Abnormal Returns in Privatization Public Offerings: The Case of Portuguese Firms

• Type: Article in National Scientific Journal
• Date: 2006

Authors

Carla Vieira (Author) Other; Ana Paula Serra (Author) FEP

Journal

Title: Notas Económicas

Vol. 23

Pages: 6-35

Publisher: Universidade de Coimbra. Faculdade de Economia

Indexing

Econlit

Scientific classification

CORDIS: Social sciences

Other information

Abstract (EN): We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991-2005 period and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to changes in the composition of the market.

Language: Portuguese

Type (Professor's evaluation): Scientific