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The Volatility Effect: Lower Risk without Lower Return
Vliet, Pim van; Blitz, Blitz, D.C. - Erasmus Research Institute of Management (ERIM), … - 2007
We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this volatility effect within the US, European and Japanese...
Persistent link: https://www.econbiz.de/10010731265
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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
Portugal for a long time, but then suddenly reversed their assessment more or less at a stroke. …
Persistent link: https://www.econbiz.de/10010295594
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Structural Breaks and Volatility of Gross Domestic Product: Evidence for Portugal
Andraz, Jorge; Norte, Nélia - Centro de Estudos e Formação Avançada em Gestão e … - 2012
This paper presents an empirical analysis of volatility in GDP real growth rates for Portugal over the period 1960 …-2010. The objectives of this paper are threefold: (1) to assess the occurrence of “the Great Moderation” in Portugal and … reveal a progressive “moderation” in Portugal, characterized by two regime changes in both growth rates and volatility. The …
Persistent link: https://www.econbiz.de/10010559885
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Macroeconomics and the construction sector : evidence from Portugal
Correia, Leónida; Kaizeler, Maria João - In: Athens journal of business & economics : AJBE 9 (2023) 1, pp. 9-26
Persistent link: https://www.econbiz.de/10014384817
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Destabilizing impacts of herding behaviour in Portuguese capital market
Leite, Gabriela Marques; Machado-Santos, Carlos; Silva, … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 3-22
The present work seeks to analyze the herding behavior phenomenon as a destabilizing factor of the capital market, while studying the relation between the herding behavior phenomenon and market profitability and volatility. The results allow us to verify the existence of a significant intensity...
Persistent link: https://www.econbiz.de/10011867545
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Government Size and Business Cycle Volatility; How Important Are Credit Constraints?
Leibrecht, Markus; Scharler, Johann - 2012
In this paper we analyze how the availability of credit influences the relationship between government size as a proxy for fiscal stabilization policy and the amplitude of business cycle fluctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...
Persistent link: https://www.econbiz.de/10010312233
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The economic consequences of a Tobin tax: An experimental analysis
Hanke, Michael; Huber, Jürgen; Kirchler, Michael; … - 2007
The effects of a Tobin tax on foreign exchange markets have long been disputed. We present an experiment with currency trading on two markets, where either none, one, or both markets are taxed. Our results confirm the hitherto undisputed issues: a tax reduces trading volume, shifts market share...
Persistent link: https://www.econbiz.de/10010293390
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Government size and business cycle volatility: How important are credit constraints?
Leibrecht, Markus; Scharler, Johann - 2012
In this paper we analyze how the availability of credit influences the relationship between government size as a proxy for fiscal stabilization policy and the amplitude of business cycle fluctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...
Persistent link: https://www.econbiz.de/10010294478
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Government Size and Business Cycle Volatility; How Important Are Credit Constraints?
Leibrecht, Markus; Scharler, Johann - 2012
In this paper we analyze how the availability of credit in uences the relationship between government size as a proxy for scal stabilization policy and the amplitude of business cycle uctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...
Persistent link: https://www.econbiz.de/10011161055
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Fiscal policy and growth in new member states of the EU: a panel data analysis
Dalic, Martina - In: Financial Theory and Practice 37 (2013) 4, pp. 335-360
Fiscal policy can have positive effects on economic growth through changes in the structure of total expenditure, i.e. reductions in unproductive or current expenditure, lower taxes, and higher government investment - provided that it is offset by a decrease in unproductive expenditure. Such...
Persistent link: https://www.econbiz.de/10010752068