Júlio Lobão

• Doctor of Business Administration
• Professor (Assistant) at University of Porto

Household financial decision-making is a complex process influenced by various factors, including personality traits. This study examines the impact of these on household finance in 31 European countries, utilizing the European Union Statistics on Income and Living Conditions (EU-SILC) dataset from Eurostat. We have employed a logistic regression a...

This paper investigates price clustering in the stock market of Egypt in the context of the coup d’état that took place in that country in July 2013. The political uncertainty provoked by the coup offers a major opportunity to explore the causes of price clustering. Our results provide a strong support to the recently proposed panic trading hypothe...

Purpose This paper investigates market-wide herding behavior among investors in the stock markets of Brazil, Chile, Colombia and Mexico from January 2013 to December 2022. Design/methodology/approach We analyze a survivor-bias-free dataset of daily stock returns, employing a measure reflecting the cross-sectional deviation of stock returns relativ...

We investigated under-researched dimensions of market-wide herding behavior in the Brazilian stock market using a sample from January 2010 to December 2022. Employing OLS and quantile regressions, we found no evidence of herding in the sample or across market conditions, including return, trading volume, and volatility. However, dynamic analysis vi...

Purpose The purpose of this study is to investigate the presence of psychological barriers both in the main stock market indices of the Baltic states and the most actively traded individual stocks. A psychological barrier refers to a specific price point, often at round numbers (i.e. powers of 10), that investors believe is challenging to breach, i...

Purpose – This paper investigates share price clustering and its determinants across Nasdaq Stockholm, Copenhagen, Helsinki, and Iceland. Design/methodology/approach – This paper investigates share price clustering and its determinants across Nasdaq Stockholm, Copenhagen, Helsinki, and Iceland. Univariate analysis confirms widespread clustering, no...

O principal objetivo deste manual, agora na sua 2ª edição, é o de clarificar conceitos e mecanismos relevantes no âmbito da avaliação de empresas, questão muitas vezes fundamental para a tomada de decisão. Desta forma, a exposição apresenta os conceitos numa linguagem simples e acessível, acompanhada de exemplos e complementada por um conjunto de c...

The literature on individuals’ ability to predict their own level of risk tolerance is scarce and presents divergent results. Utilizing both differential prediction models and logit models on a sample of 391 individuals in Portugal, this study demonstrates that respondents’ gender play a crucial role in this predictive ability. Men tend to overesti...

This paper investigates whether herd behaviour states (intense/adverse) affect stock market returns using a fixed effects model to capture cross-sectional and time variability covering the European region. We show that stock market returns depend on past herding states. From December 1992 to December 2020, the mean returns following an intense herd...

Purpose This study aims to examine the deterrent effect of the Market Abuse Directive (MAD) introduced in the European Union in 2003. The purpose is to evaluate whether the Directive has resulted in significant changes in pre-bid stock price run-ups observed in mergers and acquisitions within the Portuguese, Spanish and Greek stock markets. Design...

This paper aims to examine the influence of religious backgrounds and religiosity on three dimensions of household finance (the decision to hold secured debt, the likelihood of being in a state of financial distress and the likelihood of being in a state of financial well-being) across a large sample of European countries. The study uses data from...

In this paper, we examine the Portuguese stock market for indication of time-series momentum effects using a new historical financial dataset that covers about 120 years of data. We find strong time-series momentum effects that cannot be explained by conventional risk factors. The positive return continuation seems to last for a period of 12 months...

This paper examines the potential profit of bull flag trading rules in the Shanghai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition of bull flag patterns in the Shanghai Stock Exchange C...

The theoretical literature on risk aversion and Expected Utility Theory is extensive; however, the analysis of this behaviour with natural experiments could be more comprehensive. In this paper, we use data from 120 episodes of the Portuguese version of the TV game show The Price is Right, namely from The Wheel game, to explore risk aversion as wel...

Purpose This paper aims to examine the extent of price clustering in a selection of Islamic stocks listed in Indonesia, Malaysia and Pakistan and also investigates the determinants of the phenomenon at the firm level. Design/methodology/approach The author test the uniformity of price distribution in the selected securities. Then, the determinants...

This paper studies how high-net-worth individual (HNWI) investors changed their risk preferences during the Global Financial Crisis (from 2007 to 2009) and how their asset allocation evolved in the same period. We had access to a confidential database from a Swiss international private bank with two samples of risk preferences questionnaires (suita...

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...

