneous concept analysisPublication . Martins, Helga; Silva, Rita S.; Bragança, Joana; Romeiro, Joana; Caldeira, SílviaSpiritual distress, hopelessness, and depression are concepts that are often used in palliative care. A simultaneous concept analysis (SCA) of these concepts is needed to clarify the terminology used in palliative care. Therefore, the aim of this study is to conduct a SCA of spiritual distress, hopelessness, and depression in palliative care. A SCA was performed using the methodology of Haase’s model. A literature search was conducted in March 2020 and updated in April 2022 and April 2024. The search was performed on the following online databases: CINAHL with Full-Text, MEDLINE with Full-Text, MedicLatina, LILACS, SciELO, and PubMed. The search was achieved without restrictions on the date of publication. A total of 84 articles were included in this study. The results highlight that the three concepts are different but also share some overlapping points. Spiritual distress is embedded in the rupture of their spiritual/religious belief systems, a lack of meaning in life, and existential issues. Hopelessness is a sense of giving up and an inability to control and fix the patient’s situation. Finally, depression is a state of sadness with a multi-impaired situation. In conclusion, refining the three concepts in palliative care is essential since it promotes clarification and enhances knowledge development towards intervention.
- How the European Union renewable energy directive impacts the global energy industry : evidence from global stock marketsPublication . Alves, Ana; Venter, ZoëThis thesis investigates the impact of the European Union's Renewable Energy Directive (RED) on global energy markets, assessing investor response and its implications for the energy industry. The study analyses cumulative abnormal returns of 409 firms, including fossil fuel and renewable energy sectors across Europe, North America, and Asia. An event study methodology is employed to capture market reactions from the proposal to the approval of RED. The findings suggest that the implementation of RED has resulted in significant positive cumulative abnormal returns. This highlights that investors take regulatory changes into account when evaluating climate risks. It is worth noting that, contrary to expectations, the fossil fuel industry experienced a paradoxical positive response after the implementation of RED. This implies that the market recognizes the need for transitioning towards more environmentally friendly practices. The thesis explores the regional impacts of RED, revealing that its effects extend beyond the EU and influence energy firms globally. This research contributes to the discourse on climate risk premiums and the financial implications of green regulation, offering fresh insights into how environmental policies are shaping investment decisions in the energy industry.
- Managing corporate climate change risk : the link between carbon emissions and M&A activityPublication . Melo, Pedro Duarte de; Venter, ZoëThis thesis studies the relationship between M&A activity and carbon risk, considering, at most, 183 deals between 2006 and 2023. First, it assesses the impact of carbon risk on merger likelihood. The findings suggest that (1) acquirors reporting on such a risk pre-merger are more likely to buy out firms that do so too, (2) firms subject to higher carbon risk are less likely to participate in deals and, thus, become acquirors or targets, and (3) acquirors subject to higher carbon risk pre-merger tend to buy out firms also subject to higher carbon risk pre-merger. Second, it investigates the relationship between targets’ pre-merger carbon risk and M&A deal-specific characteristics. The results prove that targets disclosing their carbon emissions pre-merger engage in higher-value and longer-duration deals (especially those from the U.S. or Canada) and that European targets subject to higher carbon risk pre-merger are more likely to engage in deals with larger values (the opposite is true for targets from the U.S. or Canada) and longer duration (the inverse is true for targets from the U.S.). Third, it explores the impact of acquirors’ pre-merger carbon risk on the short-term merger market response, concluding that the higher the acquirors’ carbon risk pre-merger, the lower the CARs around merger announcements. Finally, it analyses the impact of acquirors’ pre-merger carbon risk on the combined firms’ long-term post-merger sustainability performance. The findings point to acquirors with higher pre-merger carbon risk experiencing a higher increase in their ESG scores in the aftermath of the merger.