14 documents found, page 1 of 2
Financial literacy bias: a comparison between students and nonstudents
Sebastião, Helder; Silva, Nuno; Torres, Pedro; Godinho, PedroPurpose – This work uses survey data from the Portuguese Securities Market Commission (Comissão de Mercado de Valores Mobiliários – CMVM) to examine financial literacy and literacy bias. The main objective of this study is to shed light on this issue by identifying the individual characteristics that are associated with financial literacy, namely overconfidence and underconfidence, which in turn might help expl...
Industry return lead-lag relationships between the US and other major countries
Monteiro, Ana; Silva, Nuno; Sebastião, HelderIn this study, we analyze the lead-lag relationships between the US industry index and those of six other major countries from January 1973 to May 2021. We identify the leading role played by the US internationally by showing that the weekly returns of US industries, especially the US basic materials and energy industries, significantly Granger cause the returns of most other countries’ industries, suggesting t...
IPO Patterns in Euronext After the Global Financial Crisis of 2007‑ 2008
Silva, Nuno; Sebastião, Helder; Henriques, DiogoThis paper looks into the pricing patterns of 161 IPOs that occurred in 2009‑ 2017 in the Euronext markets of Amsterdam, Brussels, Lisbon and Paris. Across all the IPOs, we find a first‑ day raw return of 1.4% and an industry adjusted return of 1.2%. After one year, the average raw returns are slightly higher (around 4.5%) and the average adjusted returns are negative (around ‑ 2.7%). These first day returns ar...
Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis
Vaz, Cristiana; Pascoal, Rui; Sebastião, HelderSince its launch in 2009, bitcoin has thrived, attracting the attention of investors, regulators, academia, and the public in general. Its price dynamics, characterized by extreme volatility, severe jumps, and impressive long-term appreciation, suggest that bitcoin is a new digital asset. This study presents a comprehensive overview of the fractality of bitcoin in a high-frequency framework, namely by applying ...
From Bitcoin to Central Bank Digital Currencies: Making Sense of the Digital Mo...
Cunha, Paulo Rupino; Melo, Paulo; Sebastião, HelderWe analyze the path from cryptocurrencies to official Central Bank Digital Currencies (CBDCs), to shed some light on the ultimate dematerialization of money. To that end, we made an extensive search that resulted in a review of more than 100 academic and grey literature references, including official positions from central banks. We present and discuss the characteristics of the different CBDC variants being co...
The Relationship Between USD/EUR Official Exchange Rates And Implied Exchange R...
Sebastião, Helder; Godinho, PedroWe examine the long- and short-run relationships between USD/EUR official rates and implicit exchange rates, through Bitcoin as a currency vehicle, over the period from March 07, 2016 to November 22, 2019. The results show that the two exchange rates are cointegrated and that the cointegrating vector is not statistically different from the theoretical one that results from the law of one price. In the short-run...
International evidence on stock returns and dividend growth predictability usin...
Monteiro, Ana; Sebastião, Helder; Silva, NunoThis paper examines stock returns and dividend growth predictability using dividend yields in seven developed markets: United States of America (US), United Kingdom (UK), Japan, France, Germany, Italy, and Spain. Altogether, these countries account for around 85% of the Morgan Stanley Capital International (MSCI) World Index. The use of the long time series with up-to-date data allows the comparison not only be...
Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity ...
Sebastião, Helder; Godinho, Pedro; Westgaard, SjurThis study investigates the use of several trading strategies, based on Machine Learning methods, to profit on the risk premium of the Nordic electricity base-load week futures. The information set is only composed by financial data from January 02, 2006 to November 15, 2017. The results point out that the Support Vector Machine is the best method, but, most importantly, they highlight that all individual model...
Bitcoin futures: An effective tool for hedging cryptocurrencies
Sebastião, Helder; Godinho, PedroIn December 2017, the CBOE and CME launched bitcoin futures, arguing that, similar to other futures, these contracts would provide more price transparency, price discovery, and a risk management tool for bitcoin. Using daily data from several sources, this paper investigates the hedging properties of CBOE Bitcoin futures during these initial months of trading. The results point out that bitcoin futures are effe...
On the Gains of Using High Frequency Data in Portfolio Selection
Brito, Rui Pedro; Sebastião, Helder; Godinho, PedroThis paper analyzes empirically the performance gains of using high frequency data in portfolio selection. Assuming Constant Relative Risk Aversion (CRRA) preferences, with different relative risk aversion levels, we compare low and high frequency portfolios within mean-variance, mean-variance-skewness and mean-variance-skewness-kurtosis frameworks. Using data on fourteen stocks of the Euronext Paris, from Janu...