Strategic asset allocation in Brazil

We study the impact of asset returns’ predictability on optimal portfolio allocation, considering investors concerned with a steady flow of long-term consumption. Relying on a monthly database for 2006-2016, the analysis focuses on the Brazilian context covering returns on (1) a real short-term asset, (2) a long-term asset, (3) a Brazilian stock index, and five other state variables. Predictability of long-term assets returns has a significant impact on their overall optimal demand. In addition, by using the S&P500 index we show that foreign stocks are more predictable than the Brazilian index for moderately conservative investors

Development of a 40 K to 80 K vibration-free cooler for future Earth observation missions

A solution for a sorption-based 40K to 80K Joule-Thomson cooler is presented to answer the needs of potential future Earth observation infrared missions with very low micro-vibration levels requirements from the European Space Agency. The studied solution in this thesis is limited to the development of one Joule-Thomson stage using nitrogen gas to provide 1.5W at 80K. The fluid circulation and compression are achieved through thermal cycling of an adsorbent material specifically chosen for its purpose: threemetalorganicframeworkmaterialswerestudiedtofulfilthisoperation. A detailed design and manufacturing of an elegant breadboard model based on the variousstringentrequirementsisshown. Thecharacterizationandvalidationofsome of the vibration-free cooler components was carried out: results and its engineering challengesarepresented.Para atender às necessidades de futuras missões infravermelho de observação da Terra com requisitos de níveis de micro-vibração muitos reduzidos da Agência Espacial Europeia, um criorrefrigerador de adsorção entre 40K a 80K baseado no efeito Joule-Thomson é apresentado. A solução encontrada e estudada em pormenor nesta dissertação está limitada ao desenvolvimento de um estágio Joule-Thomson usando o gás de azoto para fornecer uma potência frigorífica de 1.5W a 80K. A circulação e compressãodofluídoéobtidaecontroladaatravésdeciclostérmicosdeummaterial deadsorçãoadequadamenteescolhidoparaessefim:trêsmateriaiscomestruturasmetalorgânicas(metalorganicframework,eminglês)foramestudadospararealizaresta operação. Um desenho detalhado e construção do criorrefrigerador tendo em conta os vários requisitos rigorosos de uma missão de observação da Terra são apresentados.Acaracterizaçãoevalidaçãodealgunscomponentesdestecriorrefrigeradorsem vibraçõesforamrealizadas:osresultadosedesafiosdeengenhariasãoapresentados

Gas gap heat switch for CryoFree project

Cryogen-free superconducting magnet systems have become popular during the last two decades for the simple reason that with the use of liquid helium is rather cumbersome and is a scarce resource. Some available CFMS uses a mechanical cryocooler as cold source of the superconductor magnet. However, the cooling of the sample holder is still made through an open circuit of helium. A thermal management of a completely cryogen-free system is possible to be implemented by using a controlled gas gap heat switch (GGHS) between the cryocooler and the variable temperature insert (VTI). This way it would eliminate the helium open circuit. Heat switches are devices that allow to toggle between two distinct thermal states (ON and OFF state). Several cryogenic applications need good thermal contact and a good thermal insulation at different stages of operation. A versatile GGHS was designed and built with a 100 mm gap and tested with helium as exchange gas. An analytic thermal model was developed and a good agreement with the experimental data was obtained. The device was tested on a crycooler at 4 to 80 K ranges. A 285 mW/K thermal conductance was measured at ON state and 0.09 mW/K at OFF. 3000 ON/OFF thermal conductance ratio was obtained at 4 K with helium.Fundação para a Ciência e a Tecnologia - bolsa de iniciação científica atribuída, ao abrigo do projeto “Gestão térmica de fonte fria sem fluidos criogénicos“, PTDC/EMS-PRO/1065/201

Herd behaviour and market efficiency: evidence from the portuguese stock exchange

JEL Classification System: G02, G11, G12, G14This study examines herd behaviour in the Portuguese stock market by analyzing daily data from 2000 to 2016. To test for the existence of herding we use the cross sectional standard deviation and the cross sectional absolute deviation of returns as a measure of dispersion. According to rational asset pricing models equity return dispersion increases with market return but, if investors adopt an imitative behaviour the increasing linear relation between dispersion and market return will not be observable and, as a consequence, risk diversification becomes more difficult to accomplish. We find statistically significant evidence of herd behaviour during asymmetric market conditions, particularly during periods associated with positive returns. Furthermore we find supportive evidence for increased herding formation after the outbreak of the sovereign debt crisis. The findings also suggest that there is a contagion effect between the Spanish stock market and the Portuguese stock market regarding herding behaviour.Este estudo examina o comportamento de manada no mercado acionista português através da análise de dados diários entre 2000 e 2016. Para testar a existência de comportamento de manada são utilizadas as medidas “cross sectional standard deviation” e “cross sectional absolute deviation” das rendibilidades para medição da sua dispersão. De acordo com os modelos tradicionais de avaliação de ativos a dispersão das rendibilidades aumenta com a rendibilidade do mercado mas, se os investidores adotarem um comportamento imitativo, a relação linear entre dispersão e a rendibilidade do mercado não será observável, tornando a diversificação de risco um objectivo mais difícil de alcançar. Encontramos evidência estatisticamente significativa de comportamento de manada durante condições assimétricas de mercado, particularmente durante períodos associados com rendibilidades positivas. Além disso encontramos evidência para o aumento da formação de comportamento de manada após o início da crise da dívida soberana. Os resultados sugerem também que existe um efeito de contágio entre o mercado acionista espanhol e o mercado acionista português no que diz respeito ao comportamento de manada