The Latin American and Spanish Stock markets

In this article I analyze the Spanish stock market in an international setting. Using a simple Markov regime switching model I get a time varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns. The evidence can be summarized as follows. First, I find that this effect is positive and no so large. However, it has increased since the mid-nineties. Second, evidence for the returns on size portfolios shows that most of the effect accrues indirectly through common risk factors. The portfolio composes of stocks with small capitalization is the most affected. Nevertheless, the relative effect of the Latin America to the effect of the world only increases for the portfolio composes of stocks with big capitalization since the mid-nineties. Third, evidence for the returns on sector portfolios shows that the most active sectors investing in Latin America are the most affected. Fourth, I conclude that there is no a positive relatio nship between â-risk and flows of foreign direct investment.Markov switching model, maximum likelihood estimation, stock returns.

Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes

Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.Markov Switching Model, Macroeconomic announcements, Stock Returns.

International Monopoly under Uncertainty

A domestic monopolistic firm has the option to service a foreign market through export or by setting up a plant in the host country under exchange rate uncertainty. We analyze the effect of the parameters of the demand and cost functions on hysteresis. We also show results on the effect of taxation and labor cost in attracting or avoiding relocation. We find that when the firm is multinational it pays more taxes. Much more importantly, a tax rate reduction is effective in attracting investment and avoiding relocation. When the firm is multinational it also incurs lower labor costs. However, labor cost is not determinant in the location of production.Exchange rate uncertainty, real option, taxation, labor cost.

The January Effect across Volatility Regimes

Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We obtain a time-varying January effect that is, in general, positive and significant in both volatility regimes. However, this effect is larger in the high volatility regime. In sharp contrast with most previous literature we find two major results: i) the January effect exists for all size portfolios. ii) the negative correlation between the magnitude of the January effect and the size of portfolios fails across volatility regimes. Moreover, our evidence supports a decline in the January effect for all size portfolios except the smallest, for which it is even larger.Markov Switching Model, Stock Returns, Seasonality, Size Portfolios.

Subsidies and Awards in Movie Production

This article analyzes the effect of subsidies and awards on the Spanish motion picture industry. We estimate a Cobb-Douglas production function using regional data, showing that it exhibits constant returns to scale and that awards positively affect movie production, while subsidies have no effect. In fact, awards affect the productivity of the sector since they allow for an increase in the output, which is not explained by an increase in inputs.Movie production, awards, panel data

And the Oscar goes to ..... Peeeeedrooooo!

Movie production, SUR model, Oscar Awards.

Testing for Political Effects on Total Factor Productivity

We test the effects of different combinations of parties simultaneously holding office in the central and regional governments on regional economic growth. We hypothesize that if such effects indeed exist, they should accrue through total factor productivity (T F P ). Using panel data for the Spanish regions over the 1988-2004 period, we find no effects of any combinations of parties on T F P growth rate. Our results are robust to different methods of estimation and different measures of T F P and could have a twofold interpretation. On the one hand, they could shed light on the consolidation of the governmental institutions of the Spanish federal state model. On the other hand, they could suggest, as shown by previous literature, that political effects on real economy could mainly accrue through aggregate demand policies.Growth Accounting, Panel Data, Pork Barrel Politics, Partisan Theory.

International monopoly under uncertainty

A domestic monopolistic firm has the option to service a foreign market through export or by setting up a plant in the host country under exchange rate uncertainty. We analyze the effect of the parameters of the demand and cost functions on hysteresis. We also show results on the effect of taxation and labor cost in attracting or avoiding relocation. We find that when the firm is multinational it pays more taxes. Much more importantly, a tax rate reduction is effective in attracting investment and avoiding relocation. When the firm is multinational it also incurs lower labor costs. However, labor cost is not determinant in the location of production

Effects of macroeconomic announcements on stock returns across volatility regimes

Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.Financial support from the Spanish Ministry of Education and Science, through Project SEJ2007-62081/ECON

The Latin American and Spanish Stock markets

In this article I analyze the Spanish stock market in an international setting. Using a simple Markov regime switching model I get a time varying measure of the effect of the return on a Latin American portfolio on the Spanish stock returns. The evidence can be summarized as follows. First, I find that this effect is positive and no so large. However, it has increased since the mid-nineties. Second, evidence for the returns on size portfolios shows that most of the effect accrues indirectly through common risk factors. The portfolio composes of stocks with small capitalization is the most affected. Nevertheless, the relative effect of the Latin America to the effect of the world only increases for the portfolio composes of stocks with big capitalization since the mid-nineties. Third, evidence for the returns on sector portfolios shows that the most active sectors investing in Latin America are the most affected. Fourth, I conclude that there is no a positive relatio nship between â-risk and flows of foreign direct investment