Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance

This master's dissertation examines the impact of the Sustainable Finance Disclosure Regulation (SFDR) on mutual equity funds domiciled in the Eurozone, specifically those governed by Article 9, and the ensuing behavioural repercussions on investors. This academic endeavour contributes to the growing empirical evidence positing the SFDR regulation as an effective bulwark against greenwashing. This is substantiated through the analysis of cross-sectional data procured from two independent ESG data providers, Refinitiv and MSCI, demonstrating that funds governed by Article 9 consistently deliver superior ESG metrics. Further, this dissertation probes the propensity of investors to allocate a greater quantum of capital towards Article 9 funds and ventures into a detailed analysis of the inherent characteristics of these investors. Utilising a panel data dataset and deploying a difference-in-differences model revealed that investors demonstrate a preference for Article 9 funds preceding the final implementation date of 10th March 2021. Additionally, these investors exhibit signs of higher resilience. Lastly, this research assesses performance disparities by deploying the Fama and French 3-Factor Model. The analysis suggests that Article 9 funds are characterised by heightened factor exposure to growth investments. Nevertheless, during the observation period spanning 2018 to 2022, SFDR 9 funds do not exhibit a positive alpha. However, when assessed through a difference-in-differences lens, these funds demonstrate a significantly higher alpha than their counterparts.Esta dissertação analisa o impacto do Regulamento relativo à divulgação de informações sobre finanças sustentáveis (Sustainable Finance Disclosure Regulation - SFDR) nos fundos de investimento em ações da zona euro, especificamente nos fundos regidos pelo Artigo 9. Esta tese contribui para as crescentes provas empíricas que apontam o regulamento SFDR como um baluarte eficaz contra greenwashing. Isto é comprovado através da análise de dados transversais obtidos de dois fornecedores independentes de dados ESG, Refinitiv e MSCI, demonstrando que os fundos regidos pelo Artigo 9 consistentemente alcançam métricas ESG superiores. Além disso, esta dissertação investiga a propensão dos investidores para afetarem um maior volume de capital aos fundos do Artigo 9 e analisa as características inerentes a estes investidores. A utilização de um conjunto de dados de painel e a aplicação de um modelo de diferenças em diferenças revelaram que os investidores demonstram uma preferência pelos fundos do Artigo 9 antes da data de implementação final de 10/03/2021. Além disso, estes investidores apresentam sinais de maior resiliência. Por último, este estudo avalia as disparidades de desempenho através da aplicação do modelo de 3-fatores de Fama e French. A análise sugere que os fundos do Artigo 9 se caracterizam por uma maior exposição a fatores de investimento em crescimento. Ainda assim, durante o período de observação de 2018-2022, os fundos SFDR 9 não apresentam um alfa positivo. No entanto, quando avaliados através de uma lente de diferença nas diferenças, estes fundos demonstram um alfa significativamente mais elevado do que os seus homólogos

Coarse-grained Classification of Web Sites by Their Structural Properties

In this paper, we identify and analyze structural properties which reflect the functionality of a Web site. These structural properties consider the size, the organization, the composition of URLs, and the link structure of Web sites. Opposed to previous work, we perform a comprehensive measurement study to delve into the relation between the structure and the functionality of Web sites. Our study focuses on five of the most relevant functional classes, namely Academic, Blog, Corporate, Personal, and Shop. It is based upon more than 1,400 Web sites composed of 7 million crawled and 47 million known Web pages. We present a detailed statistical analysis which provides insight into how structural properties can be used to distinguish between Web sites from different functional classes. Building on these results, we introduce a content-independent approach for the automated coarse-grained classification of Web sites. A naïve Bayesian classifier with advanced density estimation yields a precision of 82% and recall of 80% for the classification of Web sites into the considered classes

Epidemic Dissemination of Presence Information in Mobile Instant Messaging Systems

This paper presents an approach for exchanging presence information between users of an instant messaging system in a mobile ad hoc network. As major feature, presence information is transferred when mobile users get in direct contact, similar to the spread of an infections disease. By exploiting node mobility, presence information is epidemically distributed throughout the network, effectively overcoming network partitions. We show how to apply the Passive Distributed Indexing Protocol, which implements a general-purpose lookup service for mobile applications building upon epidemic data dissemination, for implementing the exchange of presence information. The effectiveness of the approach is illustrated in a simulation study using the network simulator ns-2. Building upon the results, we present the architecture of a mobile instant messaging system that supports the widely adopted Extensible Messaging and Presence Protocol (XMPP), an IETF standardized protocol for instant messaging

A Clean-Slate Architecture for Reliable Data Delivery in Wireless Mesh Networks

In this paper, we introduce a clean-slate architecture for improving the delivery of data packets in IEEE 802.11 wireless mesh networks. Opposed to the rigid TCP/IP layer architecture which exhibits serious deficiencies in such networks, we propose a unitary layer approach that combines both routing and transport functionalities in a single layer. The new Mesh Transmission Layer (MTL) incorporates cross-interacting routing and transport modules for a reliable data delivery based on the loss probabilities of wireless links. Due to the significant drawbacks of standard TCP over IEEE 802.11, we particularly focus on the transport module, proposing a pure rate-based approach for transmitting data packets according to the current contention in the network. By considering the IEEE 802.11 spatial reuse constraint and employing a novel acknowledgment scheme, the new transport module improves both goodput and fairness in wireless mesh networks. In a comparative performance study, we show that MTL achieves up to 48% more goodput and up to 100% less packet drops than TCP/IP, while maintaining excellent fairness results

