Encontrados 8 documentos, a visualizar página 1 de 1
Typological classification, diagnostics, and measurement of flights-to-quality
Gubareva, Mariya; Borges, Maria RosaThis paper proposes a total return-based framework to study flight-to-quality phenomenon of fixed-income securities. It consists of three elements: (i) the general definition of event; (ii) the typological classification of the phenomena to be able associate them with the phases of business cycle; (iii) automated technique to diagnose the time frames and to measure the impact of flight-to-quality on debt instru...
Interbank linkages and contagion risk in the portuguese banking system
Fernandes, Lara Mónica Machado; Borges, Maria RosaInterbank money markets play a fundamental role in financial systems but they can also be a channel through which problems in one institution can spread to the remaining ones. In particular, the potential for contagion stemming from interbank money markets is closely related with the pattern of interbank lending relationships. In this study, we characterize the Portuguese overnight interbank money market betwee...
The Impact of Corporate Rebranding on the Firm's Market Value
Borges, Maria Rosa; Branca, Ana S.Rebranding corresponds to the creation of a new name, term, symbol, design or a combination of them for an established brand with the intention of developing a differentiated position in the mind of stakeholders and competitors. Increased competition has led firms to an avenue of differentiation, and rebranding has been approached by firms in order to differentiate themselves and to promote the corporate image....
Calendar effects in stock markets : critique of previous methodologies and rece...
Borges, Maria RosaThis paper examines day of the week and month of the year effects in seventeen European stock market indexes in the period 1994-2007. We discuss the shortcomings of model specifications and tests used in previous work, and propose a simpler specification, usable for detecting all types of calendar effects. Recognizing that returns are non-normally distributed, autocorrelated and that the residuals of linear reg...
Efficient Market Hypothesis in European Stock Markets
Borges, Maria RosaThis paper reports the results of tests on the weak-form market efficiency applied to stock market indexes of France, Germany, UK, Greece, Portugal and Spain, from January 1993 to December 2007. We use a serial correlation test, a runs test, an augmented Dickey-Fuller test and the multiple variance ratio test proposed by Lo and MacKinlay (1988) for the hypothesis that the stock market index follows a random wal...
Is the Dividend Puzzle Solved?
Borges, Maria RosaSince the 1960's, there is an ongoing debate on dividend policy, which remains a controversial issue to this day. Why do firms pay dividends? The academics have not been able to agree on any convincing explanation, and the same time, many even claim that firms should not pay dividends, and so we have a "dividend puzzle ". The purpose of this paper is to summarize the main findings of two more recent fields of r...
An Arbitrage Model for the Stock Price Adjustment in the Dividend Period
Borges, Maria RosaFollowing a dividend distribution, investors expect the stock price to decrease on the ex-dividend day. With no market imperfections, the price decrease should exactly match the amount of the dividend, thus eliminating all opportunities for profitable arbitrage. Allowing for different taxes on dividends and on capital gains results in a stock price adjustment ratio different from one, but there is still a uniqu...
Random Walk Tests for tha Lisbon Stock Market
Borges, Maria RosaThis paper reports the results of tests on the weak-form market efficiency applied to the PSI-20 index prices of the Lisbon Stock Market from January 1993 to December 2006. As an emerging stock market, it is unlikely that it is fully information-efficient, but we show that the level of weak-form efficiency has increased in recent years. We use a serial correlation test, a runs test, an augmented Dickey-Fuller t...
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