Efecto-riqueza durante las Colocaciones Públicas Iniciales Privatizadoras en Chile (1984-1989)

Se estudia el desempeño posterior a la colocación de once Ofertas Públicas Iniciales (OPIs) en Chile, durante 1984-1989 y se proporciona una descripción detallada de las condiciones económicas y políticas prevalecientes. En particular, se presentan los detalles operativos del mecanismo de emisión de acciones, complementado con un estudio estadístico de los Rendimientos Ajustados por el Mercado de las OPIs. Aunque el tamaño de la muestra es limitado y no permite alcanzar una validez externa, el análisis confirma la presencia de patrones de desempeño muy similares a los observados en OPIs tanto privadas como privatizadoras, de acuerdo con otros estudios relacionados (Aggarwal, Leal y Hernández, 1993; Dewenter y Malatesta, 1997; Loughran, Ritter y Rydqvist, 1994; Perotti y Guney, 1993).

Banking Concentration in the European Union during the Last Fifteen Years

The increase in the concentration of the banking industry across European Union countries during the last fifteen years can be explained in terms of: a) global factors, like the comprehensive adoption of technological innovations, the intensification of competition that has resulted from the deregulation of the financial sector and, more recently, as a consequence of the government interventions and forced acquisitions prompted by the 2007-2009 financial crisis; and, b) factors that have been specific to the E.U., in particular, the structural changes that took place in the region as a result of the creation of the Single Financial Market (1993) and the introduction of the euro (1999). This work analyzes the concentration process of the banking industry in the E.U. during the last fifteen years giving preeminence to the strategic choices made by the region’s commercial banks. It also reports the most visible E.U. banks’ M&As and government interventions that resulted from the 2007-2009 financial crisis, make a preliminary evaluation of the outcomes, and suggests possible future trends for the banking industry in the region.Concentration in banking, European Union, M&As in banking

Generalities on Private Equity and Venture Capital Funds: a current review of the industry and its environment in Mexico

Private Equity and Venture Capital Funds have shown an exceptional resilience in Mexico and there are good reasons to think they will experience a strong growth in the coming years, although they still represent a very small portion of the gross domestic investment in comparison with other countries of similar economic development. Nevertheless, it is necessary to implement many important legal and other institutional reforms that have proved to contribute to the successful evolution of this industry before it may be considered a new economic development engine for the country.Capital Privado, Capital Emprendedor, Fondos

Las Administradoras de Fondos de Pensiones y el desarrollo del mercado de capitales en Chile

The profound structural transformations that took place in the Chilean economy at the beginning of the 1980s established the platform for a robust and relatively constant economic development. One of the most noticeable innovations of the new Chilean economic model was the introduction of a private pensions funds system, known as the “Administradoras de Fondos de Pensiones” (AFP). Imitated in several Latin American countries (Peru, Colombia, Mexico, etc.) the private pension funds contributed significantly to solve the problem of fiscal liabilities of governments with retirees. In parallel to the socioeconomic benefits and the generation of domestic savings in abundant quantities, thanks to which it was possible to finance ambitious infrastructure, building and mining projects. Another dimension of the institutional effects of the start of operations of the AFP was their contribution to the consolidation and growth of the capital markets of that country. In addition, we analyze the behavior of some characteristic variables of the pension funds and their relation with measurements of the capitalization of the Chilean capital markets. The evidence suggests that the role of the AFP in the maturation and consolidation of the Chilean capital market was substantial.Chile, capital markets, pensions funds

Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico

Efecto del precio del petróleo en las rentabilidades de las acciones sectoriales: Un enfoque condicional de covarianza y correlación para MéxicoEste trabajo analiza la relación entre la volatilidad del precio del petróleo y rendimientos bursátiles sectoriales seleccionados en México (Industrial, materiales, financiero y de consumo discrecional) a través de la implementación de un modelo GARCH bivariado tipo VECH Diagonal para estimar sus covarianzas y correlaciones condicionales. El hallazgo más importante es que existe una relación estadística significativa entre los índices sectoriales y las variaciones en el precio del petróleo. Las correlaciones condicionales sugieren que durante la mayor parte del periodo del análisis la relación entre el precio del petróleo y los rendimientos sectoriales es positiva. La recomendación apoyada por los resultados descritos es que los inversionistas deben tomar en cuenta la interacción mencionada para generar coberturas de riesgo más robustas. Dentro de las limitantes de la investigación, se encuentra la escasez de información a nivel sector en el mercado bursátil del país. La aportación original de este estudio radica en el análisis con enfoque sectorial. Los resultados apoyan a la corriente que sugiere que las fluctuaciones en el precio del petróleo tienen un efecto directo en el mercado bursátil.This paper analyzes the relationship between the volatility of oil price and selected sectoral stock returns in Mexico (industrials, materials, financials and consumer discretionary) by implementing a Diagonal VECH-type bivariate GARCH model in order to estimate conditional covariances and correlations. The econometric results suggest that there exists a statistically significant relationship between sector indices, as well as between Mexico’s aggregate stock exchange returns, and variations in oil prices. Conditional correlations suggest that during most of the analyzed period, the relationship between oil price fluctuations and sectoral stock returns is positive. The recommendation, supported by these results, is that investors should take into consideration the interaction between the analyzed variables in order to generate more robust risk-hedge strategies. An important limitation for this work is information availability at sector level in the country. The original contribution of this paper lies mainly in the analysis of the influence of oil prices over sectoral indices of the Mexican Stock Exchange. These results provide more support to the current that suggests that a price increase in oil has a direct spillover effect on stock market performance

