Intraday linkages between the Spanish and the US stock markets: evidence of an overreaction effect

This paper focuses on short-term information transmission between the US stock market, properly the DOW index, and the main Spanish stock index, IBEX-35, in its early and final hours. We follow the approaches of Lin, Engle and Ito (1994), Susmel and Engle (1994) and Baur and Jung (2005) who use a GARCH model to analyze the influence of the previous daytime and overnight returns and volatility of the DOW upon the overnight returns and daytime returns of the IBEX from Open-to-3:30 and from 3:30-to-Close. The results suggest that the Spanish stock market usually has a low price movement till Wall Street opens. Additionally, they indicate that the Spanish market reacts quickly to the news, basically in the first four minutes following the opening of the US market. Furthermore, we find the existence of an overreaction effect during the two hours before the closing of the Spanish market

Transmisión de información y carteras óptimas en el mercado bursátil español

ResumenEn este trabajo se analiza la transmisión de información y la formación de carteras de mínimo riesgo óptimas entre las empresas de mayor, mediano y pequeño tamaño del mercado de valores español representadas, respectivamente, por los índices bursátiles IBEX 35, IBEX MEDIUM CAP e IBEX SMALL CAP. La comparación de dos modelos de volatilidad, uno multivariante simétrico y otro asimétrico con cambios estructurales, muestra que existen diferencias en la transmisión de volatilidad. Las carteras de mínimo riesgo, por su parte, están formadas en todos los escenarios posibles analizados por la combinación de las empresas de mediano y pequeño tamaño (con una mayor ponderación de las empresas medianas) siendo, incluso, menor el riesgo cuando se consideran los efectos asimétricos y los cambios estructurales en la volatilidad. Estos resultados, pues, refuerzan el interés por conocer las características de este tipo de empresas frente a las que componen el IBEX 35.AbstractThis article examines the transmission of volatility and the creation of optimal risk minimizing portfolios among large-, medium- and small-capitalization companies of the Spanish stock market, which are represented by the IBEX 35, IBEX MEDIUM CAP and IBEX SMALL CAP indexes respectively. A comparison of two volatility models, a symmetric and an asymmetric multivariate GARCH model with structural changes, shows that there are differences in the transmission of volatility. We demonstrate that, in all the possible scenarios analyzed, the risk minimizing portfolio is composed of medium and small indexes with a higher weight of medium firms. The risk is even lower when asymmetric effects and structural changes are taken into account. These results therefore illustrate the importance of knowing the main characteristics of these firms with respect to those than compose the IBEX 35 index

Sustainable development, sustainability leadership and firm valuation: differences across Europe

Artigo em revista científicaSustainable development is nowadays a high priority for firms all over the world. Consequently, numerous firms have increased their social responsibility initiatives, reinforcing the credibility and trust of their stakeholders. However, prior research about the relevance of sustainability leadership for the European investment community is scarce. In this context, the aim of this study is to examine whether sustainability leadership – proxied by membership of the Dow Jones Sustainability Index Europe – is value relevant for investors on the 10 major European stock markets over the 2001–2013 period. Our overall results reveal that there exist significant differences across markets. These findings are relevant especially for investors, but also for the managers of listed firms, market regulators and policymakers. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environmentinfo:eu-repo/semantics/publishedVersio

Profitability of technical trading rules in the Brazilian stock market

Objetivo: El objetivo de este trabajo ha sido analizar las diferentes estrategias comerciales para el mercado de valores brasileño. Este análisis se centra en la comparación y combinación de diferentes reglas activas contra la regla pasiva de compra y retención. Antecedentes: El papel de líder regional del mercado de valores brasileño ha atraído la atención de los inversores, que ahora lo consideran una alternativa válida cuando buscan diversificar sus carteras. Por consiguiente, un uso adecuado de las Reglas Técnicas de Comercio (RTC) podría ayudar a los inversores a obtener los beneficios deseados de sus inversiones. Método: Se compara el rendimiento de las estrategias activas basadas en las TTR clásicas con una propuesta basada en el indicador de momentum, y luego todas ellas con las obtenidas de la estrategia pasiva de compra y retención. Se emplean pruebas de comprobación de la realidad y de capacidad de predicción superior para tener en cuenta el posible sesgo de fisgoneo de los datos. Los resultados: Se muestra que las reglas clásicas tienen un peor rendimiento que una regla propuesta basada en la Tasa de Cambio. Además, cuando empleamos una ETF que rastrea las compañías más pequeñas, obtenemos rendimientos más altos que los obtenidos para las compañías más grandes. Contribuciones: Este análisis es especialmente interesante porque, hasta donde sabemos, no hay evidencia empírica en ese sentido para el mercado de valores brasileño. Además, ampliamos la evidencia anterior centrándonos en tres ETF que rastrean las empresas grandes, medianas y pequeñas del mercado de valores brasileño y, por lo tanto, los resultados obtenidos de nuestro análisis proporcionarán una mejor visión de las oportunidades de inversión que la evidencia empírica anterior ha mostrado.Objective: The objective of this paper has been to analyze different trading strategies for the Brazilian stock market. This analysis is focused on the comparison and combination of different active rules against the passive rule of buy-and-hold. Background: The role of regional leader of the Brazilian stock market has attracted the attention of the investors, who now consider it a valid alternative when seeking to diversify their portfolios. Consequently, an adequate use of the Technical Trading Rules (TTR) could help investors obtain the desired profits on their investments. Method: We compare the performance of active strategies based on classical TTRs with a proposal based on the momentum indicator, and then all of them with those obtained from the passive strategy of buy-and-hold. Reality Check and Superior Predictive Ability tests are employed to account for possible data snooping bias. Results: It is shown that the classical rules perform worse than a proposed rule based on the Rate of Change. Additionally, when we employ an ETF which tracks the smaller companies, we obtain higher performances than those obtained for larger companies. Contributions: This analysis is especially interesting because, to our knowledge, there is no empirical evidence in that sense for the Brazilian stock market. Additionally, we extend the previous evidence by focusing on three ETFs that track large, medium and small companies of the Brazilian stock market and, therefore, the results obtained from our analysis will provide a better vision of the investment opportunities than what the previous empirical evidence has shown.• Junta de Extremadura. V Plan Regional de Investigación y Desarrollo. Ayuda GR15027peerReviewe

