Papers by Armada M . J . Rocha
International Journal of Advanced Research, Sep 30, 2017
Performance evaluation of investments is of great concern to the investors especially when they h... more Performance evaluation of investments is of great concern to the investors especially when they have to forego their hard earned money in the form of fees for rendering professional fund management services. In this maiden study performance evaluation of equityoriented Mutual Funds and Unit Linked Insurance Plan (ULIP) funds is done for the period April 2008 to March 2016. Multi factor models Fama & French Three Factor Model and Carhart Four Factor Model are used to evaluate the selected 80 mutual funds and 60 ULIP funds. It is found that mutual fund managers are adding significant value to the return generation, whereas the ULIP fund managers are not able to add significant value to the return generation.
International Journal of Business, Mar 22, 2002
We use an autoregressive methodology in relation to the Arbitrage Pricing Model (APT) developed b... more We use an autoregressive methodology in relation to the Arbitrage Pricing Model (APT) developed by Mei (1994), applying it, for the first time, to the Portuguese stock market. The results suggest that the number of risk factors explaining stock returns varies with time and that these were not the same, which seems to be strong evidence against the APT. Also, after testing the statistical significance of the factor risk premiums, it seems that we can conclude that the stock returns could be explained by more than one factor and that those factors are priced.
Revista de Administração de Empresas, 2015
The Quarterly Review of Economics and Finance, 2015
This paper derives a relationship between consumption growth, the consumption-wealth ratio and it... more This paper derives a relationship between consumption growth, the consumption-wealth ratio and its first-difference, and asset returns. Using quarterly data for sixteen OECD countries, we find that the three-factor asset pricing model explains a large fraction of the variation in real stock returns. The model captures: (i) the concerns of agents with states of the world in which consumption growth is low; (ii) the preference of investors for a smooth consumption path as implied by the intertemporal budget constraint; and (ii) the role played by shifts in expectations about future returns due to positive or negative news about their wealth.
SSRN Electronic Journal, 2006
This paper provides a detailed analysis of the Least Squares Monte Carlo Simulation Method (Longs... more This paper provides a detailed analysis of the Least Squares Monte Carlo Simulation Method (Longstaff and Schwartz, 2001) and of the extension of Gamba (2003) to value portfolios of real options. The accuracy of the method is assessed when valuing stylised real options as maximum, compound or mutually exclusive options. For the latter, we propose an improved algorithm that is faster, more accurate as well as more reliable. The analysis is carried out for a large number of call and put options. It is done comparing alternative polynomial families and simulation methods, including moment matching techniques and low-discrepancy sequences. Unlike previous analysis of the method, our results suggest that the use of weighted Laguerre polynomials, initially proposed by Longstaff and Schwartz (2001), produces more accurate estimates. We show also that the choice of the best simulation method is contingent on the problem in hands. Low-discrepancy sequences tend to produce more accurate estimates, using fewer paths than pseudo-random numbers. The accuracy of the method depends on the payoff function and seems to converge, increasing both the number of basis and the number of simulated paths.
SSRN Electronic Journal, 2012
This paper combines Epstein-Zin preferences and the consumer's budget constraint to derive a rela... more This paper combines Epstein-Zin preferences and the consumer's budget constraint to derive a relationship where the importance of the risks for the long-run can help explaining risk premium. We …nd that when consumption growth, the consumption-wealth ratio and its …rst-di¤erences are used as conditioning information for the Consumption Capital Asset Pricing Model (C-CAPM), the resulting linear factor model explains a large fraction of the variation in observed real stock returns for a set of sixteen OECD countries. The model captures: (i) the preference of investors for a smooth path for consumption as implied by the intertemporal budget constraint; and (ii) the low intertemporal elasticity of substitution and the high risk aversion, which imply that agents demand large equity risk premia because they fear a reduction in future economic prospects.
SSRN Electronic Journal, 2007
... The Optimal Timing for the Construction of an Airport ∗ Paulo Pereira Artur Rodrigues Manuel... more ... The Optimal Timing for the Construction of an Airport ∗ Paulo Pereira Artur Rodrigues Manuel J. Rocha Armada Management Research Unit School of Economics and Management University of Minho 4710-057 Braga, Portugal First draft: February 2006. This draft: April 2007. ...
Os fundos de pensões vêm alterar de modo significativo as opções de investimento disponíveis. As ... more Os fundos de pensões vêm alterar de modo significativo as opções de investimento disponíveis. As pesquisas que têm vindo a ser feitas, desde os finais da década de 60 no domínio da avaliação do desempenho destes fundos, têm-se baseado, em grande parte, na aplicação de medidas tradicionais, tais como as de Treynor (1965), Sharpe (1966) e Jensen (1968). Contudo estas
International Journal of Business, 2005
In this paper we investigate if past performance can be used to predict future performance in the... more In this paper we investigate if past performance can be used to predict future performance in the European bond fund market. Both unconditional and conditional measures of performance are considered. To our knowledge, this is the first study, which directly analyses the impact of conditioning information in assessing the persistence phenomenon in relation to bond funds. We find empirical evidence that indicates consistency of European bond performance. This evidence is particularly strong for the case of Spanish bond funds. Some evidence of persistence is also found for French and German bond funds. Additionally, it seems that the persistence is concentrated mainly in the poor performing funds. The results were similar whatever methodology, cross-sectional regression analysis or contingency tables, is used for assessing performance persistence. Our findings indicate that the evidence of performance persistence decreases when we consider conditional alphas, particularly for the multi-index model, which suggests that some of the persistence phenomenon is driven by time-varying betas.
