Abstract This paper studies the dynamics of stock market regimes in emerging markets. Using a mix... more Abstract This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version of the standard regime-switching model, we find that the 18 analysed emerging markets can be clustered into three groups. Whereas each of these three groups is characterized by the same two regimes—a bull state with positive returns and low volatility and a bear state with negative returns and high volatility—they clearly differ with respect to their regime-switching dynamics.
Abstract The landscape of stock exchanges has undergone changes in the recent times. Most of the ... more Abstract The landscape of stock exchanges has undergone changes in the recent times. Most of the exchanges are currently for-profit organizations with diversified activities. The authors start by analyzing what functions a stock exchange in this new setting has. Next, they characterize the key factors of competition for order flow and for listing such as liquidity, transaction costs, listing fees, price discovery, regulation and accounting standards.
Abstract: This paper examines mutual fund industry competition and concentration in 27 countries ... more Abstract: This paper examines mutual fund industry competition and concentration in 27 countries using a sample of almost 50,000 mutual funds. The indicators show that the mutual fund industry is concentrated worldwide and some industries present large fund complexes. Countries with common law and higher stock market turnover are associated with low level industry concentration. There is more industry contestability in countries with better quality of institutions and where regulation is more open.
This paper analyzes long term dependence between the market value of oil firms and oil prices. Ap... more This paper analyzes long term dependence between the market value of oil firms and oil prices. Applying nonlinear cointegration, the results show that in the long-run oil price hikes and falls show different adjustments to the equilibrium. Using a momentum threshold autoregressive model (MTAR), we find that for oil producing firms, the adjustment is faster for oil price falls than for oil price hikes, but we do not find a difference on the speed of adjustment for oil integrated firms.
ABSTRACT Recent research that has identified industry-related patterns finds that standard asset ... more ABSTRACT Recent research that has identified industry-related patterns finds that standard asset pricing models cannot explain effectively. This paper investigates whether industry commodity dependence affects the cross section of stock returns, using the case of the oil industry. The results show that in the period 1988-2009, a value (equally) weighted portfolio of high oil beta stocks outperforms a portfolio of low oil beta stocks by 1.1%(1.25%) in average per month, and approximately 13.24%(14.97%) in average annually.
We use a new dataset to study how mutual fund flows depend on past performance across 28 countrie... more We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry.
Previous research has found great disparity in growth rates of stock markets supporting the idea ... more Previous research has found great disparity in growth rates of stock markets supporting the idea that the ranking in financial development is volatile. This paper analyzes the development of stock markets in the last decades and attempts to explain why countries change their ranking in financial development. For that purpose, I analyze 101 stock markets from 1975 to 2003. I find that the divergence is mainly explained by changes in law and regulation enhancing competition. In addition, the general level of competition is positively ...
Abstract This paper studies the dynamics of stock market regimes in emerging markets. Using a mix... more Abstract This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version of the standard regime-switching model, we find that the 18 analysed emerging markets can be clustered into three groups. Whereas each of these three groups is characterized by the same two regimes—a bull state with positive returns and low volatility and a bear state with negative returns and high volatility—they clearly differ with respect to their regime-switching dynamics.
Abstract The landscape of stock exchanges has undergone changes in the recent times. Most of the ... more Abstract The landscape of stock exchanges has undergone changes in the recent times. Most of the exchanges are currently for-profit organizations with diversified activities. The authors start by analyzing what functions a stock exchange in this new setting has. Next, they characterize the key factors of competition for order flow and for listing such as liquidity, transaction costs, listing fees, price discovery, regulation and accounting standards.
Abstract: This paper examines mutual fund industry competition and concentration in 27 countries ... more Abstract: This paper examines mutual fund industry competition and concentration in 27 countries using a sample of almost 50,000 mutual funds. The indicators show that the mutual fund industry is concentrated worldwide and some industries present large fund complexes. Countries with common law and higher stock market turnover are associated with low level industry concentration. There is more industry contestability in countries with better quality of institutions and where regulation is more open.
This paper analyzes long term dependence between the market value of oil firms and oil prices. Ap... more This paper analyzes long term dependence between the market value of oil firms and oil prices. Applying nonlinear cointegration, the results show that in the long-run oil price hikes and falls show different adjustments to the equilibrium. Using a momentum threshold autoregressive model (MTAR), we find that for oil producing firms, the adjustment is faster for oil price falls than for oil price hikes, but we do not find a difference on the speed of adjustment for oil integrated firms.
ABSTRACT Recent research that has identified industry-related patterns finds that standard asset ... more ABSTRACT Recent research that has identified industry-related patterns finds that standard asset pricing models cannot explain effectively. This paper investigates whether industry commodity dependence affects the cross section of stock returns, using the case of the oil industry. The results show that in the period 1988-2009, a value (equally) weighted portfolio of high oil beta stocks outperforms a portfolio of low oil beta stocks by 1.1%(1.25%) in average per month, and approximately 13.24%(14.97%) in average annually.
We use a new dataset to study how mutual fund flows depend on past performance across 28 countrie... more We use a new dataset to study how mutual fund flows depend on past performance across 28 countries. We show that there are marked differences in the flow-performance relationship across countries, suggesting that US findings concerning its shape do not apply universally. We find that mutual fund investors sell losers more and buy winners less in more developed countries. This is because investors in more developed countries are more sophisticated and face lower costs of participating in the mutual fund industry.
Previous research has found great disparity in growth rates of stock markets supporting the idea ... more Previous research has found great disparity in growth rates of stock markets supporting the idea that the ranking in financial development is volatile. This paper analyzes the development of stock markets in the last decades and attempts to explain why countries change their ranking in financial development. For that purpose, I analyze 101 stock markets from 1975 to 2003. I find that the divergence is mainly explained by changes in law and regulation enhancing competition. In addition, the general level of competition is positively ...
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Papers by Sofia Ramos