Browsing by Author "Borges, Maria Rosa"
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- Abnormal returns before acquisition announcements : evidence from EuropePublication . Borges, Maria Rosa; Gairifo, RicardoAcquisition announcements influence the stock price of target firms, providing an opportunity for insiders to obtain significant abnormal returns. We study the presence of positive abnormal returns before the announcement date, in target firms, quoted in Euronext markets (Belgium, France, The Netherlands and Portugal) from 2001 to 2007. We investigate whether the pre-announcement run-up of prices can be explained by rumours in the media and the percentage of capital previously owned by the bidding firm, among other factors. We examine cumulative abnormal returns in an event window of 60 days prior the acquisition announcement, with the event date adjusted for the previous disclosure of news about the acquisition, in the media. We compute a run-up index, and find that there are abnormal positive returns before the announcement date, confirming previous studies. We find that a significant part of the run-up is explained by: (i) market anticipation triggered by legitimate sources of information, namely, rumours in the media about the possibility of an acquisition bid and (ii) the percentage of capital previously owned in the target firm, by the bidding firm..
- An arbitrage model for the stock Price adjustment in the dividend periodPublication . 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 unique equilibrium. With a simple model, considering four types of investors, we show that the consideration of transaction costs results in multiple possible equilibria (equilibrium zone), defined by the arbitrage boundaries of each type of investors. We also show that trading activity by the different types of investors is reflected in abnormal trading volume.
- Analysing the efficiency of the Greek life insurance industryPublication . Borges, Maria Rosa; Nektarios, Milton; Barros, Carlos PestanaThis paper uses the DEA-CCR and the DEA-BCC models to evaluate the performance of Greek life insurance companies in the period 1994 to 2003, combining operational and financial variables. These models identify adequately the inefficient companies, but are weak in discriminating among those found to be efficient. To improve the results, we employ the Cross-Efficiency and the Super Efficiency models. We estimate an inefficiency gap of about 27%. Furthermore, by using the Mann-Whitney Z-Test, we find that large and quoted life insurance companies, as well as those involved in mergers and acquisitions, exhibit higher efficiency. A major finding is that the local market is in great need of further consolidation.
- A Bayesian stochastic frontier analysis of Chinese fossil-fuel electricity generation companiesPublication . Chen, Zhongfei; Barros, Carlos Pestana; Borges, Maria RosaThis paper analyses the technical efficiency of Chinese fossil-fuel electricity generation companies from 1999 to 2011, using a Bayesian stochastic frontier model. The results reveal that efficiency varies among the fossil-fuel electricity generation companies that were analysed. We also focus on the factors of size, location, government ownership and mixed sources of electricity generation for the fossil-fuel electricity generation companies, and also examine their effects on the efficiency of these companies. Policy implications are derived.
- Binary interest rate sensitivities of emerging market corporate bondsPublication . Gubareva, Mariya; Borges, Maria RosaWe develop a framework to assess interest rate sensitivities of emerging market corpo rate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the after math of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to inter est rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging mar ket corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules
- Binary interest rate sensitivities of emerging market corporate bondsPublication . Gubareva, Mariya; Borges, Maria RosaWe develop a framework to assess interest rate sensitivities of emerging market corporate debt. Our analysis, based on yield indexes, is applied to investment grade and high yield portfolios. We reach beyond correlation-based analyses of interest rate sensitivity and keep our scope centered at capital gains of emerging market corporates and U.S. government bonds portfolios. Our empirical analysis spans over the period 2002–2015. We address interest rate sensitivity of assets during the ignition, apogee, and the aftermath of the global financial crisis. Based on historical data series, we evidence that the emerging market corporate bonds exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles and provide economical explanations of such phenomena. We show that emerging market corporate bonds, which on average could appear rather insensitive to the interest rate risk, in fact, present binary interest rate sensitivities. This research sheds light on how financial institutions may approach interest rate risk management including the downside risk hedge. Our findings allow banks and financial institutions to optimize economic capital under Basel III regulatory capital rules.
- Calendar effects in stock markets : critique of previous methodologies and recent evidence in european countriesPublication . 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 regressions are variant over time, we use statically robust estimation methodologies, including bootstrapping and GARCH modeling. Although returns tend to be lower in the months of August and September, we do not find strong evidence of across-the-board calendar effects, as the most favorable evidence is only country-specific. Additionally, using rolling windows regressions, we find that the stronger country-specific calendar effects are not stable over the whole sample period, casting additional doubt on the economic ignificance of calendar effects. We conclude that our results are not immune to the critique that calendar effects may only be a “chimera” delivered by intensive data mining.
- Determinants of bank performance in the context of crisis: A panel data analysis for PortugalPublication . Borges, Maria Rosa; Tavares, Ana SofiaPurpose: This research aims to study the determinants of the performance of the Portuguese banking sector, in the period between 2005 and 2011, characterized by economic downturn and by the bailout of Portuguese economy. Design/Methodology/Approach: Bank performance is measured through Return on Assets (ROA) and Return on Equity (ROE), following the studies that relies on financial statements. We test the impact of a set of internal factors such as the bank's capital, costs, liquidity, asset quality, size and diversification, and external factors such as GDP, inflation, unemployment and market concentration in the performance of Portuguese banks, using a panel data model with fixed effects for a representative sample of Portuguese banks. Findings: The results showed that the variables with the highest explanatory power on the ROA, in terms of internal determinants were operational costs and liquidity and in terms of external determinants, were GDP and Inflation. For the ROE, the variables with greater significance were the capital, operating costs and liquidity. The variables GDP and Inflation suggested weak significance. Practical Implications: Our results showed that macroeconomic variables such as product growth, inflation and unemployment rate influence the performance of banks, and therefore it is important to monitor these economic indicators in order to incorporate them in the decision-making process. The results obtained for the internal variables, under the control of bank managers, show that liquidity and operating costs are relevant for performance. Originality/Value: The value of this article is that it provides empirical evidence on the determinants of bank performance in the Portuguese banking sector, thus adding to international evidence of country studies.
- Dividendos e imperfeições de mercado : estudo do comportamento do preço no período do dividendo, considerando impostos e custos de transacção : o caso portuguêsPublication . Borges, Maria Rosa; Barros, Carlos Pestana
- Efficient market hypothesis in European stock marketsPublication . 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 walk. The tests are performed using daily and monthly data for the whole period and for the period of the last five years, i.e., 2003 to 2007. Overall, we find convincing evidence that monthly prices and returns follow random walks in all six countries. Daily returns are not normally distributed, because they are negatively skewed and leptokurtic. France, Germany, UK and Spain meet most of the criteria for a random walk behavior with daily data, but that hypothesis is rejected for Greece and Portugal, due to serial positive correlation. However, the empirical tests show that these two countries have also been approaching a random walk behavior after 2003.