Percorrer por data de Publicação, começado por "2025-10-17"
A mostrar 1 - 10 de 11
Resultados por página
Opções de ordenação
- The role of oxytocin and sex in analgesic placebo-response: exploratory analysis from a sham randomized clinical trial in chronic back-pain patientsPublication . Mendelson-Keypur, Rinat; Shani, Adi; Granot, Michal; Agostinho, Mariana Ribolhos; Paltzur, Eilam; Treister, Roi; Rahamimov, NimrodBackground: Several studies suggest that exogenous oxytocin nasal spray may enhance placebo analgesia in healthy volunteers and experimental pain models, although the findings remain mixed. The oxytocin placebo hypothesis suggests that increased oxytocin levels trigger a cascade of brain processes that boost positive expectations and augment the placebo response. Since endogenous oxytocin secretion has been found to increase during positive interactions, we hypothesized that changes in endogenous oxytocin levels will affect placebo analgesia in chronic-back-pain patients. Given the role sex has in both placebo analgesia and oxytocin secretion, we hypothesized that the response magnitude will differ by sex. Methods: Chronic-back-pain patients (n = 112) were prospectively recruited and received placebo injections. The placebo response was calculated as the change in the back-pain Visual Analog Score (VAS), and changes between pre- and post-injection salivary oxytocin levels were measured. The effect of sex and changes in oxytocin levels on pain reduction was calculated using two-way analysis of variance (ANCOVA). Results: Oxytocin levels decreased in 62.5% of participants and increased in 37.5%. Increased oxytocin levels were associated with greater pain reduction than decreased oxytocin levels (p = 0.024). Females exhibited greater pain reduction than males (p = 0.034). No interaction between the oxytocin change pattern and sex was observed. Conclusions: This study demonstrates that following a placebo injection, patients suffering from chronic back pain, who exhibited an increase in endogenous oxytocin levels, showed a higher placebo response. Females had a greater placebo response, but this was not associated with an endogenous oxytocin change. These results provide initial support for the oxytocin placebo hypothesis.
- Corporate payout policies under stress : evidence from the GFC and COVID-19Publication . Venere, Costantino Di; Revelo, JoséThis thesis examines how U.S. firms adjusted dividend policies during the Global Financial Crisis (2008–2009) and the COVID-19 pandemic (2020–2021). Dividend event data from CRSP were linked to Compustat fundamentals, and three models were estimated: a logit regression for dividend cuts, a linear fixed-effects model for payout intensity, and a difference-in-differences approach to test leverage heterogeneity. The results show that dividend cuts were significantly more likely during the GFC, consistent with credit distress, while COVID generated a weaker and more heterogeneous effect. Firm fundamentals remained decisive: leverage increased both the probability of cuts and the retention ratio, while larger firms displayed resilience. Profitability showed mixed results, positively linked to cuts in the logit model but negatively related to payout in the linear model, suggesting reinvestment motives alongside distributional choices. The analysis also revisits dividend signaling. In the GFC, maintaining payouts was costly and thus highly informative, while cuts were interpreted as strong negative signals. During COVID, widespread suspensions diluted informational content, and stability or increases became the true signals of resilience.
- The future of dealerships : the case of Grupo Salvador CaetanoPublication . Louçã, João Pedro Cepa; Reis, RicardoThe automotive industry is undergoing profound transformation as traditional dealership models are increasingly challenged by new models, such as Direct-to-Consumer. This case explores how Grupo Salvador Caetano navigates this transition while operating under three distinct sales models, namely BMW under the traditional dealership model, MINI under an agency model, and Hyundai under a vertically integrated model. The study applies frameworks such as Resource-Based View (VRIO), Dynamic Capabilities, Core Capabilities/Rigidities and Strategic Reponses to Crisis, to analyze how organizational resources and routines influence adaptation. The current study applies as methodology four structured interviews with managers from Grupo Salvador Caetano across operations, strategy, and marketing/customer experience, as primary data, and literature on the industry, as secondary data. Findings highlight the trade-offs of each model. BMW’s traditional setup ensures autonomy and stability, MINI’s agency model reduces stock risk but limits margins and increases complexity and Hyundai’s verticalization provides efficiency, scalability, and integration across systems. Additionally, it is possible to understand that the Agency model shifts the power and decision making towards the automotive manufacturers, while vertical integration allows dealers to preserve their influence in the business. In the Portuguese context, the digital adoption falls behind the European average, and dealerships remain crucial for customer validation and support. Grupo Salvador Caetano’s case illustrates both the risks of organizational rigidities and the importance of dynamic capabilities to adapt across models. The case study concludes that hybrid approaches seem to offer the strongest balance between efficiency, scalability, and customer-centricity in the Portuguese context.
