CLSBE - Dissertações de Mestrado / Master Dissertations
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- Is bank regulation priced by financial markets? : evidence from the CRR II reform in europePublication . Deandrea, Lorenzo; Revelo, JoséThis dissertation examines whether European equity markets priced the regulatory milestones of the Capital Requirements Regulation II (CRR II), and whether market reactions reflected a stability-enhancing channel — tighter requirements reducing perceived risk — or a regulatory cost channel — compliance costs and profitability pressures dominating investor expectations. The empirical strategy combines an event study, analyzing short-term stock market reactions around four CRR II milestones between 2016 and 2021 for a sample of 16 listed European commercial banks, with a panel regression examining whether, over 2018–2024, banks with weaker pre-reform capital or higher non-performing exposure experienced different valuation trajectories. The event study documents predominantly negative cumulative abnormal returns around the four CRR II milestones, with statistically significant reactions emerging for most events and event windows in the main specification. The Council's agreed stance of May 2018 produces the strongest reaction (CAR [−1,+1] = −5.36%, p < 0.001***), shared across all 16 banks. The panel regression finds no statistically significant differential effect on P/B ratios, confirmed by wild cluster bootstrap across twelve specifications. The evidence is more consistent with a sector-wide negative repricing than with a persistent cross-sectional valuation divergence based on pre-reform prudential conditions.
- Power 3D : from technological promise to market validationPublication . Dentice, Mattia; Guedes, Nuno MagalhãesThis Thesis explores how an early-stage deep-tech venture can move from technological development to market validation when its resources, team capacity, and commercialization options remain limited. The Case focuses on Power 3D, a startup developing customized microbattery solutions based on 3D-printed electrode technology. By March 2026, the company had reached an early prototype stage and was considering potential applications in wearables, hearables, and medical devices. Yet, its limited resources and still-evolving technical validation made it difficult to advance several market opportunities at the same time.The central dilemma was therefore which initial market and commercialization path could generate the most credible evidence of customer value. The analysis assesses the company’s strategic options by considering market attractiveness, customer adoption dynamics, competitive conditions, resource constraints, and the credibility signals required by customers, partners, and investors.The Dissertation concludes that Power 3D should prioritize a focused beachhead strategy, targeting an application where customized battery geometry creates clear customer value and pursuing validation through partner-led co-development, allowing the company to align technical development with real customer requirements, produce stronger market evidence, and build a credible foundation for future growth.The Thesis is divided into three sections: Case Study, Literature Review, and Teaching Note. Together, they connect the empirical case with academic research on technology commercialization, beachhead market selection, strategic positioning, and early-stage venture development.
- Are REITs real estate or stocks?Publication . Castiglioni, Filippo Eugenio; Martins, AntónioThis dissertation investigates how the relationship between Real Estate Investment Trusts (REITs) and the broader stock market has evolved across different market regimes. The central question is whether REITs have become more stock-like over time — that is, whether their sensitivity and co-movement with the equity market has structurally increased. The analysis covers U.S. data from 1994 to 2019 using three complementary approaches: quarterly data with the Geltner-unsmoothed NCREIF Property Index (NPI), quarterly data with the CoStar Commercial Repeat Sale Index (CCRSI), and monthly data with the CCRSI. Three sub-periods are examined: pre-GFC (1994–2006), GFC (2007–2009), and post-GFC (2010–2019).The results are consistent across all approaches. Pre-GFC, the R-squared from regressing REIT returns on the S&P 500 is approximately 9–14% and the estimated beta is 0.27–0.32. During the GFC, R-squared surges to 71–72% and beta exceeds 1.67. Post-GFC, both remain elevated — R-squared at 58–59% and beta at 0.85–0.91 — well above pre-crisis levels. The relationship between REIT returns and direct real estate returns is consistently weak and statistically insignificant across all periods, consistent with Hoesli and Oikarinen (2012). These findings suggest that REITs have become structurally more equity-like since the GFC, with important implications for portfolio diversification.
- Equity valuation of Rolls Royce Holdings PLCPublication . Can, David; Martins, José Carlos TudelaValuing a multi-segment conglomerate amid a fundamental operational turnaround requires aframework that captures the distinct risk, growth, and margin characteristics of each business unit.This paper applies a sum-of-the-parts discounted cash flow methodology to Rolls-Royce HoldingsPLC, valuing the firm’s four operating segments, Civil Aerospace, Defence, Power Systems,and New Markets, independently over a ten-year explicit forecast period (FY2026E–FY2035E). Segment-specific weighted average costs of capital are derived from bottom-up unlevered betascomputed via the Hamada equation across a peer group of 16 publicly traded aerospace, defence,and industrial firms. Revenue growth and EBIT margin assumptions follow a recency-weightedinitialization that fades linearly toward terminal-year targets anchored in management guidance,peer benchmarks, and long-run industry growth. A consolidated company-wide DCF and arelative valuation based on trading multiples serve as cross-checks. The SOTP model producesan implied equity value of £9.57 per share, a 16.8% discount to the market price of £11.50 asat December 31, 2025. The consolidated DCF is corroborated at £8.84, while a segment-levelcomparable company analysis yields a range of £8.53 to £ 9.60. Sensitivity analysis identifiesthe discount rate and the perpetuity growth assumption as the principal sources of valuationuncertainty. The findings suggest that the prevailing market price capitalizes a degree of forwardearnings growth that the company’s reported financials do not yet substantiate.