Neste artigo estudamos pela primeira vez a anomalia de calendário designada de efeito semana do ano no mercado de acções português. O efeito semana do ano foi identificado originalmente por Levy e Yagil (2012) e refere-se à verificação de rendibilidades de mercado significativamente diferentes em algumas semanas do ano. A amostra utilizada foi cons...

Green cryptocurrencies have been recently created to reduce energy consumption and environmental pollution by adopting alternative mining practices. This paper examines for the first time the market of green cryptocurrencies for indication of herding behavior in the period of January 2017–June 2022. By using two measures that capture the proximity...

Gender diversity in management has become of increased interest to academics and researchers in the last decades since women and men have different personal and psychological characteristics that affect their decision-making process in management actions and leadership. A female presence has been under-represented on companies’ boards of directors,...

Purpose This paper studies the dynamics and elasticities of house prices in Spain and Portugal (Iberia) at the Metropolitan Statistical Area (MSA) level, addressing panel regression problems such as heterogeneity and cross-sectional dependence between MSA. Design/methodology/approach The authors develop a two steps study. First, five distinct est...

One of the major goals of bank supervisors is to predict bank distress events. As the environment changes, it is crucial to reassess and improve the models used in monitoring banks. The financial soundness of banks is traditionally assessed based on accounting ratios. However, the incorporation of market information in these models may significantl...

This paper examines if investors exhibited evidence of the availability heuristic in their investment decisions when significant price changes occurred in the British stock market during the 2010-2018 period. We raise the hypothesis that if a significant stock price move takes place on a day when the stock market index also undergoes a significant...

This article analyses the impact of Economic Policy Uncertainty (EPU) on the credit risk of US commercial banks considering their size, profitability and solvency. To achieve this goal, a sample of 2994 US commercial banks was selected for the period 2017–2019. Using panel data, the results reveal a statistically significant positive relationship b...

In this chapter, the author examines the influence of gender on financial risk tolerance. The risk tolerance is assessed by the instrument developed by Grable and Lytton in a sample that includes 272 postgraduate students of the University of Porto (Portugal). The results show that males are significantly more risk-tolerant than females, even after...

This study explores the influence of national culture on mortgage and financial well-being levels in the European context. The paper employs regression analysis using mainly Hofstede's cultural dimensions and the EU-SILC dataset from Eurostat to provide a better understanding of the determinants of the decision to hold secured debts and a better ex...

Este manual apresenta e clarifica conceitos e procedimentos relevantes no âmbito da avaliação de empresas, questão muitas vezes fundamental para a tomada de decisão. Para além dos métodos e técnicas tradicionais de avaliação, apresenta, numa abordagem distinta e inovadora conhecimento útil e atual sobre avaliação empresarial em vários contextos e r...

Purpose This paper aims to explore the effects of a surge in tourism short-term rentals (STR) on housing prices in municipalities within Portugal’s two largest Metropolitan Statistical Areas. Design/methodology/approach This study applies the difference-in-differences (DiD) methodology by using a feasible generalized least squares (FGLS) estimator...

Purpose This paper explores the real estate price determinants at four geographical levels: in the European Union as a whole, in the 28 European Union countries, in one European Union country (Portugal) and in 25 Portuguese metropolitan statistical areas (MSAs). Design/methodology/approach The authors run two time series regression models and two...

Psychological Barriers are currently one of the most important topics of research in the field of Behavioral Finance, with several empirical studies published since the 1990’s on a variety of financial assets, such as stock indices, single stocks, bonds, derivatives and gold, among others. However, there is a lack of studies regarding the existence...

Price clustering can be defined as the tendency for prices to accumulate around specific values. In this chapter we test the hypothesis of price clustering in the 21 bidding areas of Nord Pool Electricity Market. Our sample includes the hourly prices observed in the year 2019. The results show the presence of statistically significant price cluster...

In this chapter we recurred to an online survey administered to 1136 individuals in Portugal to investigate the determinants of financial literacy and digital financial literacy. Our results show that male individuals, with higher levels of risk aversion, with higher levels of education and income tend to present higher levels of financial literacy...

This study explores the relationship between digital financial literacy (DFL) in its different dimensions and financial literacy (FL) levels using an online survey applied to 1136 portuguese individuals. The data was collected in 2018 by the Portuguese Securities Market Commission.We found that the dimensions of DFL have low correlations with the l...

