Paulo Gama

Have World, Country, and Industry Risks Changed over Time? An Investigation of the Volatility of Developed Stock Markets

This paper uses a volatility decomposition method to study the time-series behavior of equity volatility at the world, country, and local industry levels. Between 1974 and 2001, there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.

Have World, Country and Industry Risk Changed Over Time? An Investigation of the Developed Stock Markets Volatility

This paper uses a volatility decomposition method to study the time series behavior of equity volatility at the world, country and local industry levels. Between 1974 and 2001 there is no noticeable long-term trend in any of the volatility measures. Then in the 1990s, there is a sharp increase in local industry volatility compared to market and country volatility. Thus, correlations among local industries have declined. More assets are needed to achieve a given level of diversification, and there is more of a penalty for not being well diversified by industry. Local industry volatility leads the other volatility measures.

Working capital management and SMEs profitability: Portuguese evidence

Purpose - – The purpose of this paper is to provide empirical evidence on the effects of working capital management on the profitability of small and medium-sized Portuguese firms. Design/methodology/approach - – Panel regressions (fixed effects) and instrumental variables were used to model a sample of 6,063 Portuguese small and medium-sized firms (SMEs), covering the time period 2002-2009. Also, industry-demeaned values and industry-specific dummy variables allow for industry-specific effects robustness tests. Findings - – Results indicate that a reduction in the inventories held and in the number of days that firms take to settle their commercial liabilities and to collect payments from its customers are associated to higher corporate profitability. Similar results are obtained when industry-specific effects are controlled, supporting the robustness of the previous analysis. The relevance of quadratic dependences of the profitability on some variables was also identified and suggests a decreasing trend of return on assets with increasing values of the working capital management characteristic variables. Practical implications - – The practice of more aggressive working capital management policies increase firms’ profitability. Moreover, the importance of a good practice in working capital management is stressed by the evidence suggesting the existence of an optimal level for the working capital components. Originality/value - – The consensus that SMEs play a crucial role in the development of the national economy, the lack of published industry wide studies of this type for the case of Portugal, justifies the importance of the present study.

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.

A Ética dos Alunos de Administração e de Economia no Ensino Superior

Academic fraud committed by higher education students is a problem with institutional and social ramifications, with undesired effects on labor market efficiency and compromising societal trust in organizations, and is especially serious for future managers. This paper studies the attitudes business and economics students have towards academic fraud, their perceptions of the frequency and gravity of the various types of fraud by committed by fellow students, and their opinions on factors that motivate or inhibit it. The paper proposes a new four-dimensional framework for analyzing fraud and proposes two new indicators to evaluate predisposition to commit fraud (PCF) and to evaluate predisposition to denounce fraud (PDF). Empirically, 1,276 students from Portuguese universities were surveyed using a new projective questionnaire, which was answered in person in the classroom. Results show that the highest incidence of fraud is associated with written exam assessment and that denunciation is almost non-existent. Buying and selling academic work is seen as the most condemnable fraudulent behavior. Higher PCF is found among the worst students and those less committed to their course or university. The primary reason for ethical misconduct is related to academic achievement and the main factor preventing it is dissuasion.

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.