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Publications

by members of

Universidade de Lisboa → Instituto Superior de Economia e Gestão (ISEG) → Centro de Investigação em Economia Financeira (CIEF)

University of Lisbon → School of Economics and Management → Research Centre in Financial Economics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2021

  1. Jorge Miguel Bravo & Mercedes Ayuso & Robert Holzmann & Edward Palmer, 2021, "Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age," CESifo Working Paper Series, CESifo, number 9408.
  2. Mercedes Ayuso & Jorge Bravo, 2021, "El necesario enfoque actuarial de los sistemas de pensiones: la relevancia de la esperanza de vida, también en España," Working Papers, FEDEA, number 2021-01, Jan.

2020

  1. Maria Rosa Borges & Raquel Machado, 2020, "Modelling credit risk: evidence for EMV methodology on Portuguese mortgage data," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2020/03, Nov.

2019

  1. Najat El Mekkaoui-de Freitas & Jorge Miguel Bravo, 2019, "On the Welfare of Pension Decumulation Strategies," Post-Print, HAL, number hal-04233727, Sep.
  2. Holzmann, Robert & Ayuso, Mercedes & Alaminos, Estefanía & Bravo, Jorge Miguel, 2019, "Life Cycle Saving and Dissaving Revisited across Three-Tiered Income Groups: Starting Hypotheses, Refinement through Literature Review, and Ideas for Empirical Testing," IZA Discussion Papers, IZA Network @ LISER, number 12655, Sep.
  3. Bravo, Jorge Miguel & Ayuso, Mercedes & Holzmann, Robert, 2019, "Making Use of Home Equity: The Potential of Housing Wealth to Enhance Retirement Security," IZA Discussion Papers, IZA Network @ LISER, number 12656, Sep.

2018

  1. Mercedes Ayuso & Jorge Miguel Bravo & Robert Holzman, 2018, "Getting Life Expectancy Estimates Right for Pension Policy: Period versus Cohort Approach," CESifo Working Paper Series, CESifo, number 7349.
  2. Jorge Miguel Bravo & Najat El Mekkaoui de Freitas, 2018, "Valuation of longevity-linked life annuities," Post-Print, HAL, number hal-04233592, DOI: 10.1016/j.insmatheco.2017.09.009.

2016

  1. Mariya Gubareva & Maria Rosa Borges, 2016, "Interest Rate (In)sensitivity of Emerging Market Corporate Debt: Economic Analysis based on 2002-2015 Empirical Evidence," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/21, Oct.
  2. Mariya Gubareva & Maria Rosa Borges, 2016, "Governed by the Cycle: Direct and Inverted Interest-Rate Sensitivity of Emerging Market Corporate Debt," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/22, Oct.
  3. Jorge Miguel Bravo, 2016, "Taxation of Pensions in Portugal: Is there a Rationale for a Semi-Dual Income Tax System?," CESifo Working Paper Series, CESifo, number 5981.
  4. Ayuso, Mercedes & Bravo, Jorge Miguel & Holzmann, Robert, 2016, "On the Heterogeneity in Longevity among Socioeconomic Groups: Scope, Trends, and Implications for Earnings-Related Pension Schemes," IZA Discussion Papers, IZA Network @ LISER, number 10060, Jul.
  5. Ayuso, Mercedes & Bravo, Jorge Miguel & Holzmann, Robert, 2016, "Addressing Longevity Heterogeneity in Pension Scheme Design and Reform," IZA Discussion Papers, IZA Network @ LISER, number 10378, Nov.

2013

  1. Mariya Gubareva & Maria Rosa Borges, 2013, "Typological Classification, Diagnostics, and Measurement of Flights-to-Quality," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2013/15, Jul.
  2. Lara Mónica Machado Fernandes & Maria Rosa Borges, 2013, "Interbank Linkages and Contagion Risk in the Portuguese Banking System," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2013/23, Dec.

2012

  1. Jorge Miguel Ventura Bravo, 2012, "Prospective Lifetables: Life Insurance Pricing and Hedging in a Stochastic Mortality Environment," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2012_01.

2011

  1. Jorge Miguel Ventura Bravo, 2011, "Modelling Mortality Using Multiple Stochastic Latent Factors," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2011_26.
  2. Jorge Miguel Ventura Bravo, 2011, "Pricing Longevity Bonds Using Affine-Jump Diffusion Models," CEFAGE-UE Working Papers, University of Evora, CEFAGE-UE (Portugal), number 2011_29.

