CLSBE - Dissertações de Mestrado / Master Dissertations
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Browsing CLSBE - Dissertações de Mestrado / Master Dissertations by Sustainable Development Goals (SDG) "16:Paz, Justiça e Instituições Eficazes"
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- Distress anomaly : an international analysisPublication . Pirovano, Alessandro; Reis, RicardoThe relationship between distress risk and returns has been puzzling and difficult to interpret, as distressed stocks have earned lower returns than expected throughout different years and geographical areas. This event has been labeled as the distress anomaly by practitioners. This study provides an in-depth analysis of the matter by dissecting more than 90 countries stock returns to find evidence and possible causes of the phenomenon. The results provide for contrasting evidence throughout the different levels of testing implemented, with traces of the anomaly found especially among emerging economies. country specific characteristics related to the private sector development and regulations seem to have an influence on the matter, as the lower the transparency and effectiveness of the measures is, the higher the probability is to find evidence of the anomaly.
- Echo chambers in a social finance platform and option-implied moments of stock performancePublication . D'Isep, Lorenzo; Karimli, TuralThis thesis examines the role of echo chamber in financial markets. Using measures built by Cookson et. al. (2022) and variables based on option prices (DeMiguel et. al. (2013)), I analyzed how selective exposure shapes investors' perceptions of implied risks and expected excess stock returns. The results highlight that increased disagreement expressed by users stimulates trading activity, in line with Cookson et. al. (2022). Next, I document that a greater dispersion in the messages a member receives leads to a higher probability of extreme payoffs; higher implied skewness, volatility and expected returns. The analysis shows that the investors' tendency to interact with information that confirms their pre-existing beliefs, creates a polarised environment that biases users' trading decisions and market stability in the short run.
- Financial distress and the effect of leverage on german firmsPublication . Münster, Tim; Reis, RicardoThis paper investigates whether publicly listed German firms experience a more pronounced decline in performance metrics4such as sales growth, stock returns, or profitability growth during the Invasion of the Ukraine by Russia compared to their more conservatively financed counterparts. To test this, a pooled OLS regression model was applied and adjusted for fixed effects, with results drawn from three distinct periods of industry downturn: the migration crisis (2014-2016), the COVID-19 pandemic (2019-2021), and the Ukraine invasion (2021-2023). By examining these three periods, the study was able to explore the unique characteristics of each downturn and their varying impacts on firm performance metrics. Although the study did not find significant results in most cases, one notable finding is that highly leveraged firms that also operate in distressed industries experience significant and substantial cuts in sales growth.
- Impact of leverage on stock price reactions to M&A announcementsPublication . Duarte, Afonso Maria de Magalhães Ilharco Arêde; Bonfim, DianaThere are several studies about the impact of different variables on cumulative abnormal returns around mergers and acquisitions (M&A) announcements. However, there is a gap in the literature concerning the effect of both acquirer and target leverage on stock price reactions. With a final main sample of 974 deals in the US between 2000 and 2023, this dissertation studies the impact of both acquirers' and targets’ capital structure decisions on the short-term stock price reaction of both acquirers and targets around the announcement date of the transaction. It was found that, on average, a highly leveraged company acquiring a lowly leveraged firm was significantly associated with a positive stock price reaction for acquirers. In the baseline model without controls, it was discovered that the previous relationship also holds for targets and that, on average, a highly leveraged acquirer purchasing a lowly leveraged target was significantly associated with negative cumulative abnormal returns for targets. These findings were subject to further analysis for different event windows, expansion and recession periods, and election and non-election years. The results obtained from these robustness tests are consistent with those derived from the main regressions.
- Independence and crises : how central bank independence is affected by financial crisesPublication . Mendes, Bruno Lopes; Correia, Isabel HortaThis study examines the impact of different types of financial crises—banking, debt, and currency—on changes in Central Bank Independence (CBI), revealing that the effects vary depending on the crisis type. Using data on financial crises and central bank independence, this analysis introduces an innovative approach that accounts for the duration and dynamics of crises. Banking crises are found to reduce independence, particularly in areas such as the formulation of monetary policy, the institution’s financial independence, and a shift away from focusing on price stability. In contrast, currency and debt crises generally enhance CBI. Currency crises primarily strengthen independence in monetary policy formulation, the institution’s financial independence, reporting responsibilities, and restrictions on lending to the government. Debt crises, on the other hand, increase reporting responsibilities, reinforce the central bank’s focus on price stability, and introduce additional restrictions on government lending. These findings underscore the pivotal role of financial crises in reshaping central banks. Understanding how central banks adapt and respond to financial crises is crucial for explaining their current roles, the evolution of their mandates, and the reasons behind their growing independence and responsibilities over time.
