Cesario Mateus

Cesario Mateus
Aalborg University Business School

Full Professor of Finance - PhD

About

101
Publications
51,764
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Introduction
Cesario Mateus is Full Professor of Finance at Aalborg University, Denmark. Prior to joining the Department of Business and Management he worked for several Universities which includes Grenoble Ecole Management, Cass Business School, University of Greenwich, University of Southampton, Universitat Pompeu Fabra, University of Melbourne, Catholic University of Lisbon. He also worked for private and public companies (e.g. Portuguese Securities and Exchange Commission, Banco Comercial Portugues, Ocidental Insurance Company). His main research interests include corporate finance issues (capital structure, cash holdings, taxation, right issues, etc.); corporate governance (regulation, supervisory boards, and banks’ risk taking) and asset management (mutual funds’ performance, style investments).
Additional affiliations
August 2019 - present
Aalborg University
Position
  • Professor (Full)
May 2018 - July 2019
University of Roehampton
Position
  • Lecturer
May 2013 - present
Grenoble École de Management
Position
  • Professor
Description
  • Fixed Income Investments (Singapore Campus); Asset Management (London Campus) and Corporate Finance and Investment Decisions ((London Campus)
Education
February 2004 - June 2008
Aarhus University
Field of study
  • Finance

Publications

Publications (101)
Article
Full-text available
This paper extends understanding of the relationship between oil prices, stock markets and financial performance of oil and gas firms over the past decade. Firstly, it studies the impact of oil price fluctuations on stock markets in Europe. Secondly, it examines volatility spill-overs between oil and European stock markets. As oil price changes do...
Article
Full-text available
This paper analyses Smart Beta ETF performance and provides the first evidence on the funds' performance persistence. Our sample is comprised of 152 US equity smart beta ETFs over the period June 2000 to May 2017. We found that as per the risk-adjusted performance about 40% of Smart Beta ETFs outperformed their related traditional ETFs after expens...
Article
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We examine the use of trade credit in Western Europe by relying on a sample of 182,296 small firms for the period 2003-2013. Building on information asymmetry theory, we explore how a country's culture can impact SMEs use of trade credit. We discover that countries' cultural norms play a key role in explaining trade credit differences in Europe. We...
Article
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This paper examines the direction and magnitude of volatility transmissions between prices of petroleum and stock sector indices of the net petroleum exporter, Mexico, and the net petroleum importer, the United Kingdom. The sector indices are self-constructed utilizing daily data of 258 unique stocks listed in eight sectors from January 2005 to Sep...
Preprint
Full-text available
We provide one of the first large sample studies to examine the effect of the COVID-19 crisis on firm profitability and liquidity for micro, small, and medium-sized firms in the Visegrad Four (V4) countries. Using panel analysis and difference-indifferences estimation we analyze a sample of 101,872 private firms from V4 countries. We specified six...
Preprint
Full-text available
Climate change is reshaping finance. Climate risks affect local, national and transnational financing and change investors perspectives and long-term assumptions for risk and economic growth. The transformation to sustainable financing is shifting capital allocation towards ESG projects and investments with far-reaching impacts for financial market...
Chapter
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In transition countries, privatization and financial liberalization have facilitated portfolio investment inflows in approaching public companies in the last two decades. These result in controversies about the effects of liberalization policies and whether the participation of foreign institutional investors as shareholders impacts firm performanc...
Article
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In this paper, we expand the scarce literature regarding the effects of ownership structure and board composition on market measures of banks’ systemic risk. Based on a sample of 87 European banks over the period 2010–2016, we provide evidence that ownership concentration has a non-monotonic (inverted u-shape) relationship with systemic risk. Addit...
Article
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This paper examines the equity market opening in Vietnam, a frontier market that has taken gradual steps of relaxing capital control, by analysing whether liberalization policies in the period 2009-15 have had an impact on informational efficiency. We applied time-varying Hurst exponent during the liberalization period and tested Adaptive Market Hy...
Article
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We examine the impact of board structure, CEO power and other bank-specific factors on bank risk-taking for a sample of 72 publicly listed European banks in both stable and crisis periods. Using a simultaneous equations approach, our main findings indicate that the proportion of independent directors, the board size, and Chief Executive Officer (CE...
Article
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This paper estimates possible consequences of the proposed VAT increase in Greece on its tourism industry, by analysing the impact of the equivalent significant VAT rise in Portugal on the profitability and survival of firms related to food and beverage service activities. The analysis is divided into 3 periods: before and after the VAT hike and du...
Article
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This study proposes a new approach to examining executive remuneration and manager characteristics disaggregated by market index peer clusters and analyses personal attributes that differentiate managers across companies of different market caps (proxied my market indices such as FTSE100, FTSE250, FTSE SmallCap and AIM). Our sample is composed of b...
Article