Effective Dissemination of Presence Information in Highly Partitioned Mobile Ad Hoc Networks

Presence technology enables users of an instant messaging (IM) system to determine if their contacts are online and ready to communicate. In this paper, we propose an effective approach for the proactive dissemination of frequently changing presence information in highly partitioned mobile, wireless networks with IEEE 802.11 technology. Although communication techniques for intermittently connected networks have been extensively studied in the field of delay tolerant networking, the fact that presence information is highly delay sensitive requires a thorough revision of these techniques. To this end, we use discrete-event simulation based on a high-level stochastic model of the IM system to compare different approaches for disseminating presence information in terms of sustained consistency (i.e., fraction of time presence information is in a coherent state) and traffic requirements. Building upon the outcome of the simulation study, we propose the system for presence information exchange by epidemic dissemination (SPEED). Results of a detailed ns-2 simulation study show that SPEED outperforms an approach based on optimized flooding by up to 20% in terms of sustained consistency for low node density and saves up to 48% of control traffic for medium to high node density

Consistency mechanisms for a distributed lookup service supporting mobile applications

This paper presents a general-purpose distributed lookup service, denoted Passive Distributed Indexing (PDI). PDI stores entries in form of (key, value) pairs in index caches located in each mobile device. Index caches are filled by epidemic dissemination of popular index entries. By exploiting node mobility, PDI can resolve most queries locally without sending messages outside the radio coverage of the inquiring node. Thus, PDI reduces network traffic for the resolution of keys to values. For keeping index caches coherent, configurable value timeouts implementing implicit invalidation and lazy invalidation caches implementing explicit invalidation are introduced. Inconsistency in index caches due to weak connectivity or node failure is handled by value timeouts. Lazy invalidation caches reduce the fraction of stale index entries due to modified data at the origin node. Similar to index caches, invalidation caches are filled by epidemic distributions of invalidation messages. Simulation results show that with the suitable integration of both invalidation mechanisms, more than 95% of results delivered by PDI index caches are up-to-date for the considered scenario

Exploiting epidemic data dissemination for consistent lookup operations in mobile applications

This paper presents a general-purpose distributed lookup service, denoted Passive Distributed Indexing (PDI). PDI stores entries in form of (key, value) pairs in index caches located at mobile devices. Index caches are filled by epidemic dissemination of popular index entries. By exploiting node mobility, PDI can resolve most queries locally without sending messages outside the radio coverage of the inquiring node. For keeping index caches coherent, configurable value timeouts implementing implicit invalidation and lazy invalidation caches implementing explicit invalidation are introduced. Inconsistency in index caches due to weak connectivity or node failure is handled by value timeouts. Lazy invalidation caches reduce the fraction of stale index entries due to modified data at the origin node. Similar to index caches, invalidation caches are filled by epidemic distributions of invalidation messages. We evaluate the performance of PDI for a mobile P2P file sharing a mobile instant messaging application. Simulation results show that with the suitable integration of both invalidation mechanisms, up to 80% of the lookup operations return correct results and more than 90% of results delivered by PDI index caches are up-to-date

Internet performance modeling: the state of the art at the turn of the century

Seemingly overnight, the Internet has gone from an academic experiment to a worldwide information matrix. Along the way, computer scientists have come to realize that understanding the performance of the Internet is a remarkably challenging and subtle problem. This challenge is all the more important because of the increasingly significant role the Internet has come to play in society. To take stock of the field of Internet performance modeling, the authors organized a workshop at Schloß Dagstuhl. This paper summarizes the results of discussions, both plenary and in small groups, that took place during the four-day workshop. It identifies successes, points to areas where more work is needed, and poses “Grand Challenges” for the performance evaluation community with respect to the Internet

TCP with Adaptive Pacing for Multihop Wireless Networks

In this paper, we introduce a novel congestion control algorithm for TCP over multihop IEEE 802.11 wireless networks implementing rate-based scheduling of transmissions within the TCP congestion window. We show how a TCP sender can adapt its transmission rate close to the optimum using an estimate of the current 4-hop propagation delay and the coefficient of variation of recently measured round-trip times. The novel TCP variant is denoted as TCP with Adaptive Pacing (TCP-AP). Opposed to previous proposals for improving TCP over multihop IEEE 802.11 networks, TCP-AP retains the end-to-end semantics of TCP and does neither rely on modifications on the routing or the link layer nor requires cross-layer information from intermediate nodes along the path. A comprehensive simulation study using ns-2 shows that TCP-AP achieves up to 84% more goodput than TCP NewReno, provides excellent fairness in almost all scenarios, and is highly responsive to changing traffic conditions