Browsing by Author "Abreu, Margarida"
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- As crises cambiais do escudo entre 1992 e 1995Publication . Abreu, Margarida
- Contagion in banking crises: a spatial probit modePublication . Amaral, Andrea; Abreu, Margarida; Mendes, VictorWe use a spatial Probit model to study banking crises and show that the probability of a systemic banking crisis depends on contagion and that this effect may result from business connections between institutions or from similarities between banking systems.
- Contagion phenomena in financial crises : evidence from the Portuguese and Spanish exchange rate crises in the early 1990sPublication . Abreu, MargaridaBased on the experience of the Portuguese and Spanish financial crises in the early 1990s, this paper suggests that the spillover of exchange rate crises may reveal a particular dimension of the financial contagion effect: the presumption of mimetic behaviour by monetary authorities.This paper analyses the evolution of the credibility of the Escudo and the Peseta. We set out to test the existence of a contagion effect: that is, in what way does the polarization of exchange rate expectations in a scenario of devaluation of one currency explain the building up of a similar scenario for the other currency? We also examine the transmis- sion mechanisms of such a scenario. Our results suggest the existence of a one-way contagion effect, of the Escudo by the Peseta. Speculative attacks against the Peseta necessarily give rise to speculative attacks against the Escudo, regardless of the evolution of the ‘fundamentals’ of the Escudo. In this case, the spillover of financial crises could be better understood by the anticipated mimetic behaviour of monetary authorities, rather than by the geographical proximity of the countries in question or by the identical performance of the economies of both.
- Contagion phenomena in financial crises: evidence from the portuguese and spanish exchange rate crises in the early nintiesPublication . Abreu, MargaridaBased on the experience of the Portuguese and Spanish financial crises inthe early 1990s, this paper suggests that the spillover of exchange rate crises may reveal a particular dimension of the financial contagion effect: the presumption of mimetic behaviour by monetary authorities. This paper analyses the evolution of the credibility of the Escudo and the Peseta. We set out to test the existence of a contagion effect: that is, in what way does the polarization of exchange rate expectations in a scenario of devaluation of one currency explain the building up of a similar scenario for the other currency? We also examine the transmission mechanisms of such a scenario. Our results suggest the existence of a one-way contagion effect, of the Escudo by the Peseta. Speculative attacks against the Peseta necessarily give rise to speculative attacks against the Escudo, regardless of the evolution of the ‘fundamentals’ of the Escudo. In this case, the spillover of financial crises could be better understood by the anticipated mimetic behaviour of monetary authorities, rather than by the geographical proximity of the countries in question or by the identical performance of the economies of both
- A crise da dívida soberana portuguesa lida através dos spreads dos CDS da dívida portuguesa relativamente aos CDS da dívida alemãPublication . Dias, Tânia; Abreu, MargaridaO presente trabalho estuda os spreads dos CDS (credit default swaps) da dívida pública portuguesa, naquilo em que esta se distingue da dívida pública alemã. Para tal procedeu-se à estimação dos spreads dos CDS da dívida pública portuguesa relativamente aos CDS da dívida alemã considerando três maturidades (1, 5 e 10 anos) e três períodos (agosto de 2005 a fevereiro de 2008, março de 2008 a julho de 2010 e agosto de 2010 a março de 2012). Num primeiro momento seguiu-se a metodologia de Aizenman, Hutchison, & Jinjarak (2011) que centra a explicação destes spreads em variáveis de finanças públicas. Num segundo momento a análise foi alargada com a inclusão de variáveis explicativas financeiras relacionadas com o mercado de capitais. O estudo econométrico desenvolvido permitiu concluir que os spreads dos títulos de dívida pública têm um impacto positivo significativo tal como os níveis de dívida pública (estes últimos, em especial para a maturidade de 1 ano). A taxa de câmbio tem um efeito negativo, com mais relevância nos spreads a 1 e 5 anos. A taxa de crescimento real, com o seu impacto negativo, é mais importante para os períodos total e II, e para os spreads a 1 ano. Os fatores relacionados com o setor externo têm um efeito negativo apenas no horizonte de 1 ano, e o PIB per capita aumenta o risco de incumprimento para os spreads a 5 e 10 anos.
