[PDF] Top 20 The role of an illiquidity factor in the Portuguese stock market

... that, the majority of the empirical results reported in the previous literature uses United States ...check the robustness of the available results and to avoid ... See full document

... rational, in that scenario trading volume would be very small and investors would invest mostly in index funds Rubinstein (Rubinstein, ...not the world where we live in, we know that markets ... See full document

... decisions. The agency theory assumes the firm as a nexus of contracts with other stakeholders (among them employees, managers, shareholders, suppliers and the debtholders), in order for ... See full document

... statistical factor models. Macroeconomic factor models (Chan, Chen and Hsieh, 1985, Chen, Roll and Ross, 1986) use economic time series indicators, such as GDP, in- ‡ation, interest rate and ... See full document

... just an expensive substitute for ...Volatility of stock returns has long been a topic-favourite throughout academic research in the past decade (Andersen et ...variety of ... See full document

... Despite the fact that our results provide new insights into the relation between returns and attention/sentiment especially in the Portuguese market, they should be seen with ... See full document

... examined the role of variance and entropy in ordering distributions and random prospects, and conclude that there is no universal relationship between these measures in terms of ... See full document

... Nowadays the State represents a human community in a fixed territory and that, within its borders, establish a form of organization of sovereign political power in order to guarantee ... See full document

... understand in more depth this thesis it is important to understand some of his ...dataset in comparison with other researches, on the same subject. In the end only 738 events ... See full document

... distortion in the Brazilian financial markets dynamics. The Brazilian stock exchange industry breakdown is very different from the local ...consequence, the implications for ... See full document

... Under the assumption of economic rationality, investors choose to maintain efficient portfolios, ...maximize the return for a certain level of risk, or that minimize the risk for a ... See full document

... First, the measurement of unemployment is of paramount importance for economic analyses, since substantial attention is paid even to small variations in the headline unemployment rate ... See full document

... developed the minimax rule in portfolio selection and established a new model based on maximum absolute deviation as a measure of ...risk. The mean absolute deviation has been used as a risk ... See full document

... decade of the century was marked by two distinct recession periods, the international ...crisis in the first years of the decade and the subprime crisis in ... See full document

... about the impact of investor sentiment in the stock market are mainly focused on the ...U.S. market based researches successfully for different countries, ... See full document

... that the information factor or market indices have an effect on the market price of ...and stock price as dependent ...Nigerian Stock Exchange. The ... See full document

... to the minimum value of a replicating portfolio for the long position in an option, that is, the minimum price that is asked when an investor wants to buy ...it. ... See full document

... to the behaviour being ...decisions of other individuals (perceived by their actions) they can enter a herding movement that may subsequently reveal itself as the wrong decision for everyone ... See full document

... understand the events of default in the Portuguese market, an option pricing model was built to view the evolution of the put option, changing ... See full document

... After the discussion that the contrarian strategy follows the reasoning of overreaction due to the fact that people tend to give more importance to the new information than ... See full document