The impact of the European sovereign debt crisis on the recovering from the financial crisis: Equity returns of the banking sector

This paper analyses, through a dynamic panel data model, the impact of the Financial and the European Debt crisis on the equity returns of the banking system. The model is also extended to specifically investigate the impact on countries who received rescue packages. The sample under analysis considers eleven countries from January 2006 to June 2013. The main conclusion is that there was in fact a structural change in banks’ excess returns due to the outbreak of the European Debt Crisis, when stock markets were still recovering from the Financial Crisis of 2008.

Predictability of stock market returns: Evidence from Eurozone's banking sectors

This paper analyzes the in-, and out-of sample, predictability of the stock market returns from Eurozone’s banking sectors, arising from bank-specific ratios and macroeconomic variables, using panel estimation techniques. In order to do that, I set an unbalanced panel of 116 banks returns, from April, 1991, to March, 2013, to constitute equal-weighted country-sorted portfolios representative of the Austrian, Belgian, Finish, French, German, Greek, Irish, Italian, Portuguese and Spanish banking sectors. I find that both earnings per share (EPS) and the ratio of total loans to total assets have in-sample predictive power over the portfolios’ monthly returns whereas, regarding the cross-section of annual returns, only EPS retain significant explanatory power. Nevertheless, the sign associated with the impact of EPS is contrarian to the results of past literature. When looking at inter-yearly horizon returns, I document in-sample predictive power arising from the ratios of provisions to net interest income, and non-interest income to net income. Regarding the out-of-sample performance of the proposed models, I find that these would only beat the portfolios’ historical mean on the month following the disclosure of year-end financial statements. Still, the evidence found is not statistically significant. Finally, in a last attempt to find significant evidence of predictability of monthly and annual returns, I use Fama and French 3-Factor and Carhart models to describe the cross-section of returns. Although in-sample the factors can significantly track Eurozone’s banking sectors’ stock market returns, they do not beat the portfolios’ historical mean when forecasting returns.

Money never sleeps – overnight returns in equity markets

The present research analyses overnight returns’ outperformance in relation to daytime returns. In a first stage, it will be assessed whether these returns are robust throughout time, markets and across different scopes of analysis (e.g. weekdays, months, states of the economy). In a second stage, several hypothesis will be empirically tested, in an attempt to understand what drives non-trading period returns (e.g. liquidity, market volatility). Even though several authors have analysed overnight returns and suggested several explanatory factors, there seems to be no consensus in the literature regarding its drivers.

Estudo de caso-controlo da associação entre a infecção por giardia duodenalis e a desnutrição em crianças dos 0 aos 59 meses numa região rural da Guiné-Bissau.

Introdução: As infecções por parasitas intestinais e a desnutrição são um importante problema de saúde infantil, em especial nos países em desenvolvimento, onde coexistem e contribuem para o ciclo da desnutrição-infecção-pobreza. A infecção por Giardia duodenalis e a desnutrição crónica são um exemplo potencial deste ciclo, ainda que poucos estudos tenham sido efectuados sobre a sua associação em África, em especial em crianças de zonas rurais. A problemática em estudo no presente projecto consistiu em explorar a associação entre a infecção por Giardia duodenalis e a desnutrição crónica em crianças com idades entre os 0 e os 59 meses de uma comunidade rural da Guiné-Bissau, habitantes do Parque Nacional das Lagoas da Cufada. Material, População e Métodos: Foi efectuado um estudo de caso-controlo em Março e Abril de 2010, em que os 31 casos correspondem a crianças com desnutrição crónica (zscore estatura para a idade <-2) e os 78 controlos a crianças com estatura adequada para a idade (zscore estatura para a idade> -2). Foi efectuada análise microscópica de amostras de fezes para a detecção de Giardia duodenalis e de outros parasitas intestinais eventualmente presentes. Além da desnutrição crónica, foram igualmente avaliados outros indicadores nutricionais na amostra em estudo, tais como o peso para a idade, peso para o comprimento ou estatura e índice de massa corporal. A exploração da associação entre a desnutrição crónica e a infecção por Giardia duodenalis foi efectuada recorrendo a técnicas estatísticas. Resultados obtidos: A análise microscópica de amostras de fezes colhidas nos meses de Março e Abril de 2010 permitiu obter uma taxa de prevalência de infecção por Giardia duodenalis de 29,0% (9/31) nos casos e de 35,9% (28/78) nos controlos. Não foi encontrada associação entre a infecção por Giardia duodenalis e a desnutrição crónica nas crianças em estudo. Discussão e Conclusões: Os dados obtidos estão de acordo com diversos estudos em que não foi encontrada associação entre a desnutrição crónica e a infecção por Giardia duodenalis. Contudo, dadas as limitações associadas ao número limitado da amostra e ao poder do estudo, bem como a ausência de informação clínica e nutricional, sugerem que, não obstante a validade dos dados obtidos, será importante desenhar futuros estudos.