- Emotions do enter grammar because grammar is meaningfulPublication . Silva, Augusto Soares daIn this discussion note on the focus paper by Martina Wiltschko, entitled ‘Emotions do not enter grammar because they are constructed (by grammar)’, six theses are selected for discussion. I agree in general terms with Wiltschko’s claims that emotions are constructed, that emotion words are folk-psychological, and that there are no dedicated grammatical categories for expressing emotions. However, I find Wiltschko’s core claims that emotions do not enter grammar, because they are constructed by grammar and because they are constructed by the same cognitive architecture that generates complex linguistic expressions, to be overstated and problematic. After discussing Wiltschko’s understanding of the basic notions of grammar, mea-ning, and emotion, I argue that: (i) emotions do enter grammar, albeit in less fixed, secondary, and more flexible ways; (ii) grammar plays an efficient constructional role in emotional mea-ning-making, through dynamic sets of form-meaning pairings; and (iii) emotions enter grammar and grammar perspectivally constructs emotions, through cognitive abilities such as construal, (inter)subjectification, and figurativity.
- The inflation hedging potential of commodities : a DCC-GARCH approachPublication . Egartner, Sabrina; Priestley, RichardThis thesis seeks to examine the inflation hedging ability of commodities in the US and their impact on an investment portfolio. It also aims to compare its inflation hedging performance to Treasury Inflation-Protected Securities (TIPS). First, a DCC-GARCH model is used to find dynamic conditional correlations between a selection of commodities and inflation. Secondly, a portfolio allocation exercise with a fixed weight allocated towards the commodity and, on the other hand, a Markowitz portfolio allocation is being conducted. The results come to the conclusion, that while some commodities do certainly have positive dynamic conditional correlations with inflation, they do not necessarily perform well in a portfolio setting given their volatility and unpredictability, specifally in times of crisis. However, Gold may indeed be used as an inflation hedge. Gold shows consistent positive correlations with inflation and good performance in a portfolio setting. Gold also outperforms TIPS in terms of real returns.
- Indra Sistemas (BME: IDR) : equity valuationPublication . Cameia, Alfredo Muenecongo; Martins, José TudelaThis thesis estimates the intrinsic value of Indra Sistemas S.A., a global technology and consulting company with dual exposure to the Aerospace & Defense and IT Consulting sectors. The valuation applies a weighted average of multiple methodologies4primarily Discounted Cash Flow (DCF) and Adjusted Present Value (APV) to capture operational value and tax shields, complemented by a Sumof-the-Parts (SOTP) approach to reflect Indra’s multi-segment profile. Monte Carlo simulation is employed to incorporate uncertainty and volatility, while trading multiples and precedent transactions provide market-based cross-checks. The analysis is based on assumptions aligned with academic literature and industry practice, integrating updated macroeconomic and sector-specific drivers. Results indicate a twelve-month target price of €47.0 per share, representing a 28.4% upside from the August 06th, 2025 closing price. The STRONG BUY recommendation is supported by robust backlog visibility, accelerating European defense spending, margin expansion in IT Consulting, and a strengthened capital structure. A comparative review against a recent Santander CIB equity report highlights differences in assumptions and methodology, underscoring how timing, market sentiment, and risk-free rate selection materially affect valuation outcomes.
- Cryptocurrencies : a way to diversify a financial portfolioPublication . Kraft, Isabel Marie; Fouquau, JulienCryptocurrencies have attracted growing attention from investors worldwide, prompting debate over whether they can serve as effective diversifiers and enhance portfolio performance. This study addresses this question and further evaluates whether a DCC-GARCH model improves portfolio forecasting compared to a simple historical average approach. Using daily data from November 2017 to March 2025, I first estimate historical bivariate DCC- GARCH models between four cryptocurrencies (Bitcoin, Ethereum, Cardano, and Litecoin) and five traditional financial assets (government bonds, global and emerging equity indices, gold, and oil). Results suggest that, while correlations tend to increase during periods of market stress, cryptocurrencies generally exhibit time-varying but, on average, low correlations with traditional assets, supporting their role as diversifiers. Next, I split the sample into in- and out-of-sample periods with daily rolling windows to construct various portfolios with and without cryptocurrencies, using mean and (co-)variance forecasts derived from both multivariate DCC-GARCH and historical averages. I find that including cryptocurrencies in traditional portfolios only partially improves performance, depending on the period, cryptocurrency, and portfolio strategy. In risk-focused portfolio strategies like Maximum-Diversification and Risk-Parity, adding cryptocurrencies often leads to improved risk- adjusted performance, while Mean-Variance and 1/N strategies produce mixed results. Minimum-Variance portfolios consistently exclude cryptocurrencies due to their high volatilities. Among the analysed cryptocurrencies, Bitcoin emerges as the most valuable addition. Finally, I find that portfolios constructed with DCC-GARCH forecasts do not outperform those constructed with historical averages.