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We would like to draw the attention of the experts in corporate governance and finance that international peer-reviewed journal Corporate Ownership and Control announces a call for papers for the special COVID-issue (2020) of the journal, in partnership with The Entrepreneurial Finance Lab at the University of Aalborg Business School. Topic: SME a...
Article
Full-text available
This volume of the journal “Corporate Ownership and Control” is focused on corporate governance, corporate social responsibility, earnings and performance management, ownership concentration, institutional ownership, audit fees, audit quality and independence, cross-cultural management and cultural dimensions, financial instruments risk disclosure,...
Preprint
Full-text available
This study proposes a new approach to examining executive renumeration and manager characteristics disaggregated by market index peer clusters and analyses personal attributes that differentiate managers across companies of different market caps (proxied my market indices such as FTSE100, FTSE250, FTSE SmallCap and AIM). Our sample is composed of b...
Preprint
Full-text available
In this paper, we expand the scarce literature regarding the effects of ownership structure and board composition on market measures of banks' systemic risk. Based on a sample of 87 European banks over the period 2010-2016, we provide evidence that ownership concentration has a non-monotonic (inverted u-shape) relationship with such risk. Additiona...
Article
Full-text available
After publication in Vol 20 Issue 1, it was noticed that the affiliations of authors Irina Bezhentseva Mateus and Cesario Mateus were incorrectly given as Cass Business School, City, University of London, London, UK.
Article
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This paper analyzes the evolution of the banking system sensitivity to cross-border contagion in 2006-2011. The study is performed on the basis of the BIS data on cross-border exposures and the Bankscope data on Tier 1 capital of 20 banking systems (Australia, Austria, Belgium, Canada, Finland, France, Germany, Greece, India, Ireland, Italy, Japan,...
Article
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This study examines the impact of mismatch between prospectus benchmark and fund objectives on benchmark-adjusted fund performance and ranking in a sample of 1281 US equity mutual funds. All funds in our sample report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives different t...
Article
Full-text available
The majority of UK style-specific mutual funds either report a broad market index as their prospectus benchmark or give no benchmark at all-a practice that may be a) strategic, or b) cultural and attributable to the lack of UK style-specific indices (e.g., mid-cap-growth, small-cap-value). The choice of a broad market index as a benchmark can bias...
Article
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In this paper we provide critical review of recent developments in the mutual fund performance evaluation literature. The new literature centres around two main themes: enhancing explanatory power of the standard Fama-French-Carhart factor models by augmenting them with different factors and altering standard models to account for presence of non-z...
Article
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This paper seeks to review the theoretical and empirical literature on the relationship between bank governance and performance, providing a comprehensive understanding of the existing research and offering guidance for investors and regulators on the major points of consensus and disagreement among researchers on this issue. Although the question...
Article
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In this paper, we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama–French five-factor model. We find that five-factor model fits better the returns of US sector portfolios than the three-factor model, but that significant alphas are still present in all the sectors at some...
Article
Full-text available
This paper presents the first methodological proposal of estimation of the ΛV aR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by extending the V aR hypothesis-testing framework. He...
Article
Full-text available
In this paper we investigate the importance of earnings quality as a determinant of cash holdings by companies, exploring among other factors the nature of earnings (positive or negative) and the level of financial disclosure, proxied by the market where firms are listed (Main or AIM-Alternative Investment Markets in the United Kingdom). Based on a...
Article
Full-text available
In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five factor model fits better the returns of US sector portfolios than the three factor model, but that significant alphas are still present in all the sectors at some...
Article
Full-text available
Failures in governance, especially in regard to boards of directors, have been blamed for the 2007–2008 financial crisis. The increased public scrutiny regarding the actions and role of the board of directors in banks, following the crisis, inspires to examine whether and to what extent the characteristics of banks’ boards influence their performan...
Article
Full-text available
In this study we estimate the survival time of momentum in six UK style portfolio returns from October 1980 to June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time for each...
Article
Full-text available
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing daily data between January 2007 and September 2014. To the best of our knowledge this is the first study that analyses the incorporation of new information for CDSs and bonds quoted in British pound from the viewpoint of price disco...
Article
Full-text available
The paper investigates the conditions surrounding Britain's open market repurchases over the period 1993-2010. We find that the high leverage and fiscal favouritism of repurchases over dividends deter the market's receptiveness. Thus it is evident that repurchases are influenced by institutional peculiarities, the equity preferring market structure...
Article
Full-text available
This study re-visits the question of benchmark mismatch among 1281 US equity mutual funds and its impact on benchmark-adjusted fund performance and ranking. All funds report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives different to those of the S&P500 index. We identify 'tr...
Article