Testing for tail breaks in currency returns

In this work project we study the tail properties of currency returns and analyze whether changes in the tail indices of these series have occurred over time as a consequence of turbulent periods. Our analysis is based on the methods introduced by Quintos, Fan and Phillips (2001), Candelon and Straetmans (2006, 2013), and their extensions. Specifically, considering a sample of daily data from December 31, 1993 to February 13, 2015 we apply the recursive test in calendar time (forward test) and in reverse calendar time (backward test) and indeed detect falls and rises in the tail indices, signifying increases and decreases in the probability of extreme events.

Bias in returns to tenure when firm wages and employment comove: A quantitative assessment and solution

It is well known that, unless worker-firm match quality is controlled for, returns to firm tenure (RTT) estimated directly via reduced form wage (Mincer) equations will be biased. In this paper we show that even if match quality is properly controlled for there is a further pervasive source of bias, namely the co-movement of firm employment and firm wages. In a simple mechanical model where human capital is absent and separation is exogenous we show that positively covarying shocks (either aggregate or firm level) to firms employment and wages cause downward bias in OLS regression estimates of RTT. We show that the long established procedures for dealing with "traditional" RTT bias do not circumvent the additional problem we have identified. We argue that if a reduced form estimation of RTT is undertaken, firm-year fixed effects must be added in order to eliminate this bias. Estimates from two large panel datasets from Portugal and Germany show that the bias is empirically important. Adding firm-year fixed effects to the regression increases estimates of RTT in the two respective countries by between 3.5% and 4.5% of wages at 20 years of tenure over 80% (50%) of the estimated RTT level itself. The results extend to tenure correlates used in macroeconomics such as the minimum unemployment rate since joining the firm. Adding firm-year fixed effects changes estimates of these effects also.

The effects of cultural heritage on residential property values: Evidence from Lisbon, Portugal

This paper examines the impact of historic amenities on residential housing prices in the city of Lisbon, Portugal. Our study is directed towards identifying the spatial variation of amenity values for churches, palaces, lithic (stone) architecture and other historic amenities via the housing market, making use of both global and local spatial hedonic models. Our empirical evidence reveals that different types of historic and landmark amenities provide different housing premiums. While having a local non-landmark church within 100 meters increases housing prices by approximately 4.2%, higher concentrations of non-landmark churches within 1000 meters yield negative effects in the order of 0.1% of prices with landmark churches having a greater negative impact around 3.4%. In contrast, higher concentration of both landmark and non-landmark lithic structures positively influence housing prices in the order of 2.9% and 0.7% respectively. Global estimates indicate a negative effect of protected zones, however this significance is lost when accounting for heterogeneity within these areas. We see that the designation of historic zones may counteract negative effects on property values of nearby neglected buildings in historic neighborhoods by setting additional regulations ensuring that dilapidated buildings do not damage the city’s beauty or erode its historic heritage. Further, our results from a geographically weighted regression specification indicate the presence of spatial non-stationarity in the effects of different historic amenities across the city of Lisbon with variation between historic and more modern areas.