- Climate risk disclosure regulations and their impact on financial marketsPublication . Janßen, Lucas; Revelo, JoséThis thesis examines how climate disclosure rules influenced UK stock prices between 2020 and 2023. It uses an event study on the FTSE All-Share index, covering eleven announcements 3 from consultations to policy statements and the Energy Act 2023 3 across eight symmetric and post-event windows. Abnormal returns are calculated using a market model, and firm-level CARs are then regressed on carbon intensity and ESG performance. The market response is small overall and only statistically significant for a few events. Price direction depends on what was announced. When new or stricter rules were introduced, carbon-intensive firms tended to lose more. When regulators clarified timelines or scope, part of the previous decline was reversed. The Energy Act 2023 stands out with a clear positive reaction, particularly for low-carbon firms. Subgroup tests show the same pattern: high emitters and carbon-intensive industries underperform, while firms with stronger ESG practices limit the damage, especially over longer periods. All in all, the results suggest that the UK market adjusts step by step, not with a single shock. This shows why the sequencing and communication of policy measures are so important for stable pricing. For investors, the implication is practical: portfolio decisions should reflect both carbon exposure and the quality of ESG processes.
- Equity valuation TOMRA Systems ASAPublication . Bucher, Nicolas Felix; Martins, José TudelaThis thesis presents a valuation of TOMRA Systems ASA, a global leader in reverse vending and sensor-based sorting solutions supporting circular-economy infrastructure. The analysis relies on information as of 30.06.2025 with a valuation date of 31.12.2025. The core methodology applies a discounted cash flow (DCF) to free cash flow to the firm (FCFF), complemented by adjusted present value (APV) and relative valuation using forward-looking multiples. The valuation assumes growth through 2030, driven by structural trends such as the expansion of deposit-return schemes (DRS), stricter resource-efficiency mandates, and rising demand for high performance sorting technologies. A key catalyst is the EU’s Packaging and Packaging Waste Regulation (PPWR), which imposes binding recycling and reuse targets for 2025 and 2030, supporting sustained investment in TOMRA’s collection and sorting infrastructure across Europe. The model assumes a steady state beyond 2030, with capital expenditures aligned with depreciation and normalized working capital. Built in EUR (TOMRA’s reporting currency), equity value per share is presented in NOK using forward exchange rates. Scenario and sensitivity analyses test the robustness of results. The base-case target price is NOK 156.48 (vs. NOK 153.8 as of 01.07.2025), leading to a ‘Hold’ recommendation, consistent with Kepler Cheuvreux.
- Mean-reverting for a dream : using stochastic and GARCH-based forecasting to detect and exploit electricity market inefficiencies in the German spot marketPublication . Holmberg, Maximilian Anton Willy Jesper; Manconi, AlbertoThis thesis develops and evaluates a hybrid forecasting model combining an Ornstein- Uhlenbeck (OU) mean-reverting process with an Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) volatility specification to predict day-ahead electricity spot prices in the German market from 2015 to 2025. Addressing the challenges of non-stationarity, limited data transparency, and the need for economically relevant metrics, the model captures key market characteristics - mean reversion, seasonality, volatility clustering, and asymmetric shock responses - using only historical price data. Out-of-sample forecasts over 20-, 30-, 60-, and 90-day horizons are benchmarked against market futures and a naïve historical average, employing statistical metrics (MAE, RMSE, MAPE, directional accuracy) and economic measures (Sharpe ratio, trading returns). Results demonstrate that the model, particularly under a Generalized Error Distribution (GED), significantly outperforms futures benchmarks at short-to-medium horizons (20-30 days), generating positive trading returns (e.g., EUR 2,371.56 at 30 days) with high Sharpe ratios (e.g., 1.15) and win rates (up to 90%). Monte Carlo simulations and bootstrap confidence intervals confirm robustness, though performance weakens in low-volatility summer regimes. The thesis contributes to the literature by integrating mean-reverting dynamics with asymmetric volatility, testing against real futures prices, and demonstrating economic value through a forecast-based trading strategy, offering a replicable framework for traders and risk managers in volatile, non-storable commodity markets.