- Strategic responses to critical raw material dependency : a study of DAX-listed B2B companiesPublication . Frahm, Yannick; Leite, Gonçalo SalazarThis study examines how DAX-listed business-to-business (B2B) companies strategically respond to the increasing dependency on critical raw materials (CRM). Global trends such as decarbonization, electrification, and digitalization have increased the importance of resources such as lithium and cobalt. These risks are further intensified by geopolitical concentration, ecological constraints, and evolving regulatory frameworks such as the European Critical Raw Materials Act (CRMA). Despite facing similar external pressures, companies adopt heterogeneous strategic responses to manage CRM dependency. To explain this variation, the study applies a multi-theoretical framework combining Institutional Theory (IT), Resource Dependence Theory (RDT), and the Resource-Based View (RBV), extended by environmental perspectives, in particular the Natural Resource Dependence Theory (NRDT) and the Natural Resource-Based View (NRBV). This approach enables a multi-level analysis of how external pressures, resource dependencies, and company-specific capabilities together shape strategic decision-making. Methodologically, the research applies a theory-driven comparative archival analysis of annual and sustainability reports from eight DAX-listed B2B companies over the period 2024 to 2025. A qualitative coding framework is used to evaluate relevant CRM-related disclosures. The findings reveal a clear pattern of institutional isomorphism at the macro level, with companies demonstrating similar responses to regulatory and normative pressures. However, variation emerges at the meso and micro levels, where differences in dependency intensity, ecological exposure, and internal capabilities determine strategic choices. The study contributes to the literature by developing an integrated conceptual framework that explains strategic heterogeneity under shared institutional conditions.
- The impact of ESG integration strategies on portfolio performance : evidence from the european equity marketPublication . Basso, Giovanni Battista Del; Thibierge, ChristopheThe growing interest in Environmental, Social and Governance (ESG) considerations has movedthe debate from whether to integrate this information in portfolio construction to how it shouldbe integrated.Using data from the STOXX Europe 600 index, this thesis investigates how portfolio returnand volatility vary when the ESG score is used as a primary screening criterion versus as aweighted factor within a multifactor framework. In addition, the study analyses how sensitivethe performance outcomes are with different ESG weighting schemes.The empirical results show that ESG integration does not have a uniform effect on performance, but rather depends on how it is implemented. The multifactor portfolio delivers thehighest cumulative return in the in-sample period, with consistent risk-adjusted performancein the out-of-sample. By contrast, the static ESG screening strategy underperforms the bench-mark. The third portfolio introduces the concept of ESG momentum and this strategy producesintermediate results, outperforming the benchmark but showing weaker statistical significance.A key finding is that portfolio performance is mainly driven by risk metrics, while ESGcontributes at the margin to increase the returns. The sensitivity analysis reveals that investors canadjust ESG exposure within a certain range without compromising performance, demonstratingthe flexibility of ESG integration. Furthermore, the market beta is almost always negative andstatistically significant, indicating the defensive characteristics of the strategies.Overall, the study contributes to the literature by shifting the focus from whether ESGinvesting pays to how ESG should be integrated into portfolio construction.
- The enterprise value of football clubs : an Asset-Based lower bound valuation framework applied to the italian serie APublication . Sapio, Matteo; Kalogirou, FaniThe financialisation of professional football has produced a persistent and widening gap between the prices at which top-tier clubs change hands and the values that conventional financial methods can justify. Discounted Cash Flow analysis fails in a sector dominated by structurally negative EBIT and binary sporting risk; market multiples lack truly homogeneous comparables; market-capitalisation approaches are constrained by the small universe of listed clubs. This dissertation develops an asset-based Lower Bound valuation framework that delivers a defensible floor price for football clubs, abstracting from the trophy and socio-emotional premia that drive observed transaction prices above any asset-anchored value. The framework is articulated around two pillars: a Player Asset valuation built on Adjusted Present Value logic, with separate discounting of contingent benefits and contractual costs and a Bermuda-option treatment of transfer-window flexibility; and a Stadium valuation through Depreciated Replacement Cost adjusted by an empirical utilisation coefficient that captures fanbase intensity. The framework is applied to all twenty Italian Serie A clubs at the start of the 2025/26 season, producing an aggregate Lower Bound Enterprise Value of EUR 9.56 billion. A transaction backtest against eight Serie A control deals between 2019 and 2025 confirms the floor hypothesis in seven of the eight cases, with multiples of model EV over implied transaction value ranging from 1.02x to 2.48x. The single counter-example identifies the boundary conditions of the framework. The contribution integrates the trophy-asset framework with the value-gap literature, providing a quantitative anchor against which the trophy premium can be measured and negotiated.
