Portuguese Economic Journal, 2018, Volume 17, nº 3
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- Determinants of microcredit repayment in Portugal : analysis of borrowers, loans and business projectsPublication . Mota, Jorge; Moreira, António Carrizo; Brandão, CristóvãoMicrocredit programs in Portugal represent a unique case for studying the microcredit repayment determinants in a developed country, as it experienced a financial hardship in 2008–2009, with economic and social consequences that led to unemployment crisis. This research examined the determinants of microcredit loan repayment based on a sample of 752 microcredit loans granted in Portugal by the National Association for the Right to Credit, adopting individual lending mechanisms and granting loans through partnerships with several credit institutions. This is the first study to ascertain the influence that a set of factors – grouped into three categories: borrowers’ individual charac- teristics; loan characteristics; and characteristics of business projects implement- ed by borrowers – has on the repayment ability of microcredit programs, in a developed country of the Eurozone. Moreover, this is the first study using an ordered logistic regression (OLR) in estimating the determinants of microcredit loan repayment. Similar to previous studies, married borrowers tend to repay loans faster as they tend to be more responsible than single borrowers. Nation- ality seems to be an issue as foreigners tends to default the repayment loans. Finally, those involved in manufacturing activities perform better than those involved in service activities in repaying their loans. This clearly indicates that in developed countries special attention needs to be provided to minority groups as well as market/supply conditions, which are not normally considered in less favored economic countries.
- Capital asset pricing model in Portugal : evidence from fractal regressionsPublication . Kristoufek, Ladislav; Ferreira, PauloWe examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The pro- posed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.
- Bank ownership structure, regulations and risk-taking : evidence from commercial banks in PakistanPublication . Ehsan, Sobia; Javid, Attiya YasminThis paper conducts the first empirical assessment of the theories concerning the influence of ownership structure on bank risk-taking in the presence of regulations in Pakistan. The sample used in this paper comprises a panel data of 26 banks in Pakistan, for the period from 2000 to 2014. The analysis provides evidence that increase in ownership concentration leads to an increase in bank risk-taking. Managerial ownership is associated with high risk-taking at low and high levels of managerial ownership while at intermediate level, managerial ownership has negative impact on bank risk-taking. Different types of ownership of banks in Pakistan have different impact on risk-taking. While government, family and institutional ownership have a positive impact on bank risk-taking, foreign own- ership has a negative impact on bank risk-taking. Furthermore, the results show that capital regulations are important in influencing bank risk-taking with regard to higher ownership concentration. The findings of this paper suggest that the relation between bank risk-taking and capital regulations typically depends on the type of ownership.