Generalidades sobre los Fondos de Capital Privado y de Capital Emprendedor: una visión actualizada de la industria y de su entorno en México

Private Equity and Venture Capital Funds have shown an exceptional resilience in Mexico and there are good reasons to think they will experience a strong growth in the coming years, although they still represent a very small portion of the gross domestic investment in comparison with other countries of similar economic development. Nevertheless, it is necessary to implement many important legal and other institutional reforms that have proved to contribute to the successful evolution of this industry before it may be considered a new economic development engine for the country

Polls, Prediction Markets, and Financial Variables

Este artículo investiga cómo los resultados de las encuestas electorales y el registro de las apuestas electrónicas sobre la elección presidencial en Estados Unidos del 2016 explican el desempeño de los mercados de capitales y los tipos de cambio de Canadá y México, los otros dos países socios del TLCAN. Aunque las economías canadienses y mexicanas no son muy diferentes en tamaño (comparadas con la americana), las variables financieras canadienses no reaccionaron a las noticias del proceso electoral, mientras que las mexicanas sí se vieron significativamente afectadas. Los datos de las encuestas de opinión y precios de los mercados de predicciones se obtuvieron de noviembre de 2014 a noviembre de 2016, de FiveThirtyEight y de Iowa Electronic Markets, respectivamente. Los modelos VAR y VECM probaron que la información de los mercados de predicciones es incorporada más rápido que la información de las encuestas, y que la Bolsa Mexicana y el tipo de cambio Peso/Dólar fueron altamente sensibles a las noticias de la campaña; pero los mercados canadienses no fueron significativamente afectados. Estos resultados son teóricamente relevantes desde la perspectiva de la Hipótesis de los Mercados Eficientes; útiles para el pronóstico del comportamiento de los mercados durante periodos de elecciones en Estados Unidos; y de importancia para los administradores de portafolios, entidades reguladoras y otros tomadores de decisiones.This article investigates how the results of the electoral polls and the registration of electronic bets on the outcome of the 2016 Presidential election of the United States explain the stock market performance and the currency exchange rates for Canada and Mexico, the other two member countries of NAFTA. Although the Canadian and Mexican economies are not so different in size—both compared to the U.S.—, the financial variables of the first were not reactive to the news of the electoral process, whereas those of the latter were significantly affected. Opinion survey data and prediction market prices were obtained for November 2014 to November 2016 from FiveThirtyEight and Iowa Electronic Markets, respectively. The VAR and VECM models proved that the information of the prediction markets is incorporated faster than the information of the surveys, and that the Mexican stock exchange and the MXN-USD exchange rate were highly sensitive to campaign news. On the other hand, Canadian markets were not significantly affected. These findings are theoretically relevant from the perspective of the Efficient Market Hypothesis, which are useful to forecast market behavior during electoral periods in the United States; and is of importance for portfolio managers, regulators, and other decision makers

Efecto-riqueza durante las colocaciones públicas iniciales privatizadoras en Chile (1984-1989)

Se estudia el desempeño posterior a la colocación de once Ofertas Públicas Iniciales (OPIs) en Chile, durante 1984-1989 y se proporciona una descripción detallada de las condiciones económicas y políticas prevalecientes. En particular, se presentan los detalles operativos del mecanismo de emisión de acciones, complementado con un estudio estadístico de los Rendimientos Ajustados por el Mercado de las OPIs. Aunque el tamaño de la muestra es limitado y no permite alcanzar una validez externa, el análisis confirma la presencia de patrones de desempeño muy similares a los observados en OPIs tanto privadas como privatizadoras, de acuerdo con otros estudios relacionados (Aggarwal, Leal y Hernández, 1993; Dewenter y Malatesta, 1997; Loughran, Ritter y Rydqvist, 1994; Perotti y Guney, 1993)

