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- Who is the best acquirer : private equity or industry firms?Publication . Fontoura, Inês Sofia Sevivas; Faias, JoséPrevious research on PE firms impact and the benefits of Acquisitions have been mixed. However, their comparison has been largely neglected. This study evaluates whose assets are of most value to targets: PE or Industry firms reinforcing the need of further empirical research to better resources allocation. For a sample of 92 Buyouts and 120 Acquisitions UK targets in the mid/long-term, Acquired firms significantly over-perform Buyout targets for measures combining operational and capital efficiency. These findings are related to higher sales growth, slightly better gross margins and higher discipline of debt. Nonetheless, PE firms show a positive impact on fixed costs management and at a lower level on labor productivity and working capital managing.
- Is the low volatility anomaly still persistent? : it depends!Publication . Farinha, Maria Joana Leal da Silva; Faias, JoséAccording to the methodology in Ang et al. (2009), we find that monthly stock excess returns are negatively related to the one-month lagged firm idiosyncratic volatility, across the U.S. with data spanning from June 1962 to December 2012. We show that the Low Volatility Anomaly disappears after controlling for price momentum for the overall market, which leads us to perform a deeper analysis. We segment the market by industry and find that, across 49 industries, the Food Products sector is the only one evidencing higher returns on low volatility stocks, even after controlling for market returns, size, value, long- and short-term momentum. An investment strategy that goes long on the low volatility portfolio and short on the high volatility portfolio within this sector is highly profitable, outperforming largely both the S&P500 and the DJIA indexes in 14% per annum, on average.
- Explaining arbitrage of CDS and Bond marketsPublication . Mishyn, Maksym Kostyantynovich; Faias, JoséThe focus of this paper is the theoretical arbitrage relationship between the Credit Default Swaps and Corporate Bonds. We find that the arbitrage relationship tends to be violated, creating short term opportunities for traders. Results of VECM suggest that the difference in price of credit risk persists over time. This violation is explained by three sets of factors: 1) firm-specific credit risk proxies, 2) bond and CDS liquidity and 3) overall market conditions. Variables gain more explanatory power during the last financial crisis.
- The role of top tier advisors : some unpuzzling evidencePublication . Francisco, Marta Maria Cardoso; Faias, JoséAcademics and practitioners around the world are daily involved in the discussion of the role of financial advisors. There is puzzling evidence regarding the role of top tier advisors in the capture of abnormal returns in domestic US acquisitions. Our work is an important step forward in solving the puzzle. We find evidence that (1) hiring a top tier investment bank is relevant on public cross border transactions (2) and that the tier of the advisor has little relevance when the acquirer is an experienced investor. This is a strong indication that top tier advisors do matter when their advice is most needed.