Stylised Features of Price Setting Behaviour in Portugal: 1992-2001

This paper identifies the empirical stylized features of price setting behaviour in Portugal using the micro-datasets underlying the consumer and the producer price indexes. The main conclusions are the following: 1 in every 4 prices change each month; there is a considerable degree of heterogeneity in price setting practices; consumer prices of goods change more often than consumer prices of services; producer prices of consumption goods vary more often than producer prices of intermediate goods; for comparable commodities, consumer prices change more often than producer prices; price reductions are common, as they account for around 40 per cent of total price changes; price changes are, in general, sizeable; finally, the price setting patterns at the consumer level seem to depend on the level of inflation as well as on the type of outlet.

Ergodicity of polygonal slap maps

Polygonal slap maps are piecewise affine expanding maps of the interval obtained by projecting the sides of a polygon along their normals onto the perimeter of the polygon. These maps arise in the study of polygonal billiards with non-specular reflections laws. We study the absolutely continuous invariant probabilities of the slap maps for several polygons, including regular polygons and triangles. We also present a general method for constructing polygons with slap maps having more than one ergodic absolutely continuous invariant probability.Comment: 17 pages, 6 figure

Hyperbolic polygonal billiards with finitely many ergodic SRB measures

We study polygonal billiards with reflection laws contracting the reflected angle towards the normal. It is shown that if a polygon does not have parallel sides facing each other, then the corresponding billiard map has finitely many ergodic SRB measures whose basins cover a set of full Lebesgue measure.Comment: 26 pages, 2 figure

Corporate social performance and cost of capital

Mestrado em FinançasEste estudo analisa a associação entre Responsabilidade Social Corporativa (RSC) e Custo de Capital para empresas cotadas no índice STOXX Europe 600, de 2002 a 2018. Os modelos de Ohlson e Juettner-Nauroth (2005) e Easton (2004) são usados para calcular uma medida ex-ante do custo do capital próprio, enquanto o custo da dívida é medido através do rácio entre as despesas com juros e o total da dívida com juros. Uma medida de Desempenho Social Corporativo (CSP) foi calculada usando a medida Combined ESG (Environmental, Social and Governance) disponibilizada pela Refinitiv. Os resultados sugerem que o CSP é valorizado pelos mercados de dívida e ações. É encontrada uma relação negativa entre CSP e custo do capital próprio, enquanto a relação entre CSP e custo da dívida é positiva. Testes adicionais sugerem que os mercados de ações penalizam as empresas menos responsáveis em CSP em comparação com seus pares do setor, enquanto os mercados de dívida penalizam os líderes do setor em CSP. Os resultados são robustos para medidas alternativas de CSP, custo de capital próprio e custo de dívida. Além disso, as associações não se mantêm durante os períodos de crise, sugerindo que CSP não adiciona nem destrói valor durante tais períodos.This study analyses the association between Corporate Social Responsibility (CSR) and Cost of Capital for companies listed in the STOXX Europe 600 index, from 2002 to 2018. The Ohlson and Juettner-Nauroth (2005) and Easton (2004) models are used to compute an ex-ante cost of equity measure, while the cost of debt is measured as the ratio of interest expenses to total interest-bearing debt. A measure of Corporate Social Performance (CSP) was computed using the Combined ESG (Environmental, Social and Governance) Score from Refinitiv. Results suggest that CSP is priced by both debt and equity markets. Furthermore, a negative relationship between CSP and cost of equity is found, while the relationship between CSP and cost of debt is positive. Additional tests suggest that equity markets penalize firms lagging in CSP when compared with industry peers, while debt markets penalize industry leaders in CSP. The results are robust for alternative measures of CSP, cost of equity and cost of debt. Furthermore, the associations do not hold during periods of crisis, suggesting CSP is not value relevant during such periods.info:eu-repo/semantics/publishedVersio

On the Fisher-Konieczny Index of Price Changes Synchronization

This note provides a structural interpretation for the index of price changes synchronization proposed by Fisher and Konieczny (2000, Economics Letters, 68, 271-277) and shows that it can be used to test the hypothesis of uniform staggering.