2010

  1. Maria Rosa Borges & Ana Sofia Branca, 2010, "The Impact of Corporate Rebranding on the Firm's Market Value," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2010/13, Jul.

2009

  1. Rosa Borges, 2009, "Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2009/37, Sep.

2008

  1. Maria Rosa Borges, 2008, "Is the Dividend Puzzle Solved?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2008/38, Jul.
  2. Maria Rosa Borges, 2008, "Efficient Market Hypothesis in European Stock Markets," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2008/20, Apr.

2007

  1. Maria Rosa Borges, 2007, "An Arbitrage Model for the Stock Price Adjustment in the Dividend Period," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2007/09.
  2. Maria Rosa Borges, 2007, "Random Walk Tests for the Lisbon Stock Market," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2007/14.

2005

  1. Jorge Miguel Ventura Bravo & Carlos Manuel Pereira da Silva, 2005, "Immunization Using a Parametric Model of the Term Structure," Economics Working Papers, University of Évora, Department of Economics (Portugal), number 19_2005.

Journal articles

2024

  1. Jéssica Nunes Martins & Jorge Miguel Bravo & José Moleiro Martins, 2024, "Mapping the Scientific Landscape of Knowledge Management in IT SMEs: A Bibliometric Analysis," International Journal of Innovation and Technology Management (IJITM), World Scientific Publishing Co. Pte. Ltd., volume 21, issue 07, pages 1-30, November, DOI: 10.1142/S0219877024300064.

2023

  1. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2023, "Intergenerational actuarial fairness when longevity increases: Amending the retirement age," Insurance: Mathematics and Economics, Elsevier, volume 113, issue C, pages 161-184, DOI: 10.1016/j.insmatheco.2023.08.007.
  2. Carina Clemente & Gracinda R. Guerreiro & Jorge M. Bravo, 2023, "Modelling Motor Insurance Claim Frequency and Severity Using Gradient Boosting," Risks, MDPI, volume 11, issue 9, pages 1-20, September.

2022

  1. Bravo, Jorge M. & Herce, Jose A., 2022, "Career breaks, broken pensions? Long-run effects of early and late-career unemployment spells on pension entitlements," Journal of Pension Economics and Finance, Cambridge University Press, volume 21, issue 2, pages 191-217, April.
  2. Culotta, Fabrizio & Alaimo, Leonardo Salvatore & Bravo, Jorge Miguel & di Bella, Enrico & Gandullia, Luca, 2022, "Total-employed longevity gap, pension fairness and public finance: Evidence from one of the oldest regions in EU," Socio-Economic Planning Sciences, Elsevier, volume 82, issue PA, DOI: 10.1016/j.seps.2021.101221.

2021

  1. Carla Fernandes & Maria Rosa Borges & Jorge Caiado, 2021, "The contribution of digital financial services to financial inclusion in Mozambique: an ARDL model approach," Applied Economics, Taylor & Francis Journals, volume 53, issue 3, pages 400-409, January, DOI: 10.1080/00036846.2020.1808177.
  2. Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021, "Getting life expectancy estimates right for pension policy: period versus cohort approach," Journal of Pension Economics and Finance, Cambridge University Press, volume 20, issue 2, pages 212-231, April.
  3. Bravo, Jorge M. & Nunes, João Pedro Vidal, 2021, "Pricing longevity derivatives via Fourier transforms," Insurance: Mathematics and Economics, Elsevier, volume 96, issue C, pages 81-97, DOI: 10.1016/j.insmatheco.2020.10.008.
  4. Bravo, Jorge M. & Ayuso, Mercedes & Holzmann, Robert & Palmer, Edward, 2021, "Addressing the life expectancy gap in pension policy," Insurance: Mathematics and Economics, Elsevier, volume 99, issue C, pages 200-221, DOI: 10.1016/j.insmatheco.2021.03.025.
  5. Jorge M. Bravo & Mercedes Ayuso, 2021, "Linking Pensions to Life Expectancy: Tackling Conceptual Uncertainty through Bayesian Model Averaging," Mathematics, MDPI, volume 9, issue 24, pages 1-27, December.
  6. Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021, "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, volume 9, issue 4, pages 1-28, March.
  7. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021, "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, volume 9, issue 5, pages 1-28, May.

