Event Study Tests: A brief survey

In this paper, I describe some of the main parametric and non-parametric tests used in event studies to assess the significance of abnormal returns or changes in variance of returns.Event Studies

The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks

This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I use data on emerging markets’ individual stocks from the Emerging Markets Data Base (IFC). My results indicate that the most important pricing factors are common to the emerging markets in my sample, and that these important factors are similar to those identified for mature markets. Among the top six factors are technical factors and price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, premia are local.International Asset Pricing; Emerging Markets

Abnormal Returns in Privatization Public Offerings: The case of Portuguese firms

This paper provides evidence on abnormal returns of Portuguese privatization public offerings for the period from 1989 to 2001. This study explores the abnormal performance of a comprehensive sample of Portuguese privatization transactions and investigates the determinants of the observed price behavior. We find some evidence of the underpricing phenomenon for privatized offerings but initial returns are low and barely significant. The results show further that privatization IPOs underperform private sector IPOs. In the long run, we observe negative abnormal returns. While in early event months, privatization public offerings yield more negative returns than private sector offerings, this effect is reversed in longer horizon periods. Initial underpricing is thus partially reversed and investors seem to require higher returns in partial privatizations.

Market Impact of International Sporting and Cultural Events

This paper investigates the impact of international sporting and cultural events on national stock markets. We study market reaction to the announcements of the selected country hosting the Summer and Winter Olympic Games, the World Football Cup, the European Football Cup and World and Specialized Exhibitions. We also measure the market effects of the announcement of the nomination of the European Cultural City. First, we evaluate the abnormal returns of winning bidders at (and around) the announcement date using an event study methodology. We study the impact at market and industry-levels. Second, we analyze the determinants of the variation in abnormal returns across events and industries on the basis of a set of variables found important by previous studies and control for the prior probability of observing the event. Third, on the basis of a simple model of partial anticipation, we reexamine the abnormal returns observed for the winning and losing countries and perform a series of tests to disentangle the different theoretical arguments that could account for the observed stock market behavior. Our initial results suggest that the abnormal returns measured at the announcement date and around the event are not consistently different from zero. Further, when we look at particular industries, we find no evidence supporting that industries, that a priori were more likely to extract direct benefits from the event, observe positive significant effects. Yet when we control for the prior expectations, the announcement of these mega-events is associated with a positive market reaction in the nominated country and a negative reaction in the losing country. Overall we interpret our findings as supportive of rational asset pricing and partial anticipation.Market efficiency; Event studies; Mega-events

Market Impact of International Sporting and Cultural Events

This paper investigates the impact of international sporting and cultural events on national stock markets. We study market reaction to the announcements of the selected country hosting mega-events such as the Olympic Games, the World and the European Football Cups and World Exhibitions. First, we evaluate the abnormal returns of winning bidders at (and around) the announcement date at market and industry-levels. Second, we analyze the determinants of the variation in abnormal returns across events and industries and control for the prior probability of observing the event. Third, on the basis of a simple model of partial anticipation, we reexamine the abnormal returns observed for the winning and losing countries. Our initial results suggest that the abnormal returns are not consistently different from zero. Further, when we look at particular industries, we find no evidence supporting that industries, that a priori were more likely to extract direct benefits from the event, observe positive significant effects. Yet when we control for the prior expectations, the announcement of these megaevents is associated with a positive stock market reaction in the nominated country and a negative reaction in the losing country. Overall we interpret our findings as supportive of rational asset pricing and partial anticipation.Market efficiency; Event studies; Mega-events

Tests of international capital market integration: evidence from emerging stock markets