- Market reactions to the corporate sustainability due diligence directive : insights from the European UnionPublication . Byback, Diana Katarina; Venter, ZoëThe objective of this thesis is to study the market impact of the Corporate Sustainability Due Diligence Directive (CSDDD) on EU companies, which was proposed in February 2022 and implemented in July 2024. Using an event study methodology, the research assesses affected firms9 abnormal returns during periods surrounding the directive's announcement and implementation, focusing on variations within two and five-day windows. It also investigates how firm-specific control variables like emissions and ESG factors affect these returns and examines industry-specific differences. Results indicate a significant negative market reaction to both the proposal and implementation of the CSDDD, particularly in the longer window analysis. The ESG score,along with the environmental and governance pillar scores, significantly impacted returns, with pronounced variances across industries based on the levels of emission and ESG variables. These findings offer valuable insights for investors and policymakers regarding the directive's implications for affected companies.
- The success of IPOs on firm competitors : evidence from the U.S. in the tech sectorPublication . Cangi, Riyesh Ashvine; Cerqueiro, GeraldoThis study investigates the impact of Initial Public Offerings (IPOs) on the stock performance of public traded competing firms in the U.S. technology sector. Using data from 1975 to 2023, it explores how IPO announcements affect (cumulative) abnormal returns (AR and CAR) and cumulative total returns (CTR) of industry incumbents. Event studies and cross-sectional regression analysis indicate a statistically significant negative impact on competitors’ firm value, particularly around the IPO announcement and completion dates. Larger IPO firms exacerbate this effect, signaling competitive threats through higher financial resources and growth potential, which is particularly detrimental to incumbents with higher leverage due to their limited financial flexibility. Robustness tests, including alternative event windows and risk models such as the Fama-French Three-Factor Model, confirm these findings. Results suggest that IPOs intensify market concerns about incumbents’ profitability and market share while occasionally offering positive externalities in scenarios of increased industry visibility. This study contributes to understanding the strategic implications of IPOs and highlights avenues for future research in diverse industries and markets.
- Time-varying safe haven properties of currencies, government bonds and commodities : the role of economic, institutional and geopolitical concernsPublication . Pinheiro, Sebastião Abrantes Marques de Melo; Schliephake, EvaThis thesis introduces an innovative approach that analyses safe haven assets by integrating news-based indices to capture the influence of economic, institutional, and geopolitical concerns on investor behaviour. Unlike traditional studies that focus solely on macroeconomic fundamentals, this framework accounts for complex and often intangible factors, such as regulatory uncertainty or geopolitical tensions, offering a more comprehensive view of safe haven dynamics. Using data spanning 2000 to 2023, I study the performance of currencies, government bonds, and commodities during crisis periods defined by extreme volatility and returns in global equity and uncertainty indexes. The results reveal that safe haven properties vary significantly depending on the nature of the crisis. Currencies, such as the USD and CHF, consistently outperform during economic and institutional crises, benefiting from institutional stability and significant foreign exchange reserves. Government bonds show context-dependent behaviour, with U.S. Treasuries excelling under economic concerns and German Bunds performing strongly during institutional crises. Commodities, like gold, appear as the preferred safe haven during geopolitical conflicts driven by their tangible value, while silver and platinum remain constrained by their industrial demand. These findings highlight the time-varying nature of safe haven behaviour and provide practical insights for investors and policymakers seeking tailored crisis-period strategies.
- Valuing companies' data safety : an empirical analysis of investors' and customers' responses to cybersecurity failuresPublication . Ferrari, Alice; Revelo, JoséCyber breaches are becoming more and more frequent due to the increasing connection allowed by technology. This implies a loss of sensitive data about companies or clients. Cyber breaches can have several causes and can happen in different forms. This paper aims to analyze how cyber data leaks affect the value of publicly traded firms by considering a sample of US companies that experienced breaches between 2009 and 2019. The research will provide some consensus about how customers react to cyber breach announcements. Both investors and customers are expected to react negatively to such events. Results show that the market reaction to such announcements is negative and significant, and cumulative abnormal returns are negatively and significantly impacted by the characteristics of the breach. However, customers’ reactions are not as negative as investors9 reactions, indicating that the two categories of stakeholders consider different aspects to value their relationship with companies