This page has only limited features, please log in for full access.
She is an Associate Professor at Department of Financial Economics, University of Extremadura (Spain). Author of numerous articles published in several journals in the financial and economic fields, such as Applied Economics, Journal of Behavioral Finance, International Review of Financial Economics, Quarterly Review of Financial Economics, and Spanish Journal of Finance and Accounting. Her specific areas of interest are Asset Allocation, Asset Pricing, Market Efficiency and Volatility.
Renewable energies have increased in importance in recent years due to the harm caused to the environment by fossil fuels. As a result, renewable energy companies seem to be profitable investment opportunities given their likely substantial future earnings. However, previous empirical evidence has not always agreed about this likely profitability. In addition, the methodologies employed in the existing empirical literature are complicated and not feasible for most investors to use. Therefore, it is proposed an approach which combines the use of performance measures, screening rules, devolatized returns and portfolio strategies, all of which can be implemented by investors. This approach results in high cumulative returns of more than 200% and other positive ratios, even when transaction costs are considered. This should encourage people to invest in these renewable energies and contribute to improving the environment.
José Miralles-Quirós; María Miralles-Quirós. Alternative Financial Methods for Improving the Investment in Renewable Energy Companies. Mathematics 2021, 9, 1047 .
AMA StyleJosé Miralles-Quirós, María Miralles-Quirós. Alternative Financial Methods for Improving the Investment in Renewable Energy Companies. Mathematics. 2021; 9 (9):1047.
Chicago/Turabian StyleJosé Miralles-Quirós; María Miralles-Quirós. 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies." Mathematics 9, no. 9: 1047.
This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long-term and short-term relationships. For that purpose, we employ the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pattern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short-term, it was possible to conclude that, in contemporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.
Vítor de Sousa Gabriel; María Miralles-Quirós; José Miralles-Quirós. Shades between Black and Green Investment: Balance or Imbalance? Sustainability 2021, 13, 5024 .
AMA StyleVítor de Sousa Gabriel, María Miralles-Quirós, José Miralles-Quirós. Shades between Black and Green Investment: Balance or Imbalance? Sustainability. 2021; 13 (9):5024.
Chicago/Turabian StyleVítor de Sousa Gabriel; María Miralles-Quirós; José Miralles-Quirós. 2021. "Shades between Black and Green Investment: Balance or Imbalance?" Sustainability 13, no. 9: 5024.
To sin, or not to sin: that has been the question for many people for a long time, and nowadays that question has moved to the financial markets. The existence of studies that show that investing in vice sectors such as the alcohol, tobacco, and gambling industries, collectively known as the “triumvirate of Sin”, is profitable has created some uncertainty for investors who wonder whether or not to be socially responsible. We show that by implementing an investment strategy based on the Fama–French five-factor model, “saint” investors obtain better portfolio performance, even when transaction costs are taken into consideration, and therefore they are the ones chosen to knock on the door of portfolio performance heaven.
José Luis Miralles-Quirós; María Mar Miralles-Quirós. Who Knocks on the Door of Portfolio Performance Heaven: Sinner or Saint Investors? Mathematics 2020, 8, 1951 .
AMA StyleJosé Luis Miralles-Quirós, María Mar Miralles-Quirós. Who Knocks on the Door of Portfolio Performance Heaven: Sinner or Saint Investors? Mathematics. 2020; 8 (11):1951.
Chicago/Turabian StyleJosé Luis Miralles-Quirós; María Mar Miralles-Quirós. 2020. "Who Knocks on the Door of Portfolio Performance Heaven: Sinner or Saint Investors?" Mathematics 8, no. 11: 1951.
This study focuses on assets related to Sustainable Development Goals (SDGs), which are the most recent aspect of the Socially Responsible Investment framework and have caught the attention of investors due to their investment opportunities as well as the global challenges that can be achieved. The profitability of developing an investment strategy is shown based on the value of the alphas obtained from the estimation of the Fama-French five-factor model when compared to an equally weighted portfolio, even when transaction costs are taken into consideration. In addition, it is proven that investors should focus their investments on two main SDGs: Good health and well-being (Goal 3) and Industry, innovation and infrastructure (Goal 9).
José Luis Miralles-Quirós; María Mar Miralles-Quirós; José Manuel Nogueira. Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas. Sustainability 2020, 12, 1842 .
