2003, Volume VIII, nº 1
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- A análise da volatilidade do índice PSI-20 baseada modelos ARCH e GARCHPublication . Duarte, Elisabete Mendes; Fonseca, José Alberto Soares daA volatilidade desempenha um papel importante na avaliação dos activos financeiros, daí que proliferem na literatura estudos com vista a sua especificação e medida. Existem várias técnicas para a estimação da volatilidade sendo a volatilidade determinística uma das mais utilizadas. Este tipo de estimação admite que a volatilidade apresenta uma dependência temporal de variáveis conhecidas no mercado. 0 presente artigo testa a hipótese de existência de volatilidade determinística no índice PSI-20. Para esse fim recorre-se a modelos da familia ARCH e GARCH, que elevado número de estudos revelam ser bastante adequados à análise das séries de preços de activos financeiros.
- Fiscal effect in dividend distributionsPublication . Borges, Maria RosaThe dividend irrelevancy proposition, which states that dividends have no impact on the market value of the firm, is only valid under the hypothesis of perfect markets. If market imperfections are considered, namely, the existence of taxes, then dividend distributions became relevant for the decisions of market investors. But even in the presence of taxes, it should be indifferent for the investors to trade before or after the dividend day. If rational arbitrage prevails, the stock price adjustment on the distribution day should reflect the relative taxation of dividends and capital gains. In this paper, this theoretical framework is applied to portuguese data
- Patterns of technology evolution in SMES in their relationship with MMCS : new challenges in the user-producer relationship in the portuguese contextPublication . Moreira, António CarrizoThis paper is part of a broader study about international production taking into account the relationships between Portuguese Small and Medium-sized firms (SMEs) and foreign multinationals (MNCs). Its importance lies in the complementary linkage MNCs exercise on SMEs. This paper addresses and analyses the patterns of technology evolution in the relationship between SMEs and their MNC clients. The objective is to analyse the technology accumulation process among suppliers as a result of the supplier-client interface in the supply chain. It is assumed that the external network of relationships among suppliers is the result of their need to cope with technological change generated by their clients or the clients' generated context.
- Porter's generic strategies, strategic groups and firm performance in the construction industry : a complementary testPublication . Molina Azorín, José Francisco; Quer Ramón, DiegoA central theme in the strategic groups literature is that there is a theoretical relationship between groups and firm performance. However, the empirical evidence is conflicting. The aim of this research is to study this linkage through two analysis. Thus, the analysis that has been traditionally used (performance differences between groups) is complemented with an analysis of performance differences within each group. In order to set up strategic groups, we carry out an analysis about the firms operating in the Spanish construction industry, using specific variables associated with Porter's generic strategies.
- Resistência às tecnologias de informação e estratégias de superação : estudo de caso da implementação do SAP R/3Publication . Mendes, José Carvalho; Machado, Carolina Feliciana de Sá CunhaA resistência do factor humano à implementação das Tl permanece um tema controverso cuja investigação se reveste da maior importância para a compreensão dos fenómenos contemporâneos da transformação das organizações, constituindo um dos maiores desafios em termos de investigação na área dos Sl. A procura de uma melhor compreensão deste fenómeno motivou a realização deste artigo, tendo-se definido como sua finalidade a necessidade de se identificar os principais factores de resistência, assim como sugerir um conjunto de estratégias que, reconhecendo a influência do contexto organizacional, possibilitem a redução das mesmas. A partir dessa anaáise, efectuou-se um estudo de caso a uma organização que implementou um sistema SAP R/3 com o objectivo de confrontar e verificar alguns desses conceitos. Os resultados desse estudo apontam, nessa organização, para a dificuldade de adaptação, como principal factor de resistência e para a informação, participação e formação como principais estratégias para a sua minimização.
- The improvement of organisational learning process with total quality managementPublication . Escrig-Tena, Ana BelénThe objective of this paper deals with the influence exerted by TQM on the capability to promote the process of organisational learning, as one of the competencies that the introduction of TQM helps to develop, We discuss the extent to which the critical factors of TQM favour both the exploration of new knowledge that can modify organisational behaviour, and the exploitation of current learning,
- The January effect and institutional investment in PortugalPublication . Miralles Marcelo, Jose Luis; Miralles Quirós, María del MarOver the last twenty years, many researchers have documented that average rate of return from stocks in the month of January is higher than in any other month of the year. More recently, several researchers have offered a convincing explanation for this so called January effect. Tile window dressing hypothesis claims that high returns on risky securities in January are caused systematic shifts in portfolio holdings of institutional investors at the turn of the year. The purpose of this paper is to provide some insights into this seasonal behaviour of stock prices by testing the window hypothesis and examining the impact mutual funds trading has had on the aggregate stock market in Portugal over the 1996-2001 period,