This paper tests the efficiency of macroeconomic forecasts, contributing to the existing literature using a rolling-event approach. We construct a monthly economic surprises index, aggregating several macroeconomic news surprises for the nine largest economic areas (G9), which we further analyze...

This paper provides evidence on abnormal returns of Portuguese privatization public offerings for the period from 1989 to 2001. Previous empirical studies report the existence of underpricing for privatized firms in the short-run and positive abnormal returns in the long run. This study explores...

In countries with highly-developed financial systems bank portfolios have high exposure, directly or indirectly, to the real estate sector. Changes in the value of real estate can have a potentially significant impact on the default risk of banks and on their profitability as a result of this...

This paper investigates the impact of international sporting and cultural events on national stock markets. We study market reaction to the announcements of the selected country hosting the Summer and Winter Olympic Games, the World Football Cup, the European Football Cup and World and...

This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I...

This paper provides evidence on abnormal returns of Portuguese privatization public offerings for the period from 1989 to 2001. Previous empirical studies report the existence of underpricing for privatized firms in the short-run and positive abnormal returns in the long run. This study explores...