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

• Tipo: Artigo em Revista Científica Nacional
• Data: 2006

Autores

Carla Vieira (Autor) Outra; Ana Paula Serra (Autor) FEP

Revista

Título: Notas Económicas

Vol. 23

Páginas: 6-35

Editora: Universidade de Coimbra. Faculdade de Economia

Indexação

Econlit

Classificação Científica

CORDIS: Ciências Sociais

Outras Informações

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.

Idioma: Português

Tipo (Avaliação Docente): Científica