The Relationship between Risk and Expected Return in Europe

Revised: 2006-07

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

Detection of Atomic Scale Changes in the Free Volume Void Size of Three-Dimensional Colorectal Cancer Cell Culture Using Positron Annihilation Lifetime Spectroscopy

5 p.

Protocolo de prevención de partidos de riesgo: una experiencia aplicada para la prevención de la violencia en el fútbol base

[EN] This study presents an applied experience which takes part of a program on prevention of the violence in soccer in school age. The aim was the acquisition of the commitment of the trainers involved in matches considered as non sportive, in the fulfillment of sportive behavior guidelines. To achieve this aim, a meeting was carried out by the trainers of the equipments that led violent incidents in the first round of the league, with the presidents of these equipments, with representatives of the local football Federation and with representatives of the Committee of referees. From this meeting it was intended: 1) to reduce the probability of aggressive and violent incidents; 2) to promote a relation of cooperation between the entities of the teams that led non sportive incidents, and the referee group; and 3) Make the sports context be a protector to prevent non sportive behaviors. The results of this study reflect that the participation had a positive effect in the improvement of the sportsmanship in the return football matches of the league.

Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market

[EN] The aim of this paper is to study systematic liquidity at the Euronext Lisbon Stock Exchange. The motivation for this research is provided by the growing interest in financial literature about stock liquidity and the implications of commonality in liquidity for asset pricing since it could represent a source of non-diversifiable risk. Namely, it is analysed whether there exist common factors that drive the variation in individual stock liquidity and the causes of the inter-temporal variation of aggregate liquidity. Monthly data for the period between January 1988 and December 2011 is used to compute some of the most used proxies for liquidity: bid-ask spreads, turnover rate, trading volume, proportion of zero returns and the illiquidity ratio. Following Chordia et al. (2000) methodology, some evidence of commonality in liquidity is found in the Portuguese stock market when the proportion of zero returns is used as a measure of liquidity. In relation to the factors that drive the inter-temporal variation of the Portuguese stock market liquidity, the results obtained within a VAR framework suggest that changes in real economy activity, monetary policy (proxied by changes in monetary aggregate M1) and stock market returns play an important role as determinants of commonality in liquidity.

Uncovering the role of free volume in biomaterials and biological matter

134 p.

Intercepción de la lluvia del dosel arbóreo y la hojarasca

[es]La intercepción de la lluvia, tanto por el dosel como por la hojarasca, es un proceso importante que influye en las condiciones de humedad del suelo, ya que una parte vuelve mediante evaporación a la atmosfera. Por lo tanto el objetivo de este estudio es profundizar más en el conocimiento de la capacidad de almacenaje e intercepción de los robles (Quercus robur) y en especial analizar si el tamaño de los árboles influye la intercepción. El estudio se llevo a cabo en dos robledales diferenciados por su tamaño durante tres estaciones del año: otoño, invierno y primavera (2014-2015) en las que se obtuvieron medidas de intercepción del dosel de la precipitación. También se obtuvieron muestras de hoja verde y hojarasca con objeto de calcular su capacidad máxima de retención de agua. Los resultados mostraron que el tamaño de los árboles es una característica que influye en el Índice de área foliar (LAI), y por tanto en la intercepción, pero que su efecto parece ser menos importante que el efecto causado por la variabilidad del volumen de lluvia. Del mismo modo, la intercepción relativa (en relación al volumen de lluvia) dependió de la interacción entre la estacionalidad y el tamaño de los árboles. Finalmente, la cantidad máxima de almacenamiento de agua fue mayor en la hojarasca que en la hoja verde, siendo mayor en el robledal de mayor tamaño al presentar significativamente mayor cantidad de hojarasca acumulada.