800 research outputs found
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
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
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
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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
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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
Narrativas entrelaçadas no ensino superior - Como nos constituímos enquanto comunidade e produzimos colaborativamente conhecimento emancipatório sobre investigação baseada em artes?
ABSTRACT. This article sets up a collaborative narrative of three elements from the Group Study on Participatory and Artistic Processes in Research and Education (GEPPAIE), composed of researchers in academic and professional development (professors, doctoral and master's students in Education areas). It begins with a question: how have we experienced, as a higher education study group, our meeting spaces for the production of emancipatory knowledge about research, especially about arts-based research? This question unfolds into others and drives us to what has already been produced collectively, but also boosts the new writings and reflections in this text. It is also part of Ana Serra Rocha's PhD, focused on the problematization of The book’s experience as a place of epistemological reflection in artistic education, aiming at a broader reflection in the field of artistic education and in doctoral studies. It speculates on the participatory processes of collaborative creation and on some issues that have been debated at GEPPAIE, namely of a relational and methodological nature, with a view to (des/re)construction of knowledge and its forms of written and visual representation.ABSTRACT. This article sets up a collaborative narrative of three elements from the Group Study on Participatory and Artistic Processes in Research and Education (GEPPAIE), composed of researchers in academic and professional development (professors, doctoral and master's students in Education areas). It begins with a question: how have we experienced, as a higher education study group, our meeting spaces for the production of emancipatory knowledge about research, especially about arts-based research? This question unfolds into others and drives us to what has already been produced collectively, but also boosts the new writings and reflections in this text. It is also part of Ana Serra Rocha's PhD, focused on the problematization of The book’s experience as a place of epistemological reflection in artistic education, aiming at a broader reflection in the field of artistic education and in doctoral studies. It speculates on the participatory processes of collaborative creation and on some issues that have been debated at GEPPAIE, namely of a relational and methodological nature, with a view to (des/re)construction of knowledge and its forms of written and visual representation.
RESUMEN. Este artículo configura una narrativa colaborativa de tres elementos del Grupo de Estudios en Procesos Artísticos y Participativos en Investigación y Educación (GEPPAIE), integrado por investigadores en formación (profesores, estudiantes de doctorado y máster en áreas de Educación). Comienza con una pregunta: ¿cómo hemos vivido nosotros, como grupo de estudio de educación superior, nuestros espacios de encuentro para la producción de conocimiento emancipatorio sobre la investigación, es decir, sobre la investigación basada en las artes? Esta pregunta se desdobla en otras y es el lema para presentar lo ya producido colectivamente, pero también para crear los nuevos escritos y reflexiones que se reflejan en este texto. También forma parte del doctorado de Ana Serra Rocha, centrado en la problematización de El lugar de la experiencia del libro como lugar de reflexión epistemológica, en el contexto de la educación artística, con el objetivo de ampliar la reflexión sobre el campo de la educación artística y sobre los estudios de doctorado desarrollados en este ámbito. Tiene como objetivo reflexionar sobre los procesos participativos de creación colaborativa y sobre algunos temas que se han debatido en GEPPAIE, es decir, de carácter relacional y metodológico, con miras a la (des/re) construcción del conocimiento y la problematización de sus formas de escritura y organización visual.ABSTRACT. This article sets up a collaborative narrative of three elements from the Group Study on Participatory and Artistic Processes in Research and Education (GEPPAIE), composed of researchers in academic and professional development (professors, doctoral and master's students in Education areas). It begins with a question: how have we experienced, as a higher education study group, our meeting spaces for the production of emancipatory knowledge about research, especially about arts-based research? This question unfolds into others and drives us to what has already been produced collectively, but also boosts the new writings and reflections in this text. It is also part of Ana Serra Rocha's PhD, focused on the problematization of The book’s experience