In the last few years, culture has been found to play an important role in economic decisions. In this chapter we explore the impact of cultural differences on the investors’ decision to imitate the actions of others (i.e., herding behavior). We establish a theoretical relationship between Hofstede’s cultural dimensions and the herding behavior amo...

We test the rationality of choices made by the contestants in the Portuguese version of the TV show “The Price is Right”. Using data of 327 bidding contests that took place in the episodes aired between August 1990 and April 2015, we document that in general players used the informational advantage provided by sequential nature of the game to their...

This chapter explores the factors that explain the crash of individual securities on European equity markets in the period 2003-2016. Our multivariate analysis shows that the results vary according to the adopted crash measure. In addition, it was found that variables that capture the stock's past return, its volatility, its size, and the relations...

This chapter analyzes the stock prices responses to annual and interim earnings announcements made by a sample of European firms included in the EURO STOXX 50 index, with the purpose of determining if the disclosure of such information is efficiently incorporated into stock prices. Our results suggest that earnings announcements convey useful infor...

Purpose This paper aims to evaluate the influence of economic policy uncertainty (EPU) on the momentum effect, analysing its influence depending on the economic cycle and in different quantiles. Design/methodology/approach To determine the influence of EPU in the momentum effect taking into account the economic cycle and the level of the quantile,...

In the study we test the theory that financial markets can provide relevant information about forthcoming corporate events. More specifically, we examine the ability of trading volume to predict dividend changes in a sample of 880 dividend announcements from Iberian firms for the period 2005–2018. We document evidence of a positive and significant...

This paper analyzes the French and the Vietnamese versions of the TV game show “The Price is Right”, using data from 130 episodes. We focus on the bidding game, covering 434 rounds and 1,736 bids. We document that players deviate signifi cantly from what is predicted by the model of rational expectations, especially in the French population. Moreov...

In this paper we examine for the first time the short-term predictability of American Depository Receipts (ADRs) in reaction to extreme price movements. Based on an analysis of 2,911 extreme price movements that took place within either normal trading hours or after-hours in the period 2001-2019, we conclude that those extreme returns were on avera...

The beliefs and strategies to be mobilized by individuals who are about to start their activity as investors in financial markets is an issue scarcely explored in the field of the sociology of finance. In this paper we present new evidence about the opinions of future investors recurring to a survey administered to 177 master’s students. Our result...

We examine for the first time the major stock markets of eight Latin American countries for indication of psychological barriers at round numbers. We test for uniformity in the trailing digits of the indices and use regression and GARCH analysis to assess the differential impact of being above or below a possible barrier. The Chilean stock market s...

The building of narratives is one of the central elements in the functioning of modern financial markets. In this paper we analyze the discursive strategies of a group of managers of state-owned enterprises operating in Portugal prior to the creation of that country's parliamentary committee of inquiry (CPI). This committee was established in 2013...

Neste artigo levamos a cabo um estudo etnográfico de um leilão de pescado que tem lugar em Matosinhos (Portugal). A observação in situ do funcionamento do mercado aponta para a existência de uma comunidade de participantes coesa, marcada pela informalidade e pela aceitação tácita das regras constitutivas do leilão. As condições materiais de criação...

The book includes some of the latest advances in the field of Behavioural Finance, one of the most dynamic areas in financial economics today. Applying insights from Psychology to better understand the decisions made by investors and corporate managers, Behavioural Finance has shed new light on several financial puzzles.

Dividend policy continues to puzzle researchers in the discipline of finance. In this paper we test the signalling effects of the dividend payout for a set of European firms that had sustained earnings growth for a minimum period of five years with a decline in the last year. To the best of our knowledge this is the first paper to run and compare t...

Market anomalies are one of the most intriguing and fascinating phenomena observed in financial markets. This paper examines the incidence of price clustering in US and European bank stocks during the Global Financial Crisis. The results reveal a significant level of price clustering in European and US banks' samples, which is difficult to reconcil...

Market anomalies are one of the most intriguing and fascinating phenomena observed in financial markets. This paper examines the incidence of price clustering in US and European bank stocks during the Global Financial Crisis. The results reveal a significant level of price clustering in European and US banks’ samples, which is difficult to reconcil...

Using four Brexit-related announcements as a source of exogenous information shocks, we investigate the semi-strong form of efficiency in seven major European stock markets. Our results suggest that only the announcement of the Brexit referendum result produced statistically significant negative cumulative abnormal returns in the markets of the sam...

