Rocha Armada - Academia.edu (original) (raw)

Papers by Rocha Armada

Contaduría y Administración

Capital gains overhang and irrelevant value characteristics of Brazilian companies Ganancias de c... more Capital gains overhang and irrelevant value characteristics of Brazilian companies Ganancias de capital no realizadas y características de valor irrelevantes de las empresas Brasileñas

The present paper analyzes the effects of dynamic changes in foreign direct investment, economic ... more The present paper analyzes the effects of dynamic changes in foreign direct investment, economic activity and oil prices across the distribution of stock markets performance in the Eurozone. A dynamic panel quantile approach is performed that provides empirical evidences about the negative effect of distinct variables, namely, inward foreign direct investment, oil prices and economic activity on the stock markets performance. In addition, inward foreign direct investment and oil prices are statistically significant. Concerning the quantile regressions, the empirical evidences reveal a negative effect of the inward foreign direct investment and oil prices on the stock markets performance. These same effects are statistically significant at the lower levels of the stock markets performance and at the lowest and highest quantiles of the distribution of stock markets performance, respectively. For its turn, economic activity denotes a nonlinear effect on stock markets performance, which...

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 ...

Research in International Business and Finance

This paper seeks to analyse if the capital structure decisions of service small and medium-sized ... more This paper seeks to analyse if the capital structure decisions of service small and medium-sized enterprises (SMEs) are different from those of other types of firm. To do so, we consider four research samples: (i) 610 service SMEs; (ii) 126 service large firms; (iii) 679 manufacturing and construction SMEs; and (iv) 132 manufacturing and construction large firms. Using the two-step estimation method, the empirical evidence obtained in this study shows that the capital structure decisions of service SMEs are different from those of other types of firm. Service SMEs ’ capital structure decisions are closer to the assumptions of Pecking Order Theory and further removed from those of Trade-Off Theory compared with the case of other types of firm.

Sobre variáveis psicológicas em modelos de application scoring Sobre variables psicológicas en mo... more Sobre variáveis psicológicas em modelos de application scoring Sobre variables psicológicas en modelos de application scoring The purpose of this study is to investigate the contribution of psychological variables and scales suggested by Economic Psychology in predicting individuals ’ default. Therefore, a sample of 555 individuals completed a self-completion questionnaire, which was composed of psychological variables and scales. By adopting the methodology of the logistic regression, the following psychological and behavioral characteristics were found associated with the group of individuals in default: a) negative dimensions related to money (suffering, inequality and conflict); b) high scores on the self-efficacy scale, probably indicating a greater degree of optimism and over-confidence; c) buyers classified as compulsive; d) individuals who consider it necessary to give gifts to children and friends on special dates, even though many people consider this a luxury; e) problems...

SSRN Electronic Journal, 2008

This study makes an innovative approach, since it applies a set of diversified tests, which have ... more This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that existing literature has so far failed to adequately address the effects of financial crisis on the stock markets of developed countries. Several empirical tests are performed on a joint basis: correlation tests, Kolmogorov-Smirnov tests; extreme value tests; and tests based on the estimation of Cointegrated Vector Autoregressive models. Significant evidence on the existence of contagion effects is provided with regards to the Asia crisis, the Russia crisis and the September 11 crisis, as was previously mentioned in literature. On the other hand, limited evidence is detected regarding the contagion effects on Brazil, Argentina and Mexico.

Revista de Administração Contemporânea, 1998

We generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) a... more We generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) and show that, in the generalized model, some universal statements made by these authors no longer hold. The more generalized model contains, as special cases, the original model and an efficient market model. Its most general case is probably more empirically realistic than either special case. Some important causes and consequences of information asymmetry are not, however, addressed by either the original or the generalized model.

Industrial and Corporate Change, 2010

The current paper aims to analyse the relationships between growth of Portuguese SME and their de... more The current paper aims to analyse the relationships between growth of Portuguese SME and their determinants, using quantile regressions. The results allow us to reject Gibrat´s Law only for the upper quantiles of growth distribution. The negative relationship expected between growth and age is only found in the upper quantiles of growth distribution. We also find a positive effect of the level of intangible assets and internal and external finance on Portuguese SME growth, for upper levels of growth distribution. The results allow us to conclude that there are significant non-linearities between SME growth and their determinants.