AMA StyleJosé Luis Miralles-Quirós, María Mar Miralles-Quirós, José Manuel Nogueira. Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas. Sustainability. 2020; 12 (5):1842.
Chicago/Turabian StyleJosé Luis Miralles-Quirós; María Mar Miralles-Quirós; José Manuel Nogueira. 2020. "Sustainable Development Goals and Investment Strategies: The Profitability of Using Five-Factor Fama-French Alphas." Sustainability 12, no. 5: 1842.
After the global financial crisis, commercial banks have increased their social responsibility activities with the aim of reinforcing the credibility and trust that their stakeholders have in them. However, prior research about the value relevance for their financial stakeholders of these sustainable practices is scarce. In this context, the aim of this research is to examine whether environmental, social, and governance (ESG) performance of commercial banks listed on 20 different stock markets provides relevant information and has a significant impact on stock prices over the 2002–2015 period. Our overall results reveal that stock market investors value the three ESG pillars in a different manner. We also observe that the value relevance of ESG performance is significantly higher for banks from common law countries and after the global financial crisis. These findings could have several implications for internal and external stakeholders such as managers, investors, and market regulators.
María Mar Miralles‐Quirós; José Luis Miralles‐Quirós; Jesus Redondo Hernandez. The impact of environmental, social, and governance performance on stock prices: Evidence from the banking industry. Corporate Social Responsibility and Environmental Management 2019, 1 .
AMA StyleMaría Mar Miralles‐Quirós, José Luis Miralles‐Quirós, Jesus Redondo Hernandez. The impact of environmental, social, and governance performance on stock prices: Evidence from the banking industry. Corporate Social Responsibility and Environmental Management. 2019; ():1.
Chicago/Turabian StyleMaría Mar Miralles‐Quirós; José Luis Miralles‐Quirós; Jesus Redondo Hernandez. 2019. "The impact of environmental, social, and governance performance on stock prices: Evidence from the banking industry." Corporate Social Responsibility and Environmental Management , no. : 1.
The aim of this paper is to study the role of socially responsible activities on shareholder value creation in a sample of 166 banks from 31 countries over the 2010–2015 period. Prior research about this relationship is scarce and limited to the period before and during the global financial crisis. In contrast, this research analyzes banks over a period of time when these institutions have increased their social responsibility practices in order to reinforce their credibility and the trust their stakeholders have in them. More precisely, we analyze the relationship between these two magnitudes distinguishing between environmental, social, and corporate governance actions as well as between countries taking into account the level of development, legal systems, and the geographic area. Our findings are relevant not only for academics, but also for the managers of these companies, policymakers, investors, and society in general.
María Mar Miralles-Quirós; José Luis Miralles-Quirós; Jesus Redondo Hernandez. ESG Performance and Shareholder Value Creation in the Banking Industry: International Differences. Sustainability 2019, 11, 1404 .
AMA StyleMaría Mar Miralles-Quirós, José Luis Miralles-Quirós, Jesus Redondo Hernandez. ESG Performance and Shareholder Value Creation in the Banking Industry: International Differences. Sustainability. 2019; 11 (5):1404.
Chicago/Turabian StyleMaría Mar Miralles-Quirós; José Luis Miralles-Quirós; Jesus Redondo Hernandez. 2019. "ESG Performance and Shareholder Value Creation in the Banking Industry: International Differences." Sustainability 11, no. 5: 1404.
Fossil fuels supply most of the energy we need for many functions but alternative energy global consumption is expected to increase in the future supported by great incentives, advances in technologies, and the depletion of fuel oil reserves. In that context, investors begin to consider the possibility of investing in the alternative energy sector using different assets such as the Exchange Traded Funds (ETFs). We evaluate the out-of-sample performance of four strategies using the returns and volatility forecasts from a VAR-ADCC approach. We provide evidence that Alternative Energy ETFs clearly outperform Energy ETFs and, therefore, they are a real alternative for investors. These findings are relevant not only for academics but also for active professional managers who can use this technique to add value to their investment strategies.
José Luis Miralles-Quirós; María Mar Miralles-Quirós. Are alternative energies a real alternative for investors? Energy Economics 2018, 78, 535 -545.
