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  • The volatility puzzle of the beta anomaly
    Publication . Barroso, Pedro; Detzel, Andrew; Maio, Paulo
    This paper shows that leading theories of the beta anomaly fail to explain the anomaly's conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactually predicts that market and BAB Sharpe ratios increase with volatility. We further show that institutional investors shift their demand from high- to low-beta stocks as volatility increases, and the resulting price impact is sufficient to explain the difference in abnormal BAB returns between high- and low-volatility states.
  • Patterns of food preparation in children and adult diets and their associations with demographic and socio-economic characteristics, health and nutritional status, physical activity, and diet quality
    Publication . Rei, Mariana Correia Castro; Correia, Daniela Macedo; Torres, Duarte Paulo Martins; Lopes, Carla Maria Moura; Costa, Ana Isabel Almeida; Rodrigues, Sara Simões Pereira
    This cross-sectional study aimed to identify patterns of food preparation and examine their demographic and socio-economic drivers, along with impacts on health and nutritional status, physical activity, and diet quality. Dietary data from a national-representative sample (n = 5005, 3–84 years) of the Portuguese National Food, Nutrition, and Physical Activity Survey (IAN-AF 2015/16) were classified by preparation locations (at or away from home) and analysed via hierarchical clustering. Logistic regression models were used to examine associations between demographic and socio-economic factors and food preparation patterns and between these patterns and health and nutritional status, physical activity, and diet quality. The most common food preparation pattern (followed by 45.4% of participants) represented the highest intake of foods prepared by away-from-home establishments. Adolescents (vs. children, OR = 0.29, 95%CI = 0.17, 0.49) and older adults (vs. adults, OR = 0.37, 95%CI = 0.26, 0.53) had lower odds of following this pattern, whereas adult men (vs. women, OR = 4.20, 95% CI = 3.17, 5.57) had higher odds. Higher education, higher household income, and having children/adolescents in the household also increased the odds of eating foods prepared away from home, whereas living in rural areas or in food-insecure households decreased the odds. Noticeably, adults consuming more foods prepared away from home had lower odds of being overweight or obese (OR = 0.74, 95%CI = 0.56, 0.97), but higher odds of sedentarism (OR = 1.45, 95%CI = 1.08, 1.96) and poor diet (OR = 3.01, 95%CI = 2.08, 4.34) compared to those consuming more foods prepared at home by themselves. Dietary patterns marked by high away-from-home food preparation prevail. While these correlated with higher socio-economic status, sedentarism, and poorer diet — relatively to patterns with greater reliance on homecooked food — they were not linked to higher odds of obesity.
  • (Not) by chance? An application of Assembly Theory to infer non-randomness in organizational design
    Publication . Ilseven, Ekin; Puranam, Phanish
    Assembly theory (AT) (Sharma et al., Nature 622:321-328, 2023) is a novel and ambitious perspective on the emergence of larger structures from smaller structures in the physical realm. It offers formal tools to infer the development trajectories of observed structures under some theory-driven assumptions. By mapping it onto the micro-structural perspective of organizations, we show how AT can also help us model organizational development and estimate the extent to which an observed organizational structure is (un)likely to have arisen by chance. We apply these to illustrate how we can infer the extent of non-randomness in the development history of an organization based on its current structure. We note theoretical and empirical implications for the study of organization design.
  • Joint bottom-up method for probabilistic forecasting of hierarchical time series
    Publication . Bertani, Nicolò; Jensen, Shane T.; Satopää, Ville A.
    Many domains involve a hierarchy of time series, where the granular bottom-level series sum to upper-level series based on geography, product category, temporal granularity, or other features. Decision making in these domains requires forecasts that are accurate, probabilistic, and coherent in the sense of respecting the summing structure. In this paper, we first show that accurate and coherent probabilistic forecasts for all series in the hierarchy can be obtained by focusing on a joint model of the bottom-level series. Based on this result, we devise a Bayesian method that models the bottom-level series jointly, takes into account their contemporaneous and lagged dependence, and outputs a coherent probabilistic forecast of all series in the hierarchy. For empirical validation, we compare our method against many state-of-the-art techniques on data on Australian domestic tourism and product sales at Walmart. On each data set, our method outperforms its competition in terms of prediction accuracy. To conclude, we demonstrate how our method can support decisions in inventory management of multiple Walmart products.
  • Adaptação improvisada em equipa: um modelo de adaptação em tempo real
    Publication . Abrantes, António Cunha Meneses; Passos, Ana Margarida; Cunha, Miguel Pina e; Costa, Patrícia Lopes
    Quando as equipas precisam de se adaptar num contexto de escassez extrema de tempo, elas podem paralisar, podem manter o plano anterior, ou podem improvisar um novo plano. Este último fenómeno consiste na adaptação improvisada em equipa. Sendo um conceito recente, pouco se sabe sobre como as equipas se podem adaptar eficazmente em situações de carência temporal, e como podem produzir conhecimento a partir destes processos. Neste artigo conceptual, desenvolvemos um modelo teórico, baseado num fluxo temporal, o qual contribui para um melhor entendimento da adaptação improvisada. Propomos um conjunto de fatores de influência temporais, moderadores da resposta a estímulos contingenciais, e um conjunto de processos de equipa, fundamentais para a eficácia da adaptação improvisada. Propomos, ainda, que a reflexividade em equipa medeia a relação da adaptação improvisada com a aprendizagem. Ao explorar o fluxo temporal da adaptação improvisada em equipa, estendemos as literaturas de improvisação e de adaptação, aumentando a granularidade dos construtos, alargando a sua rede nomológica.