as a place of epistemological reflection in artistic education, aiming at a broader reflection in the field of artistic education and in doctoral studies. It speculates on the participatory processes of collaborative creation and on some issues that have been debated at GEPPAIE, namely of a relational and methodological nature, with a view to (des/re)construction of knowledge and its forms of written and visual representation.Este artigo configura uma narrativa colaborativa de três elementos do Grupo de Estudos em Processos Participativos e Artísticos em Investigação e Educação (GEPPAIE), composto por investigadores em formação (docentes, doutorandos e mestrandos em áreas da Educação). Parte da interrogação: como temos vivido, enquanto grupo de estudos do ensino superior, nossos espaços de encontro(s) para a produção de conhecimento emancipatório sobre a investigação, nomeadamente sobre a pesquisa baseada em artes? Esta interrogação desdobra-se noutras e é mote para apresentarmos o já produzido coletivamente, mas também para criarmos as novas escritas e reflexões que estão vertidas neste texto. Integra-se, ainda, no doutoramento de Ana Serra Rocha, centrado na problematização de A experiência do lugar do livro como um lugar de reflexão epistemológica na educação artística, visando ampliar a reflexão sobre o campo da educação artística e sobre os estudos doutorais desenvolvidos nesta área. Tem por objetivo refletir sobre os processos participativos de criação colaborativa e sobre algumas questões que se têm vindo a debater no GEPPAIE, nomeadamente de ordem relacional e metodológica, tendo em vista a (des/re)construção do conhecimento e a problematização das suas formas de organização escrita e visual.
Palavras-chave: comunidade relacional, construção dialógica de conhecimento, narrativas colaborativas, cardografia, tese de doutoramento.
Intertwined narratives in higher education - How do we constitute ourselves as a community and collaboratively produce emancipatory knowledge about arts-based research?
ABSTRACT. This article sets up a collaborative narrative of three elements from the Group Study on Participatory and Artistic Processes in Research and Education (GEPPAIE), composed of researchers in academic and professional development (professors, doctoral and master's students in Education areas). It begins with a question: how have we experienced, as a higher education study group, our meeting spaces for the production of emancipatory knowledge about research, especially about arts-based research? This question unfolds into others and drives us to what has already been produced collectively, but also boosts the new writings and reflections in this text. It is also part of Ana Serra Rocha's PhD, focused on the problematization of The book’s experience as a place of epistemological reflection in artistic education, aiming at a broader reflection in the field of artistic education and in doctoral studies. It speculates on the participatory processes of collaborative creation and on some issues that have been debated at GEPPAIE, namely of a relational and methodological nature, with a view to (des/re)construction of knowledge and its forms of written and visual representation.
Keywords: relational community, dialogic knowledge construction, collaborative narratives, cardography, doctoral thesis.
Narrativas entrelazadas en la educación superior: ¿cómo nos constituimos como comunidad y producimos en colaboración conocimiento emancipatorio sobre la investigación basada en las artes?
RESUMEN. Este artículo configura una narrativa colaborativa de tres elementos del Grupo de Estudios en Procesos Artísticos y Participativos en Investigación y Educación (GEPPAIE), integrado por investigadores en formación (profesores, estudiantes de doctorado y máster en áreas de Educación). Comienza con una pregunta: ¿cómo hemos vivido nosotros, como grupo de estudio de educación superior, nuestros espacios de encuentro para la producción de conocimiento emancipatorio sobre la investigación, es decir, sobre la investigación basada en las artes? Esta pregunta se desdobla en otras y es el lema para presentar lo ya producido colectivamente, pero también para crear los nuevos escritos y reflexiones que se reflejan en este texto. También forma parte del doctorado de Ana Serra Rocha, centrado en la problematización de El lugar de la experiencia del libro como lugar de reflexión epistemológica, en el contexto de la educación artística, con el objetivo de ampliar la reflexión sobre el campo de la educación artística y sobre los estudios de doctorado desarrollados en este ámbito. Tiene como objetivo reflexionar sobre los procesos participativos de creación colaborativa y sobre algunos temas que se han debatido en GEPPAIE, es decir, de carácter relacional y metodológico, con miras a la (des/re) construcción del conocimiento y la problematización de sus formas de escritura y organización visual.
Palabras clave: comunidad relacional, construcción dialógica del conocimiento, narrativas colaborativas, cardografía, tesis de doctorado
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