AMA StyleJosé Luis Miralles-Quirós, María Mar Miralles-Quirós. Are alternative energies a real alternative for investors? Energy Economics. 2018; 78 ():535-545.
Chicago/Turabian StyleJosé Luis Miralles-Quirós; María Mar Miralles-Quirós. 2018. "Are alternative energies a real alternative for investors?" Energy Economics 78, no. : 535-545.
Socially responsible investment has acquired a global dimension beyond moral values, which includes sustainability, risk management, and corporate social responsibility as the main elements. At the same time, from the launch of the 17 Sustainable Development Goals (SDGs) included in the United Nations 2030 Agenda, with its 169 outcomes and 230 indicators, investors are being asked to contribute with their business activities, asset allocations, and investment decisions to solve some of the most urgent problems the world is facing (poverty, clean water, clean energy, decent work and economic growth, and climate action among others). The aim of our research is to analyze the benefits of adding SDGs exchange‐traded funds (ETFs) to a stock–bond portfolio and evaluate the out‐of‐sample performance of four strategies using the returns and volatility forecasts from a rolling sample approach. Our results show that it is possible for investors to obtain benefits from investing in ETFs, which track companies focused on contributing to the SDGs, especially those focused on decent work and economic growth and clear improvements in portfolio performance compared with the initial stock–bond portfolio. These findings are relevant not only for academics but also for active professional managers who can use this technique to add value to investment strategies.
José Luis Miralles-Quirós; María Mar Miralles-Quirós; José Nogueira. Diversification benefits of using exchange-traded funds in compliance to the sustainable development goals. Business Strategy and the Environment 2018, 28, 244 -255.
AMA StyleJosé Luis Miralles-Quirós, María Mar Miralles-Quirós, José Nogueira. Diversification benefits of using exchange-traded funds in compliance to the sustainable development goals. Business Strategy and the Environment. 2018; 28 (1):244-255.
Chicago/Turabian StyleJosé Luis Miralles-Quirós; María Mar Miralles-Quirós; José Nogueira. 2018. "Diversification benefits of using exchange-traded funds in compliance to the sustainable development goals." Business Strategy and the Environment 28, no. 1: 244-255.
The aim of our research is to analyse the benefits for the U.S. investors of combining their domestic exchange trade fund (ETF) with ETFs, which track other developed markets such as the United Kingdom, Japan, Germany, and France. We evaluate the out‐of‐sample performance of six strategies using the returns and volatility forecasts from a VAR Asymmetric Dynamic Conditional Correlation GARCH approach where returns standardized by range‐based volatility estimators were used as endogenous variables. The initial outperformances of some strategies using classic returns were significantly improved when returns were standardized by the Garman–Klass precise volatility estimator. Additionally, we find a large decrease in the weights of the North American ETF in the best performing strategies, meaning that it is possible to obtain benefits from diversification. These findings are relevant not only for academics but also for active professional managers who can use this technique to add value to their international diversification strategies.
José Luis Miralles‐Quirós; María Mar Miralles‐Quirós; José Nogueira. Diversification and the benefits of using returns standardized by range‐based volatility estimators. International Journal of Finance & Economics 2018, 24, 671 -684.
AMA StyleJosé Luis Miralles‐Quirós, María Mar Miralles‐Quirós, José Nogueira. Diversification and the benefits of using returns standardized by range‐based volatility estimators. International Journal of Finance & Economics. 2018; 24 (2):671-684.
Chicago/Turabian StyleJosé Luis Miralles‐Quirós; María Mar Miralles‐Quirós; José Nogueira. 2018. "Diversification and the benefits of using returns standardized by range‐based volatility estimators." International Journal of Finance & Economics 24, no. 2: 671-684.
: This study analyzes the effectiveness of using certain moving average rules in the most important emerging market of Latin America: Brazil. Using different MSCI indices, we find that the best performance is provided by the MSCI Brazil Small Cap Index, which tracks the small cap segment of the Brazilian stock market, as opposed to the MSCI Brazil Index which measures the performance of large and medium firms and has been the main reference for the Brazilian stock market in previous empirical evidence. Additionally, we report clear evidence of the existence of a size effect in the Brazilian stock market due to the superior performance of the index which tracks the smaller companies over those which track larger companies. These results restate the importance of in-depth knowledge of stock market patterns in order to develop correct trading strategies in each case.
