Percorrer por autor "Martins, Jéssica Nunes"
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- Optimisation of time-varying asset pricing models with penetration of value at risk and expected shortfallPublication . Nasir, Adeel; Khan, Kanwal Iqbal; Mata, Mário Nuno; Mata, Pedro; Martins, Jéssica NunesThis study aims to apply value at risk (VaR) and expected shortfall (ES) as time-varying systematic and idiosyncratic risk factors to address the downside risk anomaly of various asset pricing models currently existing in the Pakistan stock exchange. The study analyses the significance of high minus low VaR and ES portfolios as a systematic risk factor in one factor, three-factor, and five-factor asset pricing model. Furthermore, the study introduced the six-factor model, deploying VaR and ES as the idiosyncratic risk factor. The theoretical and empirical alteration of traditional asset pricing models is the study’s contributions. This study reported a strong positive relationship of traditional market beta, value at risk, and expected shortfall. Market beta pertains its superiority in estimating the time-varying stock returns. Furthermore, value at risk and expected shortfall strengthen the effects of traditional beta impact on stock returns, signifying the proposed six-factor asset pricing model. Investment and profitability factors are redundant in conventional asset pricing models.
- Role of green and multisensory packaging in environmental sustainability: Evidence from FMCG sector of PakistanPublication . Dantas, Rui Miguel; Sabir, Irfan; Martins, José Moleiro; Majid, Muhammad Bilal; Rafiq, Muhammad; Martins, Jéssica Nunes; Rana, KanzaThe primary purpose of this research is to explain the importance of a significant aspect of a sustainable environment: green packaging. Green packa ging has been revealed to have an astounding effect on a sustainable environment. Misuse of carbon products negatively affects the environment and pollutes the surroundings to a great extent, for which one feasible solution is green packaging. The phenomenon has been investigated using two independent variables: green packaging and multi-sensory packaging. Consumer environmental knowledge has been used as a mediating variable, and consumer perception has been used as a moderating variable, whereas the dependent variable is ecological sustainability. Current research is quantitative, and data were collected from 302 FMCG customers through a Self-Administered questionnaire survey. The research approach was deductive, and the nature of the study was explanatory. AMOS software and the Structural Equation Modelling (SEM) technique have been used to test the proposed hypotheses. According to the study’s findings, green packaging has a significant and positive effect on environmental sustainability, while multisensory packaging has a negative impact. Consumer perception positively moderates the relationship between green packaging and ecological sustainability. At the same time, consumer environmental knowledge had no mediating effect between green packaging, multi sensory packaging, and ecological sustainability. This research fills the literature gap, as few studies exist on the relationship between green packaging and environmental sustainability. The mediating and moderating model has been tested for the first time in the FMCG sector of Pakistan. This study benefits manufacturers and marketers to know the importance of green packaging to enhance a sustainable environment. FMCG companies can use reusable and recyclable materials instead of substances like Plastic and Styrofoam for Packing, which is environmentally friendly and affordable for daily usage.