Este artículo investiga la predictibilidad de los precios a corto plazo de los ETF de renta fija de EE. UU. en respuesta a choques extremos de precios. A través de una evaluación de 582 movimientos de precios extremos de los ETF en el período 2007-2014, comparamos los retornos durante el período normal (desde la apertura hasta el final de la sesión...

Purpose The purpose of this paper is to study the existence of psychological barriers in cryptocurrencies. Design/methodology/approach To detect psychological barriers, the authors perform a uniformity test, a barrier hump test, a barrier proximity test and conditional effects test to a sample comprised by the daily closing quotes of six of the mo...

In the field of the Sociology of Finance, the beliefs and perceptions of individuals about to begin investing in financial markets has not been an issue thoroughly explored in the literature. In this article, we present new evidence about the opinions of future investors taken from a survey of 177 university students from 2014-2016. The results sug...

Purpose The literature provides extensive evidence for seasonality in stock market returns, but is almost non-existent concerning the potential seasonality in American depository receipts (ADRs). To fill this gap, this paper aims to examine a number of seasonal effects in the market for ADRs. Design/methodology/approach The paper examines four A...

This paper investigates the short-term price predictability of US equity Exchange Trade Funds (ETFs) in reaction to one-day extreme returns. We also assess the cross-section features associated to price overreaction following extreme price movements. The literature on the short-term overreaction of ETFs is rather scarce. Furthermore, existing studi...

In the last few years, culture has been found to play an important role in economic decisions. In this paper we explore the impact of cultural differences on the investors' decision to imitate the actions of others (i.e., herding behavior). We establish a theoretical relationship between Hofstede's cultural dimensions and the herding behavior among...

It is widely acknowledged that having efficient financial markets is paramount in the allocation of social resources to their most productive uses. This paper explores the informational efficiency of six of the most important African stock markets for indication of seasonal predictability in stock returns. The results reveal that all markets exhibi...

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...

Este artigo analisa o efeito "barn door closing" nos investidores em fundos de investimento em Portugal. O efeito "barn door closing" traduz-se em adoptar um comportamento no momento presente que teria sido adequado num momento anterior. Verifica-se que os investidores em fundos adoptaram um comportamento consistente com o efeito "barn door closing...

This paper uses daily stock prices data surrounding credit rating announcement dates to examine abnormal returns of stocks of the European Union banks experiencing debt rating announcements, during the period 2004–2015. The results of the event studies suggest that rating agencies, by issuing downgrades and upgrades, provide relevant information to...

Purpose – The purpose of the study is to examine the prices of some of the most widely traded stocks from Taiwan, Brazil and South Africa for indications of psychological barriers at round numbers. Design/methodology/approach – The sample under study includes a group of 24 stocks (8 for each one the emerging markets) during the period 2000-2014. W...

Purpose – People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied to financial markets, the recognition heuristic predi...

Purpose – People often face constraints such as a lack of time or information in taking decisions, which leads them to use heuristics. In these situations, fast and frugal rules may be useful for making adaptive decisions with fewer resources, even if it leads to suboptimal choices. When applied to financial markets, the recognition heuristic predi...

This study investigates the global and extreme dependence structure between investor sentiment and stock returns in seven European stock markets (Belgium, France, Germany, Greece, the Netherlands, Portugal and the UK), over the period 1985-2015. " Global dependence " refers to the correlation of changes in sentiment and stock returns over the whole...

We propose and test a new 4-factor asset pricing model, modifying the method of estimating the momentum risk factor, based on the conclusions of George and Hwang (2004). We proceed to compare the performance of our model with those of Fama and French (1993, 1996) and Carhart (1997)’s. We find that the authors’ 52-week high strategy achieves a posit...

In this paper we analyze the relations between mutual fund flows, stock market returns and macroeconomic variables during the period 2000-2012 in Portugal. We find evidence of a statistically significant positive co-movement between mutual fund flows and stock market returns which is consistent with a common reaction to information about future eco...

Purpose This study aims to evaluate the performance of the Portuguese fund managers by examining the selectivity and market timing skills of 51 Portuguese mutual funds from June 2002 to March 2012. Design/methodology/approach The authors assess empirically the performance of a sample of funds by applying the unconditional and conditional models of...

In this paper we examine for the first time the prices of some of the most widely traded stocks from the U.S., the U.K. and Japan for indication of psychological barriers at round numbers. The sample includes a group of 30 stocks-10 stocks from each national market-during the period 2000-2014. We test for uniformity in the trailing digits of the st...