This paper combines Epstein-Zin preferences and the consumers budget constraint to derive a rela... more This paper combines Epstein-Zin preferences and the consumers 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. Keywords: Epstein-Zin preferences, intertemporal budget constraint, expected returns, consumption capital asset pricing. JEL classicatio...

This paper draws attention to the fact that under standard assumptions the time varying betas mod... more This paper draws attention to the fact that under standard assumptions the time varying betas model cannot capture the dynamics in beta. Using the multivariate normal as a model for the joint distribution of returns on the market portfolio and predetermined information variables, it is shown how to capture skewness and kurtosis in the unconditional distributions of asset returns. It is also shown that the predetermined information variables have the potential to account for the time series properties of returns, including heterogeneity of variance. The model may be extended empirically by using different distributions for the residual returns. It may be extended theoretically by considering other members of the elliptically symmetric class of distributions. An empirical study applies the model to returns on European bond funds. An analysis of the residuals from fitting several versions of the time varying betas models shows that such models are able both to capture the dynamics of a...

PLOS ONE

This experimental study of an artificial stock market investigates what explains the propensity t... more This experimental study of an artificial stock market investigates what explains the propensity to sell stocks and thus the disposition effect. It is a framed field experiment that follows the steps of a previous observational study of investor behavior in the Finnish stock market. Our experimental approach has an edge over the observational study in that it can control extraneous variables and two or more groups can be compared. We consider in particular the groups of amateur students and professional investors because it is well established in the literature that the disposition effect is less pronounced in professionals. The disposition effect was measured by both the traditional metric and a broader one that properly considers return intervals. A full logit model with control variables was employed in the latter case. As a result, we replicate for the broader definition what already has been found for the traditional measure: that investor experience dampens the disposition effect. Trades with positive returns exhibited higher propensity to sell than trades with negative returns. For the overall sample of participants, we find the disposition effect cannot be explained by prospect theory, but we cast doubt on this stance from partitions of data from amateurs and professionals.

Revista Mexicana de Economía y Finanzas

This research applies a set of diversified tests that have not been used on a joint basis to stud... more This research applies a set of diversified tests that have not been used on a joint basis to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that the existing literature has, so far, failed to adequately address the effects of financial crisis on such markets. Several empirical tests are performed on a joint basis: correlation tests; Kolmogorov-Smirnov tests; extreme value tests; and tests based on the estimation of Cointegrated Vector Autoregressive models. Significant evidence on the existence of contagion effects is provided with regards to the Asia crisis, the Russia crisis and the September 11 crisis. Finally, limited evidence is detected regarding the contagion effects on Brazil, Argentina and Mexico crisis. Resumen Esta investigación aplica un conjunto de pruebas diversificadas que no se han utilizado en forma conjunta para estudiar los efectos de contagio de las crisis financieras en los mercados bursátiles de los países desarrollados. Esto es particularmente importante debido al hecho de que en la literatura existente no se abordan adecuadamente los efectos de las crisis financieras en dichos mercados. Se realizan varias pruebas empíricas en forma conjunta: pruebas de correlación; de Kolmogorov-Smirnov; de valor extremo; y las pruebas basadas en la estimación de modelos de vectores autorregresivos cointegrados. Se muestra evidencia significativa de efectos de contagio durante la crisis asiática, la crisis de Rusia y la crisis del 11 de Septiembre. Porúltimo, los efectos de contagio encontrados durante las crisis en Brasil, Argentina y México son limitados.

The European Journal of Finance

International Review of Finance, 2016

Investment Analysts Journal, 2016

The aim of this paper is to study the option to invest in a duopoly market, allowing for more com... more The aim of this paper is to study the option to invest in a duopoly market, allowing for more competitors to enter the market. In fact, we relax the common assumption which states that (only) two firms compete for the two places in the market. In the existing models, the problem consists of, basically, defining which one will be the leader, which will be the follower, and when. We can say that, in these settings, the investment opportunities are semi-proprietary, since the follower's position is, at least, guaranteed for both firms. As we said, our approach relaxes this assumption, allowing for more than two competitors for the positions on the duopoly. This additional competition has, as we will see, a major impact on the decision to invest. We also allow for both ex-post symmetry and ex-post asymmetry, and for asymmetrical investment costs for the leader and for the follower.