[PDF] Top 20 The daily returns of the Portuguese stock index : a distributional characterization
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The daily returns of the Portuguese stock index : a distributional characterization
... simulations. The different distributions are on the y-axis, while the simulations of the cumulative returns are on the ...considers the cumulative returns at ... See full document
29
The Effect of Stock Characteristics on Technical Analysis Profitability: the Portuguese Stock Exchange case
... European stock markets and concluded that technical analysis indicators produced significantly positive returns on most of them, like Isakov and Hollistein (1999), which conclude that with a rule ... See full document
68
Predicting the price index of Tehran Stock Exchange
... Using daily data, Erfani (2008) analyzed long term memory in Tehran Exchange Price Index (TEPIX) for period ...techniques. The results of all three models showed that Teheran Stock ... See full document
10
The Effect of Global Political Events in the Arab Spring on Stock Returns: The Case of Turkey
... presenting the effect of internationally important events, occurring outside Turkey that can affect the risk perception of the investors, on the stock returns in ... See full document
16
The role of macroeconomics in the portuguese stock market
... explore the variation of financial markets to macroeconomic variables theoretically and ...Some of these studies have focused on the relation between stock market prices and fundamental ... See full document
44
An alternative stock index for benchmarking portuguese investment funds
... vis-à-vis the market with the restrictions brought on by European directives regulating collective investment vehicles, namely limits on portfolio composition that admittedly prevent them from replicating ... See full document
39
Comparing the generalised hyperbolic and the normal inverse Gaussian distributions for the daily returns of the PSI20
... presence of non-normality, fat-tails, skewness and kurtosis in the distribution of the returns necessitates the fitting of distributions that account for this ...fit ... See full document
17
Drivers of the piigs' stock market returns : a macroeconomic approach
... with the “best” return variation model for the PSI 20, here ...affect Portuguese stock market ...in the Federal funds target rate are found to depress the DJ 30 Industrial ... See full document
71
Stock returns and Google Search volume data – an analysis on the Portuguese and American market
... In the French market, Aouadi et ...as stock market volatility. Furthermore, Kim et al. (2018) examined the Oslo stock exchange, whereby no correlation has been found between search magnitude ... See full document
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The role of an illiquidity factor in the Portuguese stock market
... For the US market, Pástor and Stambaugh (2003) develops a measure of aggregate liquidity, based on daily price reversal, and shows that stocks whose returns are more sensitive to market ... See full document
26
The financial crisis impact on the composition of an optimal portfolio in the stock market: study applied to portuguese index PSI 20
... Solving the portfolio selection problem should seek to hold both the assets and the respective proportions that correspond to the optimal ...determine the optimal portfolio, both ... See full document
10
Evidence of portuguese stock market abnormal returns
... decade of the century was marked by two distinct recession periods, the international ...in the first years of the decade and the subprime crisis in the end ... See full document
24
The effect of government budget on Portuguese stock market
... prevision of future expenses and revenues which will predict the economic and financial situation of the ...studies the effect of the publication, approval and actions ... See full document
34
Resiliency and Stock Returns
... applying the Fama & Macbeth (1973) methodology. The table presents the coefficients obtained from the time-series average of cross-sectional coefficients for some firm ...is ... See full document
28
The financial impact of the Fukushima reactor meltdown on the stock returns of german nuclear power providers
... to the first theory, the event reminded investors to reassess the risk involved when dealing with nuclear ...reassess the probability of such an event taking ...reassess the loss ... See full document
59
Momentum Strategies in the Portuguese Stock Market
... 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 (Fama, ... See full document
47
A stock-flow consistent model of the portuguese economy
... thing the crisis we are going through has shown us is how limited the usefulness of the benchmark neoclassical models really is (Buiter, 2009, Solow, 2010, Keen, 2013a, Colander et al ...some ... See full document
79
Herding behaviour in the portuguese stock market
... towards the market consensus. The authors propose that during periods of extreme market movements investors are most likely to hide their own beliefs and follow the ...that the ... See full document
30
The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis
... in stock markets. Therefore, firms take necessary actions according to stock market behavior and macroeconomic ...Therefore, the predictability of stock market determinants becomes ... See full document
10
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
... to the complexity of our risk-neutralization procedure relative to a simpler approach based on the physical distribu- tion of ...applications of the tail-risk measure, namely ... See full document
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