International journal of business, 2000
In traditional meta-analysis of variance, using either Henriksson-Merton coefficients or Pfleider... more In traditional meta-analysis of variance, using either Henriksson-Merton coefficients or Pfleiderer & Bhattacharya coefficients, both timing and selectivity show variation. Both models give similar estimates of the true selectivity variance. A new method of analysis exploits the fact (earlier ignored) that the selectivity and timing estimates are negatively correlated, due to measurement error and to correlated independents. This permits an estimate of the measurement error, and hence of the true variation. The new method implies that both the selectivity and the timing variance may not differ significantly from zero.
Descontos dos Fundos de Investimento Fechados, teoria do sentimento do investidor, ganhos de capi... more Descontos dos Fundos de Investimento Fechados, teoria do sentimento do investidor, ganhos de capital não realizados, activos ilíquidos, custos de agência.
This paper analyzes how certain incentives given to private concessionaires, in publicprivate par... more This paper analyzes how certain incentives given to private concessionaires, in publicprivate partnerships, should be optimally determined to promote immediate investment, in a real options framework. Our model extends previous real options models, by considering that investment cost is lower than the project value only up to a certain demand level. This constrained growth model, while having the same trigger value, that induces investment, when it occurs before the maximum growth level, shows that investment may only be optimal after demand is above that level. We show how investment subsidies, revenue subsidies and a minimum demand guaranty should be optimally arranged to make the option to defer worthless. These three types of incentives produce significantly different results when we compare the value of the project after the incentive is established and the moment when the related cash flows occur.
... and Ekern (1990), Trigeorgis (1990a), Ingersoll and Ross (1992), Kemna (1993), Lee (1997), Mc... more ... and Ekern (1990), Trigeorgis (1990a), Ingersoll and Ross (1992), Kemna (1993), Lee (1997), McDon-ald (2000) and Pereira, Armada and Kryzanowski ... As we said, the entrances of the competitors are modeled as Poisson jumps, and the maturity happens with the Nth jump. ...
4th Finance Conference of the …, 2006
Financial theory has identified the tendency of investors to hold loosing investments too long an... more Financial theory has identified the tendency of investors to hold loosing investments too long and sell winning ones too soon. This tendency was denominated the disposition effect by Shefrin and Statman (1985). This research provides evidence of the disposition effect on the Portuguese stock market, by studying a unique database that consists on trading records of 1496 individual investors. The preference for realising gains to losses was observed every month of the year and for all individual investors. Even at the end of the fiscal year, the disposition effect still holds (in spite of the existence of fiscal incentives for the so-called fiscal effect), as opposed to the evidence found in other markets. We also found that more sophisticated investors (classified on the basis of frequency of transaction, volume and portfolio value), are less prone to the disposition effect than less sophisticated ones. We also identified differences as to the disposition effect in terms of its intensity, when considering different market trends. In bull market periods, the disposition effect is even more evident than in bear markets and significant in both markets.
CiteSeerX - Document Details (Isaac Councill, Lee Giles): * Ph.D. Student, Associate Professor an... more CiteSeerX - Document Details (Isaac Councill, Lee Giles): * Ph.D. Student, Associate Professor and Full Professor of Finance, respectively, at the.
SSRN Electronic Journal, 2003
The predictability of security returns has received considerable attention in the finance literat... more The predictability of security returns has received considerable attention in the finance literature. Notwithstanding, the predictability of bond returns, in particular outside the US, has been far less explored. In this paper we analyse the ability of several predetermined information variables in predicting bond returns in the European market. We test if variables, commonly used for that matter in the context of other markets (such as inverse relative wealth, term spread, real bond yield and a January dummy) are also useful predictors of European bond returns. Due to some particularities of the sample period of analysis, characterised by the EMU convergence, we also make another contribution by including the yield spread in relation to German bonds. Furthermore, our research is also innovative by considering different bond maturities: 1-3, 3-5 and 5 or more years to maturity. The results indicate that variables like the term spread, IRW and a January dummy give useful information in order to predict bond returns for different maturities. The other two variables add little in terms of explanatory power. Surprisingly, the DM yield spread does not seem to have any predictive ability for the countries expected to participate in the EMU. However, a puzzling result was obtained: this variable appears to be significant for the UK market! Additionally, we find that investors, using simple trading strategies that exploit this information, may obtain higher returns. This outperformance is observed for different maturities, being more evident for long-term Government bonds. These findings may have important implications on other related issues such as market efficiency, asset pricing and portfolio performance evaluation.
Vienna EFMA meeting, …, 2007
Quantitative Finance, 2012
Comments welcome-reproduction without prior approval prohibited C:\Users\fsilva\Desktop\Pre-publi... more Comments welcome-reproduction without prior approval prohibited C:\Users\fsilva\Desktop\Pre-publication papers\Time varying betas_QF\Adcock-et-al-Time-varying-betas-text-100120.doc
The Journal of Risk Finance
PurposeThis study seeks to analyse if the adjustment towards the target short-term debt ratio of ... more PurposeThis study seeks to analyse if the adjustment towards the target short-term debt ratio of small and medium-sized firms (SMEs) is related to financial distress risk.Design/methodology/approachData obtained for a sample of Portuguese manufacturing SMEs from 2010 to 2017 were analysed using the system-generalised method of moments (GMM-sys). Using the modified Z-Altman score, the authors classify SMEs according to their exposure to financial distress risk.FindingsManufacturing SMEs exposed to a high risk of financial distress rebalance their short-term debt ratio quicker. However, regardless of the financial distress risk level, SMEs distant from the target short-term debt ratio adjust more slowly, suggesting that transaction costs are greater than financial distress costs.Practical implicationsPolicymakers should promote the access to external sources of finance with low transaction costs for SMEs, exposed to low levels of financial distress risk, to rebalance their short-term ...
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Papers by Armada M . J . Rocha