Lisbon Stock Exchange Research Articles

Economic Value Added (R) - Application to Portuguese Public Companies

Economic Value Added (EVA (R)) is a value-based performance measure developed by Stern Stewart & Co. that offers a means of measuring and communicating performance and that may be used in setting performance targets, paying bonus, and valuing capital projects or companies. Based on a survey of Portuguese public companies listed on the Lisbon Stock Exchange, research was carried out on the awareness and the utilization of various performance measures. The results indicate that managers elect performance measures based on net income. Yet more sophisticated measures such as EVA or CFROI are being increasingly adopted. The major contribution of this study is the analysis of the information content regarding Operating Income, Net Income and EVA, based on a sample of 39 Portuguese public companies during the period from 1995 to 1998. The main results suggest that EVA does not have more information content than traditional performance measures in explaining Equity Market Value. The relationship between EVA and Market Value Added (MVA), however, is statistically significant.

An applied study on recursive estimation methods, neural networks and forecasting

We compare three modelling approaches to univariate time series forecasting, based on recursive estimation and supervised learning methods. The models considered range from relatively simple time-varying parameter damped trend models to non-linear models based on radial basis function ‘networks’ or multi-layer perceptrons. The estimation methods considered are the Kalman filter procedure, the Recursive Least Squares algorithm and variants, and the Levenberg-Marquardt algorithm, which we try to describe under a common framework. As our main goals, we discuss some of the main identification and estimation issues associated with those approaches, and illustrate their application through the study of selected data from the Lisbon stock exchange index.