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We assess UK mutual fund performance from a perspective of a peer-group, applying a novel approach suggested in Hunter et al. (2014). Our sample comprises of 817 UK long-only active equity mutual funds allocated to nine Morningstar style category peer-groups in the period 1992-2016. Overall, we find that those funds with most significant positive p...
Article
Full-text available
The global financial crisis has led to an increasingly focused attention on excessive bank risk-taking. One of the consequences is that the role of internal governance mechanisms (such as the board of directors) in monitoring risk has come under greater scrutiny. In this paper we examine the impact of board structure, ownership structure, risk gove...
Article
Full-text available
Purpose This paper examines the impact of Federal Open Market Committee (FOMC) announcements, which includes information about the targeted Federal fund rate and revision to the future path of monetary policy on Southeast Asian stock market performance. Design/methodology/approach This paper has used a sample of five national equity market index...
Article
In this study we estimate the survival time of momentum in six UK style portfolios’ returns in the period October 1980 – June 2014. We utilise the Kaplan-Meier estimator, a nonparametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time...
Article
Full-text available
Four-factor Carhart alphas of passive indices should be zero, but recent empirical evidence shows otherwise. We propose an optimisation algorithm that makes small (fixed) adjustments to the time series of the market, size, value and momentum factors, which ensures a zero alpha for any (single) self-designated benchmark index of a mutual fund. Our ‘...
Article
Full-text available
In this paper we investigate the importance of earnings quality as a determinant of cash holdings by companies, exploring both the nature of earnings (positive or negative) and the level of financial disclosure, proxied by the market where firms are listed (Main or AIM-Alternative Investment Market). Based on a UK sample for the period of 1998-2011...
Article
Full-text available
Purpose We analyse the causes and impact of the significant mean price discounts (25% for financial and 29% for non-financial firms) in rights issues in the UK using a sample of 268 observations for the period of 1994 to 2012. We observe that for non-financial companies the issue terms announcement returns are negatively affected by the discount s...
Article
Full-text available
This paper extends the understanding of the relationship between oil prices, stock markets and financial performance of oil and gas firms over the past decade. Firstly it studies the impact of oil price fluctuations on stock markets in Europe. Secondly, it examines the volatility spillovers between oil and European stock markets. As oil price chang...
Article
Purpose The purpose of this paper is to investigate the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock options traded on the American Stock Exchange and the Chicago Board Options Exchange from...
Article
Full-text available
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by extending the VaR hypothesis-testing framework. Hen...
Article
Full-text available
In this study we estimate the survival time of momentum in six UK style portfolio returns from October 1980 to June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability enables us to compute the average momentum survival time for each...
Article
Extraordinary amounts of public funds and/or assistance were made available to banks since the onset of the 2007?8 financial crises. Governments worldwide have launched a massive bailout package to support banks in distress. Using a probit model, this article investigates the likelihood of bailouts following the financial crisis. Our results lead u...
Article
This article performs comparative analysis of the asymmetries in size, value and momentum premium and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We associate Markov switching regime 1 with economic upturn and regime 2 with economic downturn. We find clear evidence of cyclical variations in the thr...
Article
This paper investigates the existence of financial contagion between the US and ten European stock markets. Using intraday minute-per-minute data of a large set of 374 equities from three different industries, over the period from January to June 2011, we investigate the impact of increased volatility in the US on the inter-country industry-level s...
Article
In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be a bias in interpretation of manager's stock picking a...
Article
Full-text available
This paper investigates the impact of corporate governance on European bank performance during the period 2002-2011. Using a sample of 73 banks from 11 European countries, we examine the relationship between corporate governance measures more specifically the board size and composition, the gender diversity and the CEO duality on the European bank...
Article
This paper examines the impact of Federal Open Market Committee (FOMC) announcements, which include information about target Federal fund rate and the revision to the future path of monetary policy, on Southeast Asian stock markets performance. It compares these effects in two periods, 1997 Asian financial crisis and subprime mortgage crisis. To do...
Article
Four-factor Carhart alphas of passive indices should be zero, but recent empirical evidence shows otherwise. We propose an optimisation algorithm that makes small (fixed) adjustments to the time series of the market, size, value and momentum factors, which ensures a zero alpha for any (single) self-designated benchmark index of a mutual fund. Our ‘...
Article
Full-text available
The paper examines the asymmetries in size, value and momentum premiums over the economic cycles in the UK and their macroeconomic determinants. Using Markov switching approach we find clear evidence of cyclical variations of the three premiums, most noticeably variations in size premium. We associate Markov switching regime 1 with economic upturn...
Article
Full-text available
There was much of pointing fingers in the wake of the 2008 Global Financial Crisis. Economists, politicians and the financial industry itself dwelled to assign blame to what is considered to be the most damaging economic crisis since the 1930s Great Depression. Undoubtedly, the over-counter- derivatives market has been target for criticism on diffe...