The central theme underlying my thesis is Emerging Stock Markets and my dissertation consists of three empirical essays regarding International Asset Pricing. I focus my research on emerging markets and stress how the new and extensive data provide additional insights on International Capital Market Integration and Portfolio Diversification issues. My first essay tests whether an International Asset Pricing theory can account for the time-series as well as cross-sectional variation in discounts. I use an extensive new data set on US, UK and off-shore emerging markets' country funds. I find that changes in discounts are significantly and positively correlated with the fund's exposure to the world market factor but I find no significance for the underlying assets' exposure to the local market factor. The evidence is also inconclusive regarding the effects of barriers to free investment. Overall, my results suggest that segmentation of capital markets is insufficient to explain the time-series and cross-sectional variation in country funds' discounts. My second essay examines how the dual-listing of emerging markets' stocks affects their valuation and studies the link between these effects and market segmentation. My empirical results are based on dual-listings of emerging markets' stocks on US and London exchanges. Firms experience significant positive abnormal returns before the listing date and a significant decline in returns over the first five weeks following listing. The valuation impact is similar across exchanges and more pronounced for emerging markets' firms. Overall, the results are consistent with the market segmentation hypothesis. My third essay analyses the influence of industrial factors on the cross-sectional variance and correlation structure of country index returns for the particular case of emerging markets. In addition, I investigate, for each market, the role of a set of a priori specified factors in the cross-section of stock returns, and assess whether those factors are common to the universe of emerging markets. My sample consists of all the individual stocks composing the IFC emerging markets' indices. Country effects are the most important factors driving the behaviour of emerging markets' individual stock returns. A finer industry partition shows, however, that ignoring the industrial mix will lead to an important loss of diversification benefits. Furthermore, my results indicate that the most important pricing factors are common to emerging markets. Yet the payoffs to these factors are uncorrelated. Altogether, the empirical results are consistent with market segmentation

Impacto da conclusão da graduação em funcionários administrativos de uma faculdade particular do DF

O presente estudo teve como alicerce principal a Psicodinâmica do Trabalho. Através da pesquisa exploratória procurou-se responder o seguinte problema de pesquisa: qual o impacto da conclusão da graduação em funcionários administrativos de uma faculdade particular do DF? Os objetivos específicos da pesquisa foram: descrever o trabalho prescrito, identificar o trabalho real e analisar sobre a manutenção desse funcionário. Os dados da pesquisa foram coletados através de entrevistas semiestruturadas, realizadas com quatro funcionários da faculdade em questão e posteriormente transcritas e analisadas pela analise de conteúdo. Eles gostam do ambiente de trabalho, valorizam a cultura da empresa, mas estão insatisfeitos com a remuneração salarial que não condiz que o serviço real e com a falta de oportunidade de crescimento dentro da empresa

EU housing markets: the role of institutional factors

Using cluster analysis this study reveals significant heterogeneity in the institutional characteristics of European mortgage markets. Distinct clusters are formed which can be related to differences in the mortgage credit system, the relative importance of the owner-occupation and the property specific fiscal system. The paper then tests for multiple structural breaks. We find evidence that structural breaks in European housing markets often coincide with a changes in housing market policy

Residential property loans and bank performance during property price booms: evidence from Europe

Understanding the performance of banks is of the utmost importance due to the impact the sector may have on economic growth and financial stability. Residential mortgage loans constitute a large proportion of the portfolio of many banks and are one of the key assets in the determination of their performance. Using a dynamic panel model, we analyse the impact of residential mortgage loans on bank profitability and risk, based on a sample of 555 banks in the European Union (EU-15), over the period from 1995 to 2008. We find that an increase in residential mortgage loans seems to improve bank’s performance in terms of both profitability and credit risk in good market, pre-financial crisis, conditions. These findings may aid in explaining why banks rush to lend to property during booms because of the positive effect it has on performance. The results also show that credit risk and profitability are lower during the upturn in the residential property cycle

House price dynamics and bank herding: European empirical evidence

This paper investigates the behavior of residential property and examines the linkages between house price dynamics and bank herding behavior. The analysis presents evidence that irrational behaviour may have played a significant role in several countries, including; United Kingdom, Spain, Denmark, Sweden and Ireland. In addition, we also provide evidence indicative of herding behaviour in the European residential mortgage loan market. Granger Causality tests indicate that non-fundamentally justified prices dynamics contributed to herding by lenders and that this behaviour was a response by the banks as a group to common information on residential property assets. In contrast, in Germany, Portugal and Austria, residential property prices were largely explained by fundamentals. Furthermore, these countries show no evidence of either irrational price bubbles or herd behaviour in the mortgage market. Granger Causality tests indicate that both variables are independent