2020

  1. Maria Rosa Borges & Lauriano Ulica & Mariya Gubareva, 2020, "Systemic risk in the Angolan interbank payment system – a network approach," Applied Economics, Taylor & Francis Journals, volume 52, issue 45, pages 4900-4912, September, DOI: 10.1080/00036846.2020.1751052.
  2. Maria Rosa Borges & Ana Sofia Tavares, 2020, "Determinants of Bank Performance in the Context of Crisis: A Panel Data Analysis for Portugal," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 674-686.
  3. Gubareva, Mariya & Borges, Maria Rosa, 2020, "Switching interest rate sensitivity regimes of U.S. Corporates," The North American Journal of Economics and Finance, Elsevier, volume 54, issue C, DOI: 10.1016/j.najef.2018.11.017.
  4. Richard Chamboko & Jorge Miguel Bravo, 2020, "A Multi-State Approach to Modelling Intermediate Events and Multiple Mortgage Loan Outcomes," Risks, MDPI, volume 8, issue 2, pages 1-29, June.

2019

  1. Maria Rosa Borges & José Zorro Mendes & André Pereira, 2019, "The Value of Information: The Impact of European Union Bank Stress Tests on Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 25, issue 4, pages 429-444, November, DOI: 10.1007/s11294-019-09760-5.
  2. Jorge Miguel Bravo, 2019, "Funding for longer lives. Retirement wallet and risk-sharing annuities," EKONOMIAZ. Revista vasca de Economía, Gobierno Vasco / Eusko Jaurlaritza / Basque Government, volume 96, issue 02, pages 268-291.

2018

  1. Mariya Gubareva & Maria Rosa Borges, 2018, "Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk," Annals of Operations Research, Springer, volume 266, issue 1, pages 71-100, July, DOI: 10.1007/s10479-017-2438-y.
  2. Mariya Gubareva & Maria Rosa Borges, 2018, "Binary interest rate sensitivities of emerging market corporate bonds," The European Journal of Finance, Taylor & Francis Journals, volume 24, issue 17, pages 1569-1586, November, DOI: 10.1080/1351847X.2017.1400452.
  3. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018, "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, volume 78, issue C, pages 212-229, DOI: 10.1016/j.insmatheco.2017.09.009.

2017

  1. Mariya Gubareva & Maria Rosa Borges, 2017, "Interest rate, liquidity, and sovereign risk: derivative-based VaR," Journal of Risk Finance, Emerald Group Publishing Limited, volume 18, issue 4, pages 443-465, August, DOI: 10.1108/JRF-01-2017-0018.

2016

  1. Mariya Gubareva & Maria Rosa Borges, 2016, "Typology for flight-to-quality episodes and downside risk measurement," Applied Economics, Taylor & Francis Journals, volume 48, issue 10, pages 835-853, February, DOI: 10.1080/00036846.2015.1088143.
  2. Jorge Miguel Bravo, 2016, "Taxation of Pensions in Portugal: A Semi-Dual Income Tax System," ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, volume 14, issue 01, pages 14-23, May.
  3. Richard Chamboko & Jorge M. Bravo, 2016, "On the modelling of prognosis from delinquency to normal performance on retail consumer loans," Risk Management, Palgrave Macmillan, volume 18, issue 4, pages 264-287, December, DOI: 10.1057/s41283-016-0006-4.

2015

  1. Chen, Zhongfei & Barros, Carlos Pestana & Borges, Maria Rosa, 2015, "A Bayesian stochastic frontier analysis of Chinese fossil-fuel electricity generation companies," Energy Economics, Elsevier, volume 48, issue C, pages 136-144, DOI: 10.1016/j.eneco.2014.12.020.

2013

  1. Maria Rosa Borges & Ricardo Gairifo, 2013, "Abnormal returns before acquisition announcements: evidence from Europe," Applied Economics, Taylor & Francis Journals, volume 45, issue 26, pages 3723-3732, September, DOI: 10.1080/00036846.2012.730134.

2011

  1. Maria Rosa Borges, 2011, "Random walk tests for the Lisbon stock market," Applied Economics, Taylor & Francis Journals, volume 43, issue 5, pages 631-639, DOI: 10.1080/00036840802584935.
  2. Carlos Pestana Barros & Maria Rosa Borges, 2011, "Measuring performance in the Portuguese banking industry with a Fourier regression model," Applied Economics Letters, Taylor & Francis Journals, volume 18, issue 1, pages 21-28, DOI: 10.1080/13504850903409755.
  3. Zambujal-Oliveira, João & Duque, João, 2011, "Operational asset replacement strategy: A real options approach," European Journal of Operational Research, Elsevier, volume 210, issue 2, pages 318-325, April.

