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Comparing the Actual Evolution of the Index to the Fitted Straight Line within the Limiting Borders of one Standard Deviation Confidence Interval
Source publication
In spite of the importance of having a figure for the domestic average Cost of Capital to base the estimates of the discount rates used in a number of longterm investments, the fact is that Portugal does not yet know with confidence its own value. Part of the answer might be attached to the number of profound impacts that affected and disturbed its...
Context in source publication
Context 1
... these more flexible estimates, the figure 3 compares the actual evolution of the index to the fitted straight line and places that evolution within the limiting borders of one standard deviation confidence interval. It is interesting to interpret the historical development of our equity market from this relative time evolution of our general share index within the estimated “confidence strip”: a. when the market reopened after the Carnation Revolution, the quotations were below the average, a fact that one would expect after the turmoil associated with that political, social, and economic revolution; b. the subsequent early recovery from the end of 1979 did not last long, due to our domestic economic crises, which could only be tackled after a second standby agreement was signed between Portugal and the IMF; c. the temporal coincidence of the termination of the 1983 crisis with the long-term recovery from the 1974-75 turmoil made possible the excessive quotations that ended with the October 1987 crash; d. the market then returned to more “normal” levels, but was again negatively influenced by the 1993 crises; but, in the beginning of 1988, the market was clearly above the average (more than one σ above), ...
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Citations
... We also used the database of risk-free rates created by Mata et al. (2017), which comprises short-term interest rates. Once again, we completed the database for the most recent period (2015-2020) using the Euro interbank overnight index average (EONIA), as suggested by Da Costa et al. (2012). EONIA was obtained from the EURIBOR online statistics database. ...
The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers about 120 years of Portuguese stock market history. We combine subsample analysis with rolling window analysis to show that the performance of the anomaly has varied in an adaptive fashion over time. The anomaly existed during the first four decades of the 20th century. Afterward, it vanished for 60 years, reappearing only at the beginning of the 21st century. However, in the first two decades of the new century, the effect seems to be a mere reflection of the excess return generated in January. Overall, the time-varying performance of the Halloween effect supports the adaptive market hypothesis for the Portuguese stock market.
... These brought financial distress and the annual reports for 1932 and 1933 record the need for protection policies and layoffs at Cazengo. In 1933 the Cazengo Corporation left the Lisbon Stock Exchange listing 69 . A declining phase of unsuccessful business conditions led to the end of the Cazengo Company in 1946. ...
The integration of financial markets was a facet of the increasing globalization of the worldwide economy. The focus in this paper is the business organizational perspective of corporations that operated in Portuguese overseas territories: Distance, climate, lack of trained local labor force, and other difficulties related with cultural differences, required organizational aspects that represented higher risk and higher capital rewards. They were higher than the average index of the Lisbon Stock Market as a whole, and must be interpreted in the context of the role of different organizational aspects for entrepreneurship and businesses in overseas territories.
RESUMO Neste artigo testamos os efeitos de sazonalidade mensal e o efeito passagem de ano nas ações cotadas na Euronext Lisbon recorrendo a modelos de regressões com variáveis binárias. No período 1989-2012, o mercado parece ter produzido um prémio de risco insuficiente durante o mês de junho e um prémio de risco excessivo durante o mês de dezembro. Para além disso, reportamos pela primeira vez a existência de prémios de risco anormalmente elevados nas últimas 5 sessões de cada ano. Estes resultados não encontram justificação em fatores como a capitalização das ações ou em potenciais efeitos fiscais. A instabilidade seccional dos padrões de sazonalidade observados coloca em dúvida a capacidade dos investidores para os explorar e impede que se retirem implicações conclusivas quanto à eficiência do mercado. Palavras-chave: eficiência de mercado, anomalias financeiras, efeitos fiscais, sazonalidade mensal, efeito passagem de ano.