- Cultura financeira dos investidores e diversificação das carteirasPublication . Mendes, Victor; Abreu, MargaridaNeste trabalho procuramos perceber quais os factores que influenciam o nível de cultura financeira dos investidores individuais portugueses e explorar a relação entre conhecimento financeiro e comportamento dos agentes, centrando-nos na diversificação da carteira. Os resultados reportados permitem-nos concluir que o nível geral de cultura financeira dos investidores individuais portugueses é baixo, dois em cada três investidores manifestando um nível de conhecimento específico claramente insuficiente. Foi ainda possível concluir que são os homens casados, com cerca de 44 anos e curso médio ou superior, a viver no litoral ou no Grande Porto e exercendo profissões liberais, os investidores que manifestam maior nível de conhecimento. Por outro lado, foi também possível apurar que quer o grau de formação académica, quer o nível de informação financeira específica, quer ainda as fontes de informação usadas pelos investidores relevam na diversificação da carteira dos investidores.
- Do individual investors trade differently in different markets?Publication . Abreu, Margarida; Mendes, VictorWe investigate the hypothesis that the same investors trade differently in different financial markets. We use a proprietary data base with the transaction records of 129,461 investors for a 10‐year period, and select the investors holding both stocks and warrants in the portfolio. We compare the trading behavior of investors in the stock market and in the warrant market, controlling for investors’ socio‐demographic characteristics (age, occupation, education, etc.) and for investors’ behavioral biases (overconfidence, the disposition effect and pursuit of the pleasure of gambling). Even though investors are the same in both markets, our results clearly show that the sociodemographic determinants of the trading activity in stocks and in warrants are not all the same, implying that the same investors trade stocks differently than warrants. More precisely, overconfident investors have a higher warrant trading activity and a lower domestic stock trading activity, and investors pursuing gambling pleasure or prone to the disposition effect trade warrants more (but do not trade stocks more).
- Do individual investors trade differently in different markets?Publication . Abreu, Margarida; Mendes, VictorWe investigate the hypothesis that the same investors trade differently in different financial markets. We use a proprietary data base with the transaction records of 129,461 investors for a 10-year period, and select the investors holding both stocks and warrants in the port-folio. We compare the trading behavior of investors in the stock market and in the warrant market, controlling for investors’ socio-demographic characteristics (age, occupation, edu-cation, etc.) and for investors’ behavioral biases (overconfidence, the disposition effect and pursuit of the pleasure of gambling). Even though investors are the same in both markets, our results clearly show that the soci-odemographic determinants of the trading activity in stocks and in warrants are not all the same, implying that the same investors trade stocks differently than warrants. More pre-cisely, overconfident investors have a higher warrant trading activity and a lower domestic stock trading activity, and investors pursuing gambling pleasure or prone to the disposition effect trade warrants more (but do not trade stocks more).
- Do macro-financial variables matter for european bank interest margins and profitability?Publication . Mendes, Victor; Abreu, MargaridaThe main goal of this paper is to study the determinants of bank interest margins and profitability for some European countries in the last decade. We use a set of bank characteristics, macroeconomic and regulatory indicators as well as financial structure variables in order to explain interest margins and profitability. We evaluate whether European countries, sharing a common bond - European Monetary System membership - also share the same interest margin and profitability determinants. Beyond the usual micro variables, the paper examines whether bank size and capitalisation as well as inflation, economic growth, exchange rate policy, financial liberalisation and exchange rate turmoil, could be accepted as explanatory variables for bank performance. At the same time, we evaluate the impact of the EMS crisis of 1992/3/4 on the net interest margin and bank profitability, as well as the impact of the liberalisation of capital movements on Portuguese and Spanish banks.
- O efeito disposição nos investidores individuais portuguesesPublication . Simões, Teresa; Abreu, MargaridaO presente trabalho procura avaliar a eventual presença do efeito disposição no comportamento dos investidores individuais portugueses, identificando o perfil do investidor com mais probabilidade de manifestar este desvio comportamental. Com este intuito, é utilizado um inquérito elaborado pela CMVM durante o ano de 2005, sendo a partir dele seleccionadas questões que nos permitem construir uma proxy para o efeito disposição e, através da estimação de um modelo de escolha binária, obter os principais determinantes deste comportamento entre os investidores portugueses. Os resultados sugerem que em Portugal o investidor solteiro/separado/divorciado que resida na região Sul do País ou Ilhas (Açores e Madeira), o investidor que movimenta a carteira pelo menos uma vez por semana, o investidor de curto prazo (day trade ou detentor de títulos no máximo até 1 mês), o investidor com maior propensão para a tomada de risco e o investidor que avalia o mercado de títulos como sendo de fácil acesso, tem menor probabilidade de exibir o Efeito Disposição.
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