  • Remote work-related barriers: exploring how grit relates to self-reported productivity during COVID-19 lockdown
    Publication . Farias, Ana Rita; Rebordão, Beatriz; Simão, Cláudia
    Remote work has become increasingly common due to the COVID-19 pandemic, but this has presented workers with new difficulties and barriers that may have an effect on their performance and productivity. In this paper, we explored the barriers to remote work and how a certain personality trait—grit: passion and perseverance in achieving long-term goals—could influence how workers copied with this reality. A total of 203 participants (69.5% female) with mean age of 41.90 (SD= 12.60) years completed an online survey, during the first COVID-19 lockdown in Portugal, investigating grit, perceived stress/anxiety, perception of remote work as a barrier, and self-reported productivity during this period. The findings suggest that grit negatively predicts the number of barriers identified during the transition to remote work and consequently positively predicts worker self-reported productivity. Thus, self-reported productivity is positively related to grit, and this relationship is mediated by the number of identified barriers. Future research should extend this study using longitudinal data, exploring the impact of core variables on career progression and the role of grit in worker resilience across various sectors and work environments, including the influence of events like the COVID-19 pandemic.
  • Bank competition and information production
    Publication . De Marco, Filippo; Petriconi, Silvio
    We show that bank competition diminishes banks' incentives to produce information about prospective borrowers. We exploit the deregulation of US interstate branching as a shock to competition and use borrowers' stock returns after loan announcements to measure bank information production. Positive loan announcement returns are reduced in states that deregulate interstate branching, especially for opaque and bank-dependent firms and smaller banks that rely on soft information. Existing (i.e., inside) banks reduce information production more than new (i.e., outside) banks after deregulation, suggesting that they do so to deter borrower poaching. Furthermore, the probability of a covenant violation increases following deregulation.
  • Wherefore art thou competitors? How situational affordances help differentiate among prosociality, individualism, and competition
    Publication . Liu, Yi; Stivers, Adam W.; Murphy, Ryan O.; Doesum, Niels J. Van; Joireman, Jeff; Gallucci, Marcello; Aharonov-Majar, Efrat; Athenstaedt, Ursula; Bai, Liying; Böhm, Robert; Buchan, Nancy R.; Chen, Xiao-Ping; Dumont, Kitty B.; Engelmann, Jan B.; Eriksson, Kimmo; Euh, Hyun; Fiedler, Susann; Friesen, Justin; Gächter, Simon; Garcia, Camilo; González, Roberto; Graf, Sylvie; Growiec, Katarzyna; Hřebíčková, Martina; Karagonlar, Gokhan; Kiyonari, Toko; Kou, Yu; Kuhlman, D. Michael; Lay, Siugmin; Leonardelli, Geoffrey J.; Li, Norman P.; Li, Yang; Maciejovsky, Boris; Manesi, Zoi; Mashuri, Ali; Mok, Aurelia; Moser, Karin S.; Netedu, Adrian; Pammi, Chandrasekhar; Platow, Michael J.; Folmer, Christopher P. Reinders; Reyna, Cecilia; Simão, Cláudia; Utz, Sonja; Meij, Leander van der; Waldzus, Sven; Wang, Yiwen; Weber, Bernd; Weisel, Ori; Wildschut, Tim; Winter, Fabian; Wu, Junhui; Yong, Jose C.; Lange, Paul A. M. Van
    The Triple Dominance Measure (choosing between prosocial, individualistic, and competitive options) and the Slider Measure (“sliding” between various orientations, for example, from individualistic to prosocial) are two widely used techniques to measure social value orientation, that is, the weight individuals assign to own and others’ outcomes in interdependent situations. Surprisingly, there is only moderate correspondence between these measures, but it is unclear why and what the implications are for identifying individual differences in social value orientation. Using a dataset of 8021 participants from 31 countries and regions, this study revealed that the Slider Measure identified fewer competitors than the Triple Dominance Measure, accounting for approximately one-third of the non-correspondence between the two measures. This is (partially) because many of the Slider items do not afford a competitive option. In items where competition is combined with individualism, competitors tended to make the same choices as individualists. Futhermore, we demonstrated the uniqueness of competitors. Compared to prosocials and individualists, competitors exhibited lower levels of both social mindfulness and trust. Overall, the present work highlights the importance of situational affordances in measuring personality, the benefits of distinguishing between individualists and competitors, and the importance of utilizing a measure that distinguishes between these two proself orientations.
  • O desvio deflacionista na ausência de cooperação internacional em contexto de incerteza
    Publication . Torres, Francisco Silva; Teles, Pedro Pinho de
    This note is an extension of Macedo’s two-country static equilibrium model (1985) on international coordination of economic policies under flexible exchange rates. We test the influence of uncertainty on the (in) deflationary bias that characterizes the non-cooperative Nash-Cournot equilibrium. The gap between this solution and the cooperative one is shortened. Both countries cooperate tacitly against «nature» minimizing the involved risk.
  • Evaluating a reference model for SAV in urban areas
    Publication . Pereira, Antonio Reis; Portela, Pedro; Bicho, Marta; Silva, Miguel Mira da
    Previous work presented a reference model for shared autonomous vehicles in urban areas supported by a systematic literature review and topic modeling. The proposed reference model was then evaluated with two real-world demonstrations: the service provided by Waymo in Phoenix and another offered by Baidu in Beijing. In this paper, we present another evaluation based on a survey conducted with a group of potential stakeholders belonging to the mobility industry who were asked about their agreement with each of the concepts in the reference model. The resulting artifact is stronger and more reliable because it reflects the feedback of mobility experts.