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The Influence of Gender on Individuals' Ability to Predict Their Own Risk Tolerance: Evidence from a European Country
In: Administrative Sciences: open access journal, Band 14, Heft 3, S. 56
ISSN: 2076-3387
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 overestimate their level of risk tolerance, while women tend to believe they are less risk-tolerant than they actually are. Furthermore, the results reveal that men's ability to correctly predict their level of risk tolerance is significantly higher. Being a man implies a 20% higher probability of being consistent in this prediction compared to being a woman, even after controlling for a set of sociodemographic factors. The finding of a systematic inconsistency between measures of subjective and objective risk tolerance suggests that the choice between the two measures of risk propensity is not indifferent. Our findings have relevant implications in the fields of corporate finance, financial investment, and various other spheres of economic life.
Efficiency and price clustering in the Baltic stock exchanges: evidence from a micro-level analysis
In: Journal of Baltic studies: JBS, S. 1-19
ISSN: 1751-7877
Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies
In: Scientific annals of economics and business, Band 65, Heft 3, S. 283-301
ISSN: 2501-3165
Abstract
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 exhibited some kind of seasonal patterns. The prevalence of the phenomenon was higher in the Egyptian and Tunisian markets, suggesting the presence of inefficient prices. Surprisingly, the only advanced emerging market of the sample (South Africa) showed a relatively large number of anomalies. This paper also reports the existence of strong pre-holiday effects and turn-of-the-month effects in most of the markets under scrutiny. Moreover, this study is the first to document the presence of quarterly effects in African markets. Collectively, the evidence obtained highlights the opportunity for arbitrageurs to reap profits as well as the need of decision-makers to implement legal and regulatory reforms in the markets of the continent.
Contágio financeiro entre mercados de ações de países desenvolvidos durante a crise do Brasil de 1999
In: Revista de economia e administração, Band 7, Heft 2
Time-Series Momentum in a Small European Stock Market: Evidence from a New Historical Financial Dataset
In: Scientific annals of economics and business, Band 70, Heft 3, S. 335-352
ISSN: 2501-3165
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, being heavily concentrated at the first month. At longer investment horizons, returns tend to mean-revert. The market exhibited significant time-series momentum for all look-back and holding periods of 12 months or less. A strategy with a 1-month look-back period and a 12-month holding period is shown to be the most profitable yielding a Sharpe ratio roughly 5.4 times that generated by a passive strategy. Time-series momentum strategies tend to perform best during extreme up-market periods and deliver the worst returns during down markets. This suggests that the strategy may not offer significant diversification benefits. Our findings add to the evidence that time-series momentum effects are not a product of data mining and are difficult to reconcile with the assertion that stock markets follow a random walk.
Culture, learning and rational decision-making: evidence from a TV show
In: Decyzje, Band 2020, Heft 34, S. 5-27
ISSN: 2391-761X
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. Moreover, Vietnamese fourth bidders are found to win more frequently than their French counterparts in spite of using strategic bids less often. We attribute these results to cultural reasons. Contestants from the collectivistic, uncertainty-tolerant culture (i.e., Vietnam) are more reluctant to engage in strategic bidding than individuals from the individualistic, uncertainty-avoidant culture (i.e., France). However, Vietnamese contestants pay more attention to the estimates of the previous players and thus make a better use of the informational advantage inherent to the sequential nature of the game. Overall, our evidence suggests that culture is an important omitted variable in studies that examine cross-country differences in decision-making.
PRICE CLUSTERING IN BANK STOCKS DURING THE GLOBAL FINANCIAL CRISIS
In: Scientific annals of economics and business, Band 66, Heft 4, S. 465-486
ISSN: 2501-3165
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 reconcile with the Efficient Market hypothesis. The Attraction hypothesis and the Price Resolution/Negotiation hypothesis seem to be the best explanations for the clustering effect. However, the results also suggest that the uncertainty associated with the crisis did not have a significant impact in the clustering levels, which is at odds with the recently proposed Panic Trading hypothesis. Surprisingly, we observe a tendency to have less price clustering during the period of crisis and banks located in countries mostly affected by the European sovereign debt crisis exhibit lower levels of price clustering. These results are consistent with the idea that investors tend to be more analytical in their appraisals in periods of negative sentiment.
Momentum meets value investing in a small European market
In: Portuguese economic journal, Band 17, Heft 1, S. 45-58
ISSN: 1617-9838
Does stock trading volume signal future dividends? Evidence from Iberian firms
In: Portuguese economic journal, Band 21, Heft 1, S. 53-66
ISSN: 1617-9838
Beta Herding Towards Six Factors Evidence from the European Region
In: INTFIN-D-22-00468
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The Determinants of Beta Herding: Panel Data Evidence from 16 European Countries
In: FINANA-D-22-00977
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Herding States and the Predictability of Stock Market Returns
In: FINANA-D-22-01038
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Beta Herding Towards Six Factors: Evidence from the European Region
In: JBEF-D-23-00043
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