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- 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.
- Asset prices and monetary policy : wealth effects on consumptionPublication . Barata, José Martins; Pacheco, Luis MiguelThe aim of this paper is to test a model explaining private consumption as a function of income and wealth (financial assets plus real estate), with data from European Union (EU) countries. We know that income explains a large part of consumption as well as wealth, but concerning the effects of the latter, mainly those of changes on financial asset prices, few is known for Europe. In a general way, and according to the literature, wealth effects are less significant in continental Europe, due to the less advanced financial deregulation degree and household stock ownership, when compared with the USA or the United Kingdom. On the other hand, housing wealth effects on consumption would be more pronounced in Europe. To examine how recent developments in stock markets and housing prices may have affected consumption behaviour, we consider for the different countries a set of consumption equations that include variables related to asset prices. After studying the variables’ stationarity properties, we estimate a model with a common error-correction formulation, with the long-run relationship - having terms in the variables for which we found significant cointegrating vectors - nested in a short-run equation. We found an implied elasticity of consumption with respect to real equities prices at around two per cent and, when there is available data, an implied elasticity of consumption with respect to real residential prices between ten and twenty per cent. This weak effect of stock prices on consumer spending is broadly consistent with life cycle saving and a modest wealth effect. Nevertheless, it is still worthy to do a further study of the effects of stock market and residential wealth (and its fluctuations) on consumption and output of the different countries. The complete study of those differences and its magnitude is important even for the definition of the monetary policy by the European Central Bank (ECB) and to answer the question if it should consider asset prices in its decisions. The research presented here is a first essay preceding a deeper work on this subject, concerning economies of the EU. After this exercise we think that there is scope for future analysis on this matter that attempts to better explain the connection between asset prices and consumer spending
- Cointegração tests of PPP: the case of portuguese exchanges ratesPublication . Feio, Alexandre M; Maria, José Francisco; Duarte, Rita NettoPurchasing Power Parity (PPP), as a long run equilibrium condition, is a frequent assumption in open economy macroeconomic models. Hence, given the importance of PPP as a long run determinant of exchange rate behaviour, testing this theory has become a popular exercise. However, traditional tests of PPP are probably not the best method. Cointegration theory, recently developed, provides a more adequate method to test the long run relationships between exchange rates and prices. The purpose of this paper is to test the PPP theory using the Portuguese escudo vis a vis seven currencies, representing Portugal's principal trade partners, namely the Deutsche Mark (DM), the Spanish Peseta (PTA), the French Franc (FF), the Italian Lira (LIT), the United Kingdom Pound (GBP), the Swiss Franc (SFR), the Swedish Krona (SKR) and U.S. Dollar (USD). The remainder of this paper is organised as follows: section one introduces the main theoretical aspects; section two presents the econometric methodology used to test the theory. The empirical results are reported in section three and conclusions are presented at the end of the paper.
- Custos e rentabilidade na indústria de segurosPublication . Silva, Carlos Pereira daA taxa de rentabilidade dos capitais próprios depende da rentabilidade económica, logo da margem financeira e do impulsor financeiro. É possível ver que esta relação aumenta por dois motivos: a) Aumento da margem financeira com manutenção da estrutura de custos; b) Aumentos dos capitais alheios (Provisões Técnicas) na estrutura de capital da empresa de seguros. As autoridades de supervisão controlam o crescimento do impulsor financeiro através da margem de solvabilidade.
- Detecção e estimação do modelo ARCH. Aplicação à variação da taxa de câmbio do marco em escudosPublication . Nicolau, João CarlosNa abordagem dos modelos ARCH coloca-se frequentemente dois problemas: como detectar urn efeito ARCH e como estimar um modelo de regressão com efeito ARCH. É nosso propósito, neste trabalho, apresentar alguns resultados sobre estas questões, ilustrando-os com uma aplicação as variações da cotação do marco em escudos. .
- 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.
- Evolução do sistema monetário internacional e o seu impacto na liquidez mundialPublication . Barata, Luis M.O presente trabalho resulta de uma pesquisa feita pelo autor sobre as alterações institucionais do sistema monetário internacional e a análise do seu impacto ao nível da evolução da liquidez mundial.
- A gestão de riscos financeiros nas instituições financeiras de seguros e fundos de pensõesPublication . Silva, Carlos Pereira da
- Is the dividend puzzle solved?Publication . 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 research, and to discuss why they seem to be the most promising avenues for further research, to solve the "dividendpuzzle", and to build a complete payout policy theory. These fields are: (i) the agency theory and (ii) the lifecycle theory. Besides being very intuitive, these theories are consistent with most empirical facts on U.S. firms' payout policy.
- L'ECU en tant que choix de portefeuille au PortugalPublication . Barata, José MartinsDans ce travail nous avons repris une recherche que nous avons publiée en 1988 sur l'ECU en tant qu'actif financier au Portugal. Cette fois-ci, nous avons introduit dans l'analyse des Données plus recentes, avec pour objectif de déterminer leur impact sur la construction de portefeuilles efficients. Nous avons utilise le modèle de MARKOWITZ pour le calcul de fronteires efficientes. Le premier constat est que le sens des résultats de 1988 semaintient après l’ introduction de données plus récentes. Donc l' ECU se place parmi les devises les plus intéressantes pour les placements des investisseurs avec aversion au risque. Le ·franc français et Ia couronne danoise sent ses concurrents, mais is sans le dominer. Enfin , si l'on considere le portefeuille sans restrictions de signe on voit que l'ECU, le mark allemand, le DTS, le franc français, Ia livre sterling, la lire italienne, l'or, le dollar et le yen sont des actifs de placement pour les riscophobes, alors que le franc beige, le franc suisse, la livre irlandaise et le florin holandais sent des devises d'emprunt conseillées aux memes investisseurs.