2010

  1. Maria Rosa Borges, 2010, "Efficient market hypothesis in European stock markets," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 7, pages 711-726, DOI: 10.1080/1351847X.2010.495477.
  2. Cristiana Cerqueira Leal, Manuel J. Rocha Armada, João L. C. Duque, 2010, "Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market," Frontiers in Finance and Economics, SKEMA Business School, volume 7, issue 2, pages 38-68, October.

2009

  1. Maria Rosa Borges, 2009, "A model of stock price adjustment after dividends," Journal of Economic Studies, Emerald Group Publishing Limited, volume 36, issue 5, pages 508-521, September, DOI: 10.1108/01443580910992410.

2008

  1. Maria Borges, 2008, "The Ex-Dividend Day Stock Price Behavior: The Case of Portugal," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 36, issue 1, pages 15-30, March, DOI: 10.1007/s11293-007-9104-8.
  2. Maria Rosa Borges & Milton Nektarios & Carlos Pestana Barros, 2008, "Analysing The Efficiency Of The Greek Life Insurance Industry," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 35-52.
  3. João Duque & Inês Pinto, 2008, "Regulatory disclosure via the internet: does it make financial markets more efficient?," Journal of Regulatory Economics, Springer, volume 33, issue 1, pages 5-19, February, DOI: 10.1007/s11149-007-9043-y.
  4. José Eduardo Correia & João Duque, 2008, "Dilution and Dividend Effects on the Portuguese Equity Warrants Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 2, pages 161-192.

2007

  1. Maria Borges, 2007, "Underpricing of Initial Public Offerings: The Case of Portugal," International Advances in Economic Research, Springer;International Atlantic Economic Society, volume 13, issue 1, pages 65-80, February, DOI: 10.1007/s11294-006-9064-9.

2006

  1. Ventura Bravo, Jorge Miguel & Pereira da Silva, Carlos Manuel, 2006, "Immunization using a stochastic-process independent multi-factor model: The Portuguese experience," Journal of Banking & Finance, Elsevier, volume 30, issue 1, pages 133-156, January.

2005

  1. Carlos Pestana Barros & Nazaré Barroso & Maria Rosa Borges, 2005, "Evaluating the Efficiency and Productivity of Insurance Companies with a Malmquist Index: A Case Study for Portugal," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 30, issue 2, pages 244-267, April.

2003

  1. Maria Rosa Borges, 2003, "Fiscal effect in dividend distributions," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 1, pages 73-85.
  2. João Duque & Ana Rita Fazenda, 2003, "Evaluating market supervision through an overview of trading halts in the Portuguese stock market," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 11, issue 4, pages 349-376, December, DOI: 10.1108/13581980310810624.
  3. João Duque & Lígia Febra, 2003, "Motivos para o lançamento de ofertas públicas iniciais em Portugal," Notas Económicas, Faculty of Economics, University of Coimbra, issue 17, pages 52-69, June.
  4. João L. C. Duque & Patrícia Teixeira Lopes, 2003, "Maturity and volatility effects on UK smiles," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 2, issue 3, pages 173-193, December, DOI: 10.1007/s10258-003-0024-5.

1999

  1. Vitor F. C. Gonçalves & António Palma-dos-Reis & João Duque, 1999, "Portuguese Financial Corporations' Information Technology Adoption Patterns," Interfaces, INFORMS, volume 29, issue 4, pages 44-57, August, DOI: 10.1287/inte.29.4.44.

1996

  1. Paulo Alves & João Duque, 1996, "Sobrejustamento no Mercado de capitais português," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 2, pages 101-121.

1993

  1. João Duque & Dean Paxson, 1993, "Dynamic hedging of equity call options," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, volume 0, issue 2, pages 83-94.

Chapters

2011

  1. Jorge Bravo & Mauricio Holz, 2011, "The significance of inter-age economic transgers in Chile," Chapters, Edward Elgar Publishing, chapter 12, in: Ronald Lee & Andrew Mason, "Population Aging and the Generational Economy".

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