1 resultado para weighted mean efficiency factor
em RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal
Filtro por publicador
- ABACUS. Repositorio de Producción Científica - Universidad Europea (1)
- Academic Research Repository at Institute of Developing Economies (5)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (2)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (2)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (2)
- Aquatic Commons (11)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (7)
- Archive of European Integration (5)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (1)
- Aston University Research Archive (32)
- Biblioteca de Teses e Dissertações da USP (1)
- Biblioteca Digital | Sistema Integrado de Documentación | UNCuyo - UNCUYO. UNIVERSIDAD NACIONAL DE CUYO. (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (22)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (4)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (6)
- Bioline International (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (62)
- Boston University Digital Common (1)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- Bulgarian Digital Mathematics Library at IMI-BAS (2)
- CaltechTHESIS (2)
- Cambridge University Engineering Department Publications Database (6)
- CentAUR: Central Archive University of Reading - UK (29)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (26)
- Cochin University of Science & Technology (CUSAT), India (5)
- Collection Of Biostatistics Research Archive (1)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (2)
- CORA - Cork Open Research Archive - University College Cork - Ireland (1)
- Dalarna University College Electronic Archive (2)
- Deakin Research Online - Australia (47)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (1)
- Digital Commons - Michigan Tech (2)
- Digital Commons - Montana Tech (1)
- Digital Commons @ DU | University of Denver Research (2)
- Digital Commons at Florida International University (5)
- Digital Peer Publishing (2)
- DigitalCommons@The Texas Medical Center (6)
- Duke University (7)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (7)
- Greenwich Academic Literature Archive - UK (1)
- Helda - Digital Repository of University of Helsinki (7)
- Indian Institute of Science - Bangalore - Índia (36)
- Instituto Nacional de Saúde de Portugal (1)
- Instituto Politécnico de Bragança (1)
- Instituto Politécnico do Porto, Portugal (1)
- Instituto Superior de Psicologia Aplicada - Lisboa (1)
- Lume - Repositório Digital da Universidade Federal do Rio Grande do Sul (1)
- National Center for Biotechnology Information - NCBI (18)
- Nottingham eTheses (4)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (2)
- Portal do Conhecimento - Ministerio do Ensino Superior Ciencia e Inovacao, Cape Verde (1)
- Projetos e Dissertações em Sistemas de Informação e Gestão do Conhecimento (1)
- Publishing Network for Geoscientific & Environmental Data (78)
- QSpace: Queen's University - Canada (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (26)
- Queensland University of Technology - ePrints Archive (252)
- RepoCLACAI - Consorcio Latinoamericano Contra el Aborto Inseguro (1)
- Repositório Aberto da Universidade Aberta de Portugal (1)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (5)
- Repositório Digital da Universidade Municipal de São Caetano do Sul - USCS (1)
- Repositório do ISCTE - Instituto Universitário de Lisboa (1)
- Repositório Institucional da Universidade Federal do Rio Grande do Norte (1)
- Repositorio Institucional de la Universidad de Málaga (1)
- Repositorio Institucional de la Universidad Pública de Navarra - Espanha (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (83)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- SAPIENTIA - Universidade do Algarve - Portugal (2)
- Savoirs UdeS : plateforme de diffusion de la production intellectuelle de l’Université de Sherbrooke - Canada (2)
- Scielo España (1)
- Scientific Open-access Literature Archive and Repository (1)
- Universidad de Alicante (2)
- Universidad del Rosario, Colombia (1)
- Universidad Politécnica de Madrid (24)
- Universidade Complutense de Madrid (2)
- Universidade Estadual Paulista "Júlio de Mesquita Filho" (UNESP) (1)
- Universidade Federal do Pará (2)
- Universidade Federal do Rio Grande do Norte (UFRN) (4)
- Universidade Técnica de Lisboa (1)
- Universitat de Girona, Spain (1)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (2)
- Université de Lausanne, Switzerland (3)
- Université de Montréal, Canada (4)
- University of Connecticut - USA (3)
- University of Michigan (1)
- University of Queensland eSpace - Australia (15)
- University of Washington (1)
- WestminsterResearch - UK (3)
Resumo:
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.