Ana Paula Serra

Herding Behavior Evidence from Portuguese Mutual Funds

For the last two decades, the importance of mutual funds all over the world has increased enormously. In 1950, institutional investors in the USA held 6 percent of the stockmarket. Today that share represents over 50 percent of the stockmarket capitalization (around US dollars 30 trillion) and mutual funds are the more popular way to invest in the stockmarket. In Europe, the role of institutional investors is far from what it represents in the USA but it is growing at a very fast pace. By the end of the 1990s, total assets managed by mutual funds amounted to 70 percent, 60 percent, 90 percent, 60 percent and 200 percent of GNP, respectively, in Italy, Germany, France, Spain, the Netherlands and the UK.

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.

A similarity-based adaptation of naive bayes for label ranking: application to the metalearning problem of algorithm recommendation

The problem of learning label rankings is receiving increasing attention from several research communities. A number of common learning algorithms have been adapted for this task, including k-Nearest Neighbours (k-NN) and decision trees. Following this line, we propose an adaptation of the naive Bayes classification algorithm for the label ranking problem. Our main idea lies in the use of similarity between the rankings to replace the concept of probability. We empirically test the proposed method on some metalearning problems that consist of relating characteristics of learning problems to the relative performance of learning algorithms. Our method generally performs better than the baseline indicating that it is able to identify some of the underlying patterns in the data.

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. Previous empirical studies report the existence of underpricing for privatized firms in the short-run and positive abnormal returns in the long run. This study explores the abnormal performance of a comprehensive sample of Portuguese privatization transactions and investigates the determinants of the observed price behavior. Our results are not supportive of the underpricing phenomenon except if we exclude the very extreme observations. 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 reversed and investors seem to require higher returns in partial privatizations.

Real estate market risk in bank stock returns: evidence for 15 European countries

In countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. Changes in the value of real estate can have a potentially significant impact on the default risk of banks and on their profitability as a result of high exposure to the real estate sector. This is especially critical during real estate crises, when bank losses tend to increase dramatically, placing the entire financial system at risk of collapse, as it was the case of the recent international subprime crisis. This article studies the sensitivity of bank stock returns to real estate returns in 15 European countries. The results indicate that bank stocks are sensitive to real estate market conditions. There is a positive relation between bank stock returns and real estate returns after controlling for general market conditions and interest rates changes.

Real Estate Market Risk in Bank Stock Returns: Evidence for the EU-15 Countries

In countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. Changes in the value of real estate can have a potentially significant impact on the default risk of banks and on their profitability as a result of this high exposure to the real estate sector. This scenario is especially critical during real estate crises, when bank losses tend to increase dramatically, placing the entire financial system at risk of collapse, as it was the case in the recent international subprime crisis. This article studies the sensitivity of bank stock returns to real estate returns. The results indicate that EU-15 bank stocks are sensitive to real estate returns; there is a positive relation between bank stock returns and real estate returns after controlling for general market conditions and interest rates. In particular, small banks with greater asset exposure to the real estate sector showed to be more sensitive to changes in the real estate returns.