"Is the Mexican Stock Market Becoming More Efficient? "

En este trabajo se estudia la evoluci´on reciente de la eficiencia del mercado en la Bolsa Mexicana de Valores probando la hip´otesis de que los precios de las acciones tienden a ser “m´as eficientes” a trav´es del tiempo. Para ello se observa la evoluci´on de los coeficientes de las regresiones entre los rendimientos individuales de las acciones y un “proxy” del portafolio del mercado. La muestra fue seleccionada bajo el criterio de mayor bursatilidad. Con base en el trabajo de Morck, Yeung y Yu (2000) se utiliz´o un ”portafoliomuestra del mercado” (MPSP) que incluy´o a 27 grandes emisoras (con respecto de una medida relativa de la capitalizaci´on), de gran bursatilidad, listadas en la Bolsa Mexicana de Valores. La base de datos incluy´o precios diarios de cierre entre enero de 1999 y mayo de 2010. Los resultados de las pruebas indican que hay una tendencia a la baja en la magnitud del promedio de R2 durante la primera mitad de la d´ecada, pero hay una inflexi´on en la tendencia en los ´ultimos tres a˜nos del periodo bajo estudio, lo cual puede ser explicado por la extraordinaria turbulencia que prevaleci´o durante la crisis financiera 2007-2009.This paper studies the recent evolution of market efficiency in the Mexican Stock Exchange by testing the hypothesis that stock prices have become ”more efficient” through time. This is done by observing the evolution of the coefficients of the regressions between individual stocks returns and a market proxy sample portfolio. The sample of shares was selected under the criterion of a greater frequency of trading. Following Morck, Yeung and Yu’ (2000) work, we built a Market Proxy Sample Portfolio (MPSP) that includes 27 larger firms issuing shares (with respect to a relative capitalization measure), frequently traded shares, listed in the Mexican Stock Exchange. The database included daily closing prices from January 1999 to May 2010. The results of the tests indicate there is a downward trend in the magnitude of the average R2 during the first half of the decade, but there is an inflection in the trend in the last three years of the period of study, which may be explained by the extraordinary turbulence that prevailed during the 2007-2009 financial crisis.

EFEITOS DE RIQUEZA DURANTE AS COLOCAÇÕES PÚBLICAS INICIAIS DE PRIVATIZAÇÃO NO CHILE (1984-1989) (publicado em inglês)

Se estudia el desempeño posterior a la colocación de once Ofertas Públicas Iniciales (OPIs) en Chile, durante 1984-1989 y se proporciona una descripción detallada de las condiciones económicas y políticas prevalecientes. En particular, se presentan los detalles operativos del mecanismo de emisión de acciones, complementado con un estudio estadístico de los Rendimientos Ajustados por el Mercado de las OPIs. Aunque el tamaño de la muestra es limitado y no permite alcanzar una validez externa, el análisis confirma la presencia de patrones de desempeño muy similares a los observados en OPIs tanto privadas como privatizadoras, de acuerdo con otros estudios relacionados (Aggarwal, Leal y Hernández, 1993; Dewenter y Malatesta, 1997; Loughran, Ritter y Rydqvist, 1994; Perotti y Guney, 1993).We study the aftermarket performance of eleven privatization Initial Public Offers (IPOs) in Chile during 1984-1989, and provide a detailed description of the economic and political conditions that prevailed. In particular, we discuss the operational details of the stock issuing mechanism, complemented with a statistical study on the IPOs’ Market Adjusted Returns. While the sample size is limited and does not support a significant external validity, the analysis confirms the presence of aftermarket performance patterns that are very similar to those observed in private and privatization IPOs reported elsewhere (Aggarwal, Leal and Hernández, 1993; Dewenter and Malatesta, 1997; Loughran, Ritter and Rydqvist, 1994; Perotti and Guney, 1993).Estudamos o desempenho posterior a colocação de Ofertas Públicas Iniciais (OPIs) no Chile durante 1984-1989 e fornecemos uma descrição detalhada das condições econômicas e políticas prevalecentes. Em particular, apresentamos os detalhes operacionais do mecanismo de emissão de ações, complementado por um estudo estatístico dos Rendimentos Ajustados pelo Mercado das OPIs. Embora o tamanho da demonstração seja limitado e não permita alcançar uma validade externa, a análise confirma a presença de padrões de desempenho muito semelhantes aos observados em OPIs tanto privadas como privatizadas, de acordo com outros estudos relacionados (Aggarwal, Leal e Hernández, 1993, Dewenter e Malatesta, 1997, Loughran, Ritter e Rydqvist, 1994, Perotti e Guney, 1993)