In this paper we conduct an empirical analysis on the performance gains of using high frequency data in portfolio selection. Within a CRRA-utility maximization framework, we suggest the construction of two different portfolios: a low and a high frequency portfolios. For ten different risk aversion levels, we compare the performance of both portfolios in terms of several out-of-sample measures. Using data on fourteen stocks of the CAC 40 stock market index, from January 1999 to December 2003, we conclude that the “fight” is always “won” by the high frequency portfolio for all the considered performance evaluation measures.

This paper analyses the price discovery process in the USD/Bitcoin market since the Mt.Gox bankruptcy until the aftermath of the hack attack on Bitfinex (01-Mar-2014 until 30-Nov-2016). The Geweke feedback measures, estimated pairwise using hourly returns, show that there is a positive relationship between the total feedback and market share, measured by trading volume, that most of the information is transmitted between exchanges within an hour, at least for the main four exchanges (Bitfinex, Bitstamp, BTC-e and ItBit), while lagged feedback runs mainly from the major exchange. Other minor exchanges seem to react to price information with some delay and are thus considered as merely satellite exchanges. Bitfinex stands out as the most important exchange in transmitting information to the market: the relative importance of the lagged feedback from Bitfinex to the market is 18.29% while the lagged feedback from the market to Bitfinex accounts only for 0.60% of the total feedback. The volatility in the major exchange in each pair is the main factor explaining the feedback measures, sustaining the claim that the information-based component of volatility increases with the relative dimension of the exchange.  

This paper studies the relationship between the electricity spot and futures prices in the Iberian electricity market, with a special focus on the ex-post risk premium of monthly futures contracts. The study covers the period from 1 July 2006 to 31 March 2017, during which 128 monthly futures contracts were traded. We show that the risk premium is dynamic and presents on average a negative value. Within contracts, the risk premium presents a non-linear dependence on the remaining trading days until maturity. There is no statistical evidence for rejecting the unbiased forward hypothesis of the futures prices. However, the sequence of futures prices near maturity has some predictive power on the risk premium.

This paper investigates the information transmission between the most important cryptocurrencies - Bitcoin, Litecoin, Ripple, Ethereum and Bitcoin Cash. We use a VAR modelling approach, upon which the Geweke’s feedback measures and generalized impulse response functions are computed. This methodology allows us to fully characterize the direction, intensity and persistence of information flows between cryptocurrencies. At this data granularity, most of information transmission is contemporaneous. However it seems that there are some lagged feedback effects, mainly from other cryptocurrencies to Bitcoin. The generalized impulse-response functions confirm that there is a strong contemporaneous correlation and that there is not much evidence of lagged effects. The exception appears to be related to the overreaction of Bitcoin returns to contemporaneous shocks.

This paper examines stock returns and dividend growth predictability using dividend yields in seven large developed markets: US, UK, Japan, France, Germany, Italy and Spain. Altogether, these countries account for around 85% of the MSCI World Index. We use annual data, and for the US, UK, Japan, and France the time series are long enough to conduct a separate analysis of the pre- and post-IIWW periods. We also study the relationship between the predictability in dividend growth and the degree of dividend smoothness. For the post-IIWW period, returns are predictable in the US and the UK but dividends are unpredictable, while the opposite pattern is observed in Spain and Italy. In Germany, there is some evidence of short-term predictability for both returns and dividends, while in France only returns are predictable. In Japan, neither variable can be forecasted. Generally, there is no clear connection between dividend smoothness and predictability.

We examine the long- and short-run relationships between USD/EUR official rates and implicit exchange rates, through Bitcoin as a currency vehicle, over the period from March 07, 2016 to November 22, 2019. The results show that the two exchange rates are cointegrated and that the cointegrating vector is not statistically different from the theoretical one that results from the law of one price. In the short-run, the implied rate Granger-causes the official reference rate. Our main conclusion is that Bitcoin USD and EUR prices incorporate fundamental information from the USD/EUR official exchange rate

This paper investigates the pricing patterns of 161 IPOs that occurred in 2009-2017 in the Euronext markets of Amsterdam, Brussels, Lisbon, and Paris. Across all the IPOs, we find a first-day raw return of 1.4% and an industry-adjusted return of 1.2%. After one year, the average raw returns are slightly higher, around 4.5%, and the average adjusted returns are negative, around -2.7%. These first-day returns are lower whilst long-run returns are higher than those reported in other studies, most notably in those that use periods that overlap our sample Healthcare is the industry that presents a higher initial underpricing (2.3% industry-adjusted return), whilst the Technology industry presents the higher year underperformance (-29.5% industry-adjusted return). Mainly, results are in line with the market conditions and investor sentiment hypotheses according to which, when market conditions are bad (crises), uninformed investors are not so active and optimistic in the IPO market, hence initial underpricing and subsequent underperformance tend to be lower.