Elisabete F. Simões Vieira

Another look at the holiday effect

This article provides further evidence on the holiday effect by analysing stock market behaviour on the days a public holiday is not accompanied by a stock market break. Indeed, since 2003, when the trading calendar of Portuguese stock market was harmonized with the remaining Euronext national markets, on several occasions Portuguese national holidays were not weekdays on which the stock market was closed. Moreover, we adopted a bottom-up approach that allows us to search for size effects and industry effects. Our results show a statistically significant negative liquidity effect and an economically and statistically significant positive price effect during Portuguese-specific national holidays relative to a typical trading day. Return-related impact effects are driven by the smaller-sized stocks and robust to the recent crisis period. These results suggest the prevalence of a mood effect, by which those nondistracted traders’ positive feelings translate into a buying pressure, or reluctance to sell, that drives up prices on the onset of country-specific holidays.

Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market

Using Portuguese stock market returns, at the aggregate and industry levels, over the period 1997–2009, we find that the European Union (EU) Economic Sentiment Indicator (ESI) and Consumer Confidence Index are driven by both rational and irrational factors. Irrational ESI is significantly negatively related to stock returns. Sentiment negatively forecasts aggregate stock market returns, but not all industry index returns. We find no contagious effect of U.S. investor sentiment on Portuguese market returns.

Governance with complex structures: evidence from Western European countries

This paper investigates if the existence of complex structures plays an important role in corporate governance. It uses GMM estimation on a panel of Western European firms. We find that the presence of a second and third large shareholder has a significant positive effect on firm value. This study underlines the importance of the number of blockholders as a determinant of firm value, when taken as a moderator of the contestability effect. It shows that the legal context and company-specific characteristics play a crucial moderating role for contestability. In contrast to previous research, we find that contestability plays a less relevant role in family firms. We also find that this last result does not vary significantly with the identity of the remaining elements of the coalition. Also, our study suggests that contestability is less important in companies led by majority shareholders.

Investor sentiment and market reaction: evidence on 2010 FIFA World Cup

The purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we analyse the 2010 FIFA World Cup of South Africa. Globally, the study provides no evidence of a direct relationship between games results and the subsequent market reaction, not documenting a change in investor mood caused by soccer games outcomes. This paper contributes to the recent literature on the asset pricing impact of behaviour biases. The global results are more in line with standard finance than on behaviour finance, suggesting that stock prices are not influenced by economically-neutral events that can affect the investor sentiment, and, consequently, the stock prices.

Volatility analysis of returns and risk: Family versus nonfamily firms

Family firms (FF) tend to be classified as less risky and volatile than nonfamily firms (NFF). This article aims to examine whether there are differences in risk and volatility between FF and NFF, using Portuguese listed firms during 2008 and 2017. Through different models and specifications, we were able to verify that there exists a positive relationship identified in the volatility-return nexus which depends on the model used, and even so, negative in the case of FF, but that volatility is stronger in NFF than in FF as descriptive statistics reveal. Furthermore, it was found no considerable differences in terms of the liquidity-volatility relationship between the two types of firms, and we cannot argue that the negative relationship between returns and turnover is higher in NFF. It was also found that more illiquid stocks have negative returns but there are no clear differences between FF and NFF. The crisis effect is more able to explain volatility positively than returns negatively, being the impact lower for NFF. Our results do not strictly confirm the fact that FF are less volatile than NFF but provided variables interaction effects we may argue that a risk-averse investor will be more prone to invest in FF stocks, while a risk lover agent will prefer to look at NFF when building their investment portfolios.

Board of directors characteristics and performance in family firms and under the crisis

This paper aims to examine the relationship between board of directors’ characteristics and performance in family businesses. It offers evidence to the question of whether a family firm (FF) differs from a non-family firm and looks at the possibility of asymmetrical effects between periods of stability and economic adversity.,A panel data approach was applied to a sample of Portuguese firms listed the on Euronext Lisbon exchange between 2002 and 2013.,The results show that FFs are likely to have a lower proportion of independent members and higher gender diversity on their boards than non-family firms. FF performance is positively related to ownership concentration and gender diversity. There are performance premiums for family businesses, which have more gender diversity than their counterparts. These effects also depend on whether the economy is in recession. The evidence suggests that the presence of women on the board and the leverage and size of the FFs have a more significant impact on the performance in periods of economic adversity.,One limitation of this study is the small size of the sample as it was drawn from the Euronext Lisbon exchange, a small stock exchange market.,This study provides input into the academic discussion on corporate governance and FF, an area which is in need of research. In addition, the authors examine this issue in conjunction with generalised economic adversity, focusing on the possible asymmetrical effects that the nature of the board of directors may have on performance in periods of stability and those of economic adversity. The role of board of directors is crucial to the understanding of corporate behaviour and the setting of the policy that regulates corporate activities.

Does local and Euro area sentiment matter for sovereign debt markets? Evidence from a bailout country

ABSTRACT Does sentiment impact the sovereign debt markets? This article investigates whether lagged domestic and Euro area irrational sentiment (optimism or pessimism unwarranted by fundamentals) predicts future sovereign bond spreads, in Portugal, between January 2000 and December 2013. We find that domestic and Euro area sentiment negatively forecasts total return spreads and that this effect is stronger during the bailout period. Also, we find that the business sentiment is even most noticed. Therefore, Portuguese sovereign debt market is prone to the influence of investors’ sentiment.

Investor sentiment and share returns: evidence on family firms

Purpose The purpose of this paper is to examine the effect of investor sentiment on share returns, exploring whether this effect is different for public family and non-family firms. Design/methodology/approach The author uses the European Economic Sentiment Indicator data, from Directorate General for Economic and Financial Affairs as a proxy for investor sentiment and focused on the share returns of family and non-family firms, using panel data methodology. Findings Using data from listed family and non-family firms for the period between 1999 and 2011, in accordance with behavioural finance theory, the results indicate that there is a negative relationship between sentiment and share returns. In addition, the author found no difference between family and non-family firms in what concerns the effect of sentiment on share returns. The evidence also suggests that young, large and medium growth firms are most affected by sentiment. Finally, the results suggest that the evidence concerning the relationship b...