In this paper, we investigate two prominent market anomalies documented in the finance literature – the momentum effect and value-growth effect. We conduct an out-of-sample test to the link between these two anomalies recurring to a sample of Portuguese stocks during the period 1988–2015. We find that the momentum of value and growth stocks is sign...

Resumo: O objetivo deste artigo é o de analisar a capacidade dos investidores em fundos de investimento para selecionar aqueles que apresentam rentabilidade mais elevada. Essa capacidade é denominada na literatura por efeito de smart money. A amostra utilizada diz respeito aos fundos sediados em Portugal, no período de 2003-2011. Os resultados indi...

Sumário: 1. Introdução. 2. Conceito de especulação financeira. 3. Importância económica da especulação financeira. 4. Uma apreciação ética da especulação financeira. 5. Conclusão 1. INTRODUÇÃO especulação é um termo usado frequentemente, em linguagem comum, com uma conotação nega-tiva. É frequente atribuir-se algumas das caracte-rísticas mais visív...

In this paper we examine, for the first time, the major stock market indices of Greece, Italy, Portugal, and Spain for indication of psychological barriers at round numbers. Uniformity in the trailing digits of the indices was tested, and regression and GARCH analysis was used to assess the differential impact of being above or below a possible bar...

Neste artigo estudamos a utilidade da análise fundamental para prever a evolução do preço das ações cotadas na Euronext Lisbon no contexto da crise financeira global pós-2007. Na elaboração das estratégias de investimento foi considerado um conjunto alargado de 49 indicadores financeiros, aplicados a 29 ações. Contrariamente à generalidade dos estu...

In this paper we aim to study the relation between fund performance and fund attributes in the Portuguese market. The sample includes 124 equity funds, bond funds and money market funds that traded in the 2004-2011 period. A comprehensive set of fund-specific characteristics, never used before in conjunction in the literature, was considered. The m...

In this article, we investigate the efficiency of the top tennis betting market worldwide using an original database from the Betfair betting exchange. Usually, the results show that the prices have made up a good forecast on the outcome of the matches. Nevertheless, there are evidences that the punters react poorly to the information (which is con...

Neste artigo estudamos a utilidade da análise fundamental para prever a evolução do preço das ações cotadas na Euronext Lisbon no contexto da crise financeira global pós-2007. Na elaboração das estratégias de investimento foi considerado um conjunto alargado de 49 indicadores financeiros, aplicados a 29 ações. Contrariamente à generalidade dos estu...

Neste artigo é investigado o papel desempenhado pelo ouro na cobertura do risco da taxa de câmbio euro-dólar no período 1999-2011. Para isso, recorreu-se a um modelo EGARCH (2,1,1) aplicado a dados diários. Os resultados mostram que o ouro se revelou útil para a cobertura do risco cambial dos investimentos em dólares levados a cabo pelos habitantes...

GOLD AS A HEDGE AGAINST THE EURO-DOLLAR EXCHANGE RATE EL PAPEL DEL ORO EN LA COBERTURA DEL RIESGO DE CAMBIO EURO-DÓLAR Júlio Lobão (jlobao@fep.up.pt)* Juliana Teixeira RESUMO: Neste artigo é investigado o papel desempenhado pelo ouro na cobertura do risco da taxa de câmbio euro-dólar no período 1999-2011. Para isso, recorreu-se a um modelo EGARCH (...

GOLD AS A HEDGE AGAINST THE EURO-DOLLAR EXCHANGE RATE EL PAPEL DEL ORO EN LA COBERTURA DEL RIESGO DE CAMBIO EURO-DÓLAR Júlio Lobão (jlobao@fep.up.pt)* Juliana Teixeira RESUMO: Neste artigo é investigado o papel desempenhado pelo ouro na cobertura do risco da taxa de câmbio euro-dólar no período 1999-2011. Para isso, recorreu-se a um modelo EGARCH (...

The main purpose of our study is to explore the existence of return continuation in the Portuguese Stock Market, thus investigating its efficiency at the weak form level. Using a monthly sample that goes from January 1988 to April 2012, the most extensive sample ever used for the analysis of momentum profitability in the Portuguese Stock Market, we...

Esta investigación aplica un conjunto de pruebas diversificadas que no se han utilizado en forma conjunta para estudiar los efectos de contagio de las crisis financieras en los mercados bursátiles de los países desarrollados. Esto es particularmente importante debido al hecho de que en la literatura existente no se abordan adecuadamente los efectos...

This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that existing literature has so far failed to adequately ad...