The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder

Does family control reduce firm risk?

In the current context of instability and financial crisis, understanding firm risk is crucial. In this study we aim to assess firm risk differences between family and non-family firms. Furthermore we analyze the family control impact, measured by both the family ownership and the F-PEC scale, in firm risk. We provide new evidence from family firm studies since we not only analyze the risk topic, almost unexplored, but we also introduce the F-PEC scale, an alternative way to measure the family influence. Using Portuguese quoted firms during the 1999- 2012 period, we find that family influence and control do not impact firm risk. Moreover, the firm size, return and growth opportunities influence it.

Sustainability reporting in Europe: differences in terms of legislation and valuation

Artigo em revista científicaOver the past few years, the number of socially responsible companies has been increasing significantly throughout the world and predominantly in Europe. This trend has accelerated the need to provide credibility, and also to create legislation that supports the information provided. As a result, the Global Reporting Initiative (GRI) was created with the aim of helping organisations to provide information about sustainability, as well as to assist stakeholders in interpreting it. However, the publication of social responsibility reports represents an additional cost and effort for the companies since it is necessary to provide extra resources and, for this reason, not all companies adopt this measure. Moreover, social responsibility can be a mandatory or voluntary requirement, depending on the country and the rules imposed by the government where the companies operate. In this context, the aim of this study is two-fold. Firstly, we provide a deep analysis about the evolution as well as the similarities and differences among European countries in terms of sustainability reporting over the 2001-2013 period following the GRI criteria. Secondly, we provide evidence about the value relevance of this practice for European firms.info:eu-repo/semantics/publishedVersio

Business growth and public policies for regional development in EUROACE

El objetivo del presente estudio consiste en analizar el crecimiento empresarial en la eurorregión ibérica denominada EUROACE durante el periodo 2007-2015. Concretamente, analizamos qué tipo de empresas son las que tienen mayor potencial de crecimiento y qué medidas públicas son las que se deben tomar para facilitar su desarrollo y, de este modo, dinamizar la economía de la eurorregión y crear empleo. Para ello, contrastamos un modelo de regresión dinámico empleando el método generalizado de los momentos en datos de panel. Los principales resultados obtenidos nos indican que las empresas medianas son las que favorecen el crecimiento empresarial y el desarrollo económico de la eurorregión independientemente del efecto país.The aim of this study is to analyze business growth in the Iberian Euro-region called EUROACE during the 2007-2015 period. Specifically, we analyze which type of companies are those that have the greatest growth potential and which public measures are the ones that must be taken to facilitate their development and, in this way, boost the economy of the Euro-region and create employment. To that end, we contrast a dynamic regression model using the generalized method of moments in panel data. Our results indicate that medium-sized companies are those that favor business growth and the economic development of the Euro-region regardless of the country effect

Rentabilidades anormales y estrategias de inversión en periodos de crisis: el caso español

Los periodos de crisis que se han desarrollado en los últimos tiempos en los mercadosbursátiles han conducido a la existencia de un interés cada vez mayor en analizar el comportamientode dichos mercados tras estos periodos y, de esta forma, conocer qué tipo de estrategias se hande aplicar para obtener una mayor rentabilidad. A partir del análisis de las rentabilidades anormalestras los shocks bursátiles sucedidos en los índices de referencia de las mayores, medias y pequeñasempresas del mercado español, el presente trabajo demuestra que la mejor estrategia en términosgenerales tras un shock bursátil es ponerse a corto, y que los mejores resultados de rentabilidadesextraordinarias se obtienen a partir de la inversión en las medias y pequeñas empresas

Análise da hipótese conjunta da eficiência do CAPM na BOVESPA

La eficiencia de los mercados de valores implica que los precios de las acciones reflejan instantáneamente toda la información disponible al público y, por lo tanto, ninguna estrategia de inversión puede generar ganancias anormales sistemáticamente. Sin embargo, la eficiencia del mercado per se no es comprobable. Con el fin de analizar si un mercado de valores es eficiente tenemos que testar la denominada “hipótesis conjunta” que implica la utilización de un modelo de valoración de activos. De esa manera, podremos comparar los rendimientos reales obtenidