Several institutions issue rankings based on the accuracy of price and EPS forecasts. Given that these rankings are ex-post they may not be able useful to investors. In this paper we show that trading strategies based on perfect foresight and past rankings outperform a passive strategy. In...

This paper examines the effects on stock returns of dual-listing on an international exchange. My sample consists of 70 firms from 10 emerging markets that dual-listed on the NYSE, NASDAQ and SEAQ-I over the period 1991-1995. The theoretical motivation for this paper lies in the context of the...

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...

We investigate the existence of overreaction and underreaction in the Portuguese stock market and try to conciliate their simultaneous occurrence. We explore whether Portuguese stock returns are related to return past performance examining a sample that includes all stocks listed in the main...

We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991-2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in...

We assess the performance of a few trading strategies based on a sample of 139 analysts' recommendations made public by a Portuguese investment bank's research department. We address whether stock picking strategies on the basis of these recommendations were effective tools for stock selection....

In this paper, I describe some of the main parametric and non-parametric tests used in event studies to assess the significance of abnormal returns or changes in variance of returns. The parametric tests here described are Brown and Warner's test (1980, 1985), with and without crude independence...

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...