- Abnormal returns around real estate M&A announcements : evidence from listed european real estate firms across crisis and non-crisis periodsPublication . Hohmann, Christin; Stahl, JörgThis dissertation examines short-term stock market reactions to M&A announcements in the European listed real estate sector from 2000 to 2025. The results show that acquirer CARs are close to zero and not statistically significant in the full sample, with an average CAR of 0.21% in the main event window. Target shareholders earn positive and statistically significant CARs of 4–5%, confirming that announcement gains flow primarily to target shareholders. The central finding is that acquirer returns vary systematically with market conditions. In non-crisis periods, acquirers earn a positive CAR of 0.50%, whereas crisis-period acquirer CARs are significantly negative at -1.25%. The regression results confirm this effect, indicating that crisis-period transactions reduce acquirer CARs by 1.9 percentage points. Overall, the evidence suggests that European listed real estate M&A follows the broader M&A pattern of limited acquirer gains and positive target gains. Market conditions play an important role in how investors assess real estate acquisitions.
- CMO value creation on digital platforms under distorted performance feedbackPublication . Kade, Luis Maximilian; Rajsingh, PeterDigital platforms have become the main infrastructure through which Chief Marketing Officers (CMOs) allocate growth budgets and justify marketing expenditure. Yet, platform performance signals are produced inside systems whose attribution rules, reporting logic, and optimization incentives may diverge from true causal impact. This dissertation examines how CMOs can measure and defend value creation under distorted platform feedback.The study develops and tests a mixed-methods explanation centered on Performance Learning Distortion (PLD), Perceived CMO Value Creation (PVC), and Growth Investment Capability (GIC). An exploratory sequential design combines 17 semi-structured expert interviews with a 2×2 experimental vignette study. The qualitative phase identifies Evidence Integration as the focal microfoundation. The quantitative phase tests whether stronger evidence reduces distorted learning and changes value and budget judgments.The findings support the core mechanism. Evidence Triangulation reduced PLD and lowered perceived value claims for the focal investment. Serial mediation showed that evidence quality shaped budget decisions through lower PLD, lower PVC, and more restrained allocation. Lower PVC after Evidence Triangulation should therefore be interpreted as better calibration of inflated value claims, not as lower objective CMO value creation. The hypothesized moderating role of GIC was not supported. Capability appears to operate upstream by shaping evidence architecture, validation routines, and decision thresholds.The dissertation contributes to marketing accountability theory by explaining how platform governed feedback can distort executive learning. It identifies Evidence Integration as a microfoundation that protects decision quality under incomplete or biased platform evidence.
- Navigating artificial intelligence integration : a study on the impact of this exponential technological shift on strategic change modelsPublication . Burdenski, Christian Wolfhart; Parada, PedroThis thesis investigates the intersection of strategic change processes and Artificial Intelligence (AI). Traditional change frameworks (e.g., Kotter, Lewin, McKinsey 7S) rely on finite, linear processes. However, these established models are fundamentally challenged by AI’s exponential development speed and inherent unpredictability. This study identified four key change pillars – leadership and governance, vision and planning, the human factor and culture, as well as communication and continuous assessment – common to different strategic change frameworks. It used those to examine whether current theoretical frameworks remain sufficient or must evolve. Using a qualitative, single instrumental case study, data was collected via ten semi-structured interviews regarding a fast-growing technology-based online travel platform.The findings suggest that while the key pillars remain crucial, their practical execution undergoes a radical shift. Leadership must transition from projecting absolute certainty to embracing vulnerability, acknowledging knowledge gaps, and acting as hands-on pioneers who instill a problem-solving mindset into the company. Vision and planning shifts from rigid, long-term roadmaps founded on a tangible bases to continuous experimentation. The human factor demands managing existential concerns, like the fear of losing the "human touch" and career and job anxieties. Finally, as AI automates formal messaging, communication relies increasingly on decentralized, informal networks and "AI Champions" to demystify technology and share use cases. Ultimately, AI-driven change cannot be treated as a finite project. Organizations may never truly finish the adoption process, meaning they must cultivate constant adaptability, bottom-up empowerment, and continuous experimentation to successfully navigate the ongoing technological disruption.