Mendes-Ribeiro, Mafalda
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Último Nome
Mendes-Ribeiro
Primeiro Nome
Mafalda
Nome
Mafalda Mendes-Ribeiro
Biografia
Luisa Mafalda Matos Ferreira Mendes Ribeiro (Mendes-Ribeiro, M.). Phd in Finance at Universidade Portucalense Infante Dom Henrique (2011). Assistant Professor at Universidade Portucalense, Porto, Portugal. Published 8 papers with blind peer review. Guest Speaker in several Conferences abroad and in Portugal. Researcher in Complex Finantial Instruments (CFI), Financial Supervision in CFI, Gender Enterpreneurship, Nature Tourism, Migrants and Refugies Integration.
Identificadores
821D-14A1-4B4E
P-6826-2017Projetos de investigação
Unidades organizacionais
REMIT – Research on Economics, Management and Information Technologies
Centro de investigação que que tem como objetivo principal produzir e disseminar conhecimento teórico e aplicado que possibilite uma maior compreensão das dinâmicas e tendências económicas, empresariais, territoriais e tecnológicas do mundo contemporâneo e dos seus efeitos socioeconómicos. O REMIT adota uma perspetiva multidisciplinar que integra vários domínios científicos: Economia e Gestão; Ciências e Tecnologia; Turismo, Património e Cultura.
Founded in 2017, REMIT – Research on Economics, Management and Information Technologies is a research unit of Portucalense University. Based on a multidisciplinary and interdisciplinary perspective it aims at responding to social challenges through a holistic approach involving a wide range of scientific fields such as Economics, Management, Science, Technology, Tourism, Heritage and Culture.
Grounded on the production of advanced scientific knowledge, REMIT has a special focus on its application to the resolution of real issues and challenges, having as strategic orientations:
- the understanding of local, national and international environment;
- the development of activities oriented to professional practice, namely in the business world.
4 resultados
Resultados da pesquisa
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Publicação Acesso Aberto Hedge funds strategies: Are they consistent?2011 - Machado-Santos, Carlos; Mendes-Ribeiro, MafaldaAlternative investment has grown considerably, transforming this industry in the forefront of investment innovation. Despite their public acknowledgment and profound influence in the financial market, there is still relative small understanding about hedge funds strategies style. This paper intends to determine whether stylistic characterization exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indices with one of the most representative indices of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of equal mean monthly returns on every strategy, comparing the two data sources, showing that there is no significant differences between the strategies analyzed, suggesting that the purity in each style is not as developed and accurate as we may suppose.Publicação Acesso Aberto An approach to the industry of hedge funds.2011 - Mendes-Ribeiro, Mafalda; Machado-Santos, Carlos, orientador científico; Pacheco, Luís MiguelThis PhD thesis analyses the hedge funds industry starting by decomposing the performance of hedge funds indexes through the period of 1998-2008,using two important databases indexes, the EDHEC Alternative Indexes and the CSFB/TREMONT Alternative Indexes, and finally comparing their performance with the MSCI World Index. The first purpose, stated in Part One, is to determine whether stylistic characterization exists across hedge funds strategies, regarding seven strategies: Convertible arbitrage, Emerging markets, Event driven, Fixed income arbitrage, Global macro, Long/Short Equity and Equity market neutral. The results of Part One reveal that there is no significant differences between the strategies analyzed, suggesting that the purity in each style is not as developed and accurate as we may suppose. Following this, we analyze another specific aspect of hedge funds: if seasonality behavior is present in monthly returns in hedge funds indexes. Part Two intends to determine whether seasonality exists, by comparing the performance of the two major representative indexes of hedge funds, regarding the same seven main strategies. The results suggest that there are significant higher returns in December, as well as lower and negative returns during the months of July, August and September. These results suggest that BLASH(Buy Low And Sell High) is possible in Hedge Funds management. Finally we study the important aspect of neutrality. The objective of Part Three is to determine if market neutral hedge funds strategies are exposed to the equity market or if they are really market neutral. Using two main data base hedge funds indexes, and comparing them to the MSCI World Index, from January 1998 till December, we perform a comparative analysis on the most representative and most interesting market neutral hedge funds strategies.We checked for this neutrality and analyze what kinds of strategies consistently performance diferently over time. Our resuts suggest that neutrality strategies in the so called arbitrage and pure alpha, do not perform differently from the traditional capital market, so managers must be prudent when combine such strategies into their portfolios.Publicação Acesso Aberto Market neutral hedge funds strategies: Are they really neutral?2011 - Machado-Santos, Carlos; Mendes-Ribeiro, MafaldaThe objective of this paper is to examine whether Market Neutral hedge funds strategies are exposed to the equity market or if they are in fact Market Neutral. Using two main database hedge funds indexes, EDHEC and CSFB Tremont, and contrasting them to the MSCI World Index, from January 1998 to December 2008, we performed a comparative analysis on the most representative Market Neutral hedge funds strategies. We examine for its neutrality and analyze what kind of strategies consistently perform differently over time, considering four strategies of Market Neutral hedge funds. The results, based on monthly returns, suggest that neutrality in the so-called arbitrage and pure alpha strategies do not perform differently from the traditional capital market, leading to the conclusion that neutrality in hedge funds, given their investment characteristics, is not as accurate as one may suppose. In such a context, mutual funds’ managers should be aware of their hedge funds picking strategies when diversifying portfolios based on the neutrality of these hedge funds.Publicação Acesso Aberto Is Blash possible in Hedge Funds? An approach to Seasonality2010 - Machado-Santos, Carlos; Mendes-Ribeiro, MafaldaSeasonality and behavior patterns are part of our daily life. Several studies have shown that seasonality behavior exists in different financial markets, especially in the spot market of equities and bonds. But, when we consider the monthly returns in hedge funds indexes, thus this occurs also? Many market participants have observed that as year goes by, a December Spike occurs frequently, and that has permeated the financial community to accept this effect as a common occurrence.This paper intends to determine whether seasonality exists across hedge fund strategies, by comparing, for the period of 1998 to 2008, the performance of the EDHEC indexes with another one of the most representative indexes of hedge funds, the CSFB/Tremont index, regarding seven main strategies. The results do not reject the hypothesis of seasonality on every strategy, comparing the two data sources, showing that there are significant higher returns in December, as well as lower and negative returns during the months of August, September and October. These results suggest that BLASH (Buy Low And Sell High) is possible in Hedge Funds management.