Jose Luis Miralles-Quirós; María Del Mar Miralles-Quirós; Luis Miguel Valente Gonçalves. The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market. Emerging Markets Finance and Trade 2018, 55, 150 -167.
AMA StyleJose Luis Miralles-Quirós, María Del Mar Miralles-Quirós, Luis Miguel Valente Gonçalves. The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market. Emerging Markets Finance and Trade. 2018; 55 (1):150-167.
Chicago/Turabian StyleJose Luis Miralles-Quirós; María Del Mar Miralles-Quirós; Luis Miguel Valente Gonçalves. 2018. "The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market." Emerging Markets Finance and Trade 55, no. 1: 150-167.
The deregulation of the financial markets and their progressive globalization has favoured the internationalization of banking. Moreover, during the international financial crisis, the presence of foreign banks has increased in countries experiencing faster economic growth, such as Brazil. In this context, the aim of this study is to analyze the growth and profitability of the financial institutions in Brazil, taking into account the possible non-linearity of the relationship, the differences between Brazilian and foreign institutions and the effect of the crisis. Our results indicate that the entry of foreign institutions has a direct effect on the Brazilian banking industry.
María Del Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. Growth, profits and foreign ownership in the Brazilian banking industry. Applied Economics 2018, 50, 5483 -5494.
AMA StyleMaría Del Mar Miralles-Quiros, Jose Luis Miralles-Quirós, Julio Daza-Izquierdo. Growth, profits and foreign ownership in the Brazilian banking industry. Applied Economics. 2018; 50 (51):5483-5494.
Chicago/Turabian StyleMaría Del Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. 2018. "Growth, profits and foreign ownership in the Brazilian banking industry." Applied Economics 50, no. 51: 5483-5494.
Jose Luis Miralles-Quirós; Maria Miralles-Quiros; Luis Goncalves. PROFITABILITY OF TECHNICAL TRADING RULES IN THE BRAZILIAN STOCK MARKET. Revista Evidenciação Contábil & Finanças 2018, 6, 133 -150.
AMA StyleJose Luis Miralles-Quirós, Maria Miralles-Quiros, Luis Goncalves. PROFITABILITY OF TECHNICAL TRADING RULES IN THE BRAZILIAN STOCK MARKET. Revista Evidenciação Contábil & Finanças. 2018; 6 (2):133-150.
Chicago/Turabian StyleJose Luis Miralles-Quirós; Maria Miralles-Quiros; Luis Goncalves. 2018. "PROFITABILITY OF TECHNICAL TRADING RULES IN THE BRAZILIAN STOCK MARKET." Revista Evidenciação Contábil & Finanças 6, no. 2: 133-150.
There is extensive literature on the value relevance of social responsibility for companies that operate in developed countries. However, little is known about the influence of these practices on the price of assets listed on emerging economies, such as Brazil. In this context, the aim of this study is to analyse whether social responsibility activities carried out by companies listed on the São Paulo Stock Exchange during the 2010–2015 period play a significant role in enhancing firm value. Unlike previous studies, we distinguish between the three modern pillars of sustainability: environmental, social, and corporate governance (ESG). Our overall results support the value enhancing theory rather than the shareholder expense theory. However, it is important to note that the results also show that the market does not significantly value the three ESG pillars. Specifically, the market positively and significantly values the environmental practices carried out by companies not related to environmentally sensitive industries. In contrast, the market positively and significantly values the social and corporate governance practices carried out by the companies belonging to these sensitive industries. These findings are relevant for both investors and the managers of these companies, policy makers, customers, and citizens concerned about ESG issues.
María Mar Miralles-Quirós; José Luis Miralles-Quirós; Luis Miguel Valente Gonçalves. The Value Relevance of Environmental, Social, and Governance Performance: The Brazilian Case. Sustainability 2018, 10, 574 .
AMA StyleMaría Mar Miralles-Quirós, José Luis Miralles-Quirós, Luis Miguel Valente Gonçalves. The Value Relevance of Environmental, Social, and Governance Performance: The Brazilian Case. Sustainability. 2018; 10 (3):574.
Chicago/Turabian StyleMaría Mar Miralles-Quirós; José Luis Miralles-Quirós; Luis Miguel Valente Gonçalves. 2018. "The Value Relevance of Environmental, Social, and Governance Performance: The Brazilian Case." Sustainability 10, no. 3: 574.
In a globalized business environment characterized by the existence of mature sectors, it is essential to focus our attention on those firms with low entry barriers as well as high growth potential in order to design adequate regional development policies. In this context, we analyze firm growth in Brazilian technology-based companies over the 2002-2013 period testing the Law of Proportionate Effect which allows us to provide useful information for policy makers. This study confirms that firm growth is not a random process and, most importantly, we observe that there has been a positive and significant effect of more profitable firms on firm growth in years of global recession. Consequently, we highlight that public policies should be focused on small, profitable and less indebted firms of the technology-based sector because they would contribute to business dynamism and job creation.
Maria Del Mar Miralles-Quiros; Jose Luis Miralles-Quiros; Julio Daza-Izquierdo; Patricia Ordóñez De Pablos; António Carrizo Moreira; José Guilherme Leitão Dantas; Fernando Manuel Valente. The Role of High-Tech Entrepreneurship on Regional Development. Sustainable and Responsible Entrepreneurship and Key Drivers of Performance 2018, 259 -271.
AMA StyleMaria Del Mar Miralles-Quiros, Jose Luis Miralles-Quiros, Julio Daza-Izquierdo, Patricia Ordóñez De Pablos, António Carrizo Moreira, José Guilherme Leitão Dantas, Fernando Manuel Valente. The Role of High-Tech Entrepreneurship on Regional Development. Sustainable and Responsible Entrepreneurship and Key Drivers of Performance. 2018; ():259-271.
Chicago/Turabian StyleMaria Del Mar Miralles-Quiros; Jose Luis Miralles-Quiros; Julio Daza-Izquierdo; Patricia Ordóñez De Pablos; António Carrizo Moreira; José Guilherme Leitão Dantas; Fernando Manuel Valente. 2018. "The Role of High-Tech Entrepreneurship on Regional Development." Sustainable and Responsible Entrepreneurship and Key Drivers of Performance , no. : 259-271.
It is well known that the transition from education to employment is not an easy task. Unfortunately, a degree is not enough to find a qualified job. Universities have to respond to this demand taking into account the functions that are associated with their role in society, such as the development of successful internship programs, which adjust to the needs of the labor market. The complexity of this phenomenon justifies the increase of the research in this field. Despite the public discourse, previous empirical evidence is scant and unsystematic. In this context, the aim of this paper is to analyze the existing evidence published in highly qualified scientific journals in order to combine the existing knowledge and look for points in common and future lines of research. The results of this critical literature review are interesting for diverse stakeholders such as: (i) policy makers, who are keen to realize the knowledge economy vision by increasing the supply of graduates; (ii) employers, who are continuously revising the skills required by graduates; (iii) as well as graduates themselves, who require to be incorporated to the labor market fast and efficiency.
María Mar Miralles-Quirós; Lourdes Jerez-Barroso. The Interrelationship between Internship and Employability: A Critical Literature Review. Proceedings 2018, 2, 1328 .
AMA StyleMaría Mar Miralles-Quirós, Lourdes Jerez-Barroso. The Interrelationship between Internship and Employability: A Critical Literature Review. Proceedings. 2018; 2 (21):1328.
Chicago/Turabian StyleMaría Mar Miralles-Quirós; Lourdes Jerez-Barroso. 2018. "The Interrelationship between Internship and Employability: A Critical Literature Review." Proceedings 2, no. 21: 1328.
Maria De Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. Contraste de la ley de Gibrat en la banca comercial brasileña. Contaduría y Administración 2017, 62, 1643 -1656.
AMA StyleMaria De Mar Miralles-Quiros, Jose Luis Miralles-Quirós, Julio Daza-Izquierdo. Contraste de la ley de Gibrat en la banca comercial brasileña. Contaduría y Administración. 2017; 62 (5):1643-1656.
Chicago/Turabian StyleMaria De Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. 2017. "Contraste de la ley de Gibrat en la banca comercial brasileña." Contaduría y Administración 62, no. 5: 1643-1656.
María Del Mar Miralles-Quirós; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. Gibrat's law test on Brazilian commercial banks. Contaduría y Administración 2017, 62, 1657 -1669.
AMA StyleMaría Del Mar Miralles-Quirós, Jose Luis Miralles-Quirós, Julio Daza-Izquierdo. Gibrat's law test on Brazilian commercial banks. Contaduría y Administración. 2017; 62 (5):1657-1669.
Chicago/Turabian StyleMaría Del Mar Miralles-Quirós; Jose Luis Miralles-Quirós; Julio Daza-Izquierdo. 2017. "Gibrat's law test on Brazilian commercial banks." Contaduría y Administración 62, no. 5: 1657-1669.
PurposeThe aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing.Design/methodology/approachThe authors propose and compare two alternative implications of liquidity in asset pricing: as a desirable characteristic of stocks and as a source of systematic risk. In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one.FindingsThe overall results of the study show that individual illiquidity affects Portuguese stock returns. However, in contrast to previous evidence from other markets, they show that the most traded stocks (hence the most liquid stocks) exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the period from January 1988 to November 1997, during which the Portuguese stock market was still an emerging market.Research limitations/implicationsThese findings are relevant for investors when they make their investment decisions and for market regulators because they reflect the need of improving the competitiveness of the Portuguese stock market. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one.Practical implicationsThe results have important implications for individual and institutional investors who can take into account the peculiar effect of liquidity in stock returns to make proper investment decision.Originality/valueThe Portuguese market provides a natural experimental area to analyse the role of liquidity in asset pricing, because it is a tiny market and during the period studied it changed from an emerging to a developed stock market. Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.
María Del Mar Miralles-Quirós; Jose Luis Miralles-Quirós; Celia Oliveira. The role of liquidity in asset pricing: the special case of the Portuguese Stock Market. Journal of Economics, Finance and Administrative Science 2017, 22, 191 -206.
AMA StyleMaría Del Mar Miralles-Quirós, Jose Luis Miralles-Quirós, Celia Oliveira. The role of liquidity in asset pricing: the special case of the Portuguese Stock Market. Journal of Economics, Finance and Administrative Science. 2017; 22 (43):191-206.
Chicago/Turabian StyleMaría Del Mar Miralles-Quirós; Jose Luis Miralles-Quirós; Celia Oliveira. 2017. "The role of liquidity in asset pricing: the special case of the Portuguese Stock Market." Journal of Economics, Finance and Administrative Science 22, no. 43: 191-206.
Jose Luis Miralles-Quiros; Maria Del Mar Miralles-Quiros. The Copula ADCC-GARCH model can help PIIGS to fly. Journal of International Financial Markets, Institutions and Money 2017, 50, 1 -12.
AMA StyleJose Luis Miralles-Quiros, Maria Del Mar Miralles-Quiros. The Copula ADCC-GARCH model can help PIIGS to fly. Journal of International Financial Markets, Institutions and Money. 2017; 50 ():1-12.
Chicago/Turabian StyleJose Luis Miralles-Quiros; Maria Del Mar Miralles-Quiros. 2017. "The Copula ADCC-GARCH model can help PIIGS to fly." Journal of International Financial Markets, Institutions and Money 50, no. : 1-12.
The size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two-fold. First, we examine price and volatility linkages among large, medium, and small firms employing a multivariate VAR-BEKK model. Second, we provide the out-of-sample performance of optimal portfolios constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that optimal portfolios are primarily composed of medium and small firms. Moreover, our findings reveal that using this technique, it is possible to reduce risk and outperform the naïve rule, which is usually employed by foreign investors interested in the Brazilian stock market. These findings are relevant not only for academics but also for practitioners because it is important an in-depth knowledge of stock market patterns in order to develop correct trading strategies.
Maria Del Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Luis Miguel Gonçalves. REVISITING THE SIZE EFFECT IN THE BOVESPA. Revista de Administração de Empresas 2017, 57, 317 -329.
AMA StyleMaria Del Mar Miralles-Quiros, Jose Luis Miralles-Quirós, Luis Miguel Gonçalves. REVISITING THE SIZE EFFECT IN THE BOVESPA. Revista de Administração de Empresas. 2017; 57 (4):317-329.
Chicago/Turabian StyleMaria Del Mar Miralles-Quiros; Jose Luis Miralles-Quirós; Luis Miguel Gonçalves. 2017. "REVISITING THE SIZE EFFECT IN THE BOVESPA." Revista de Administração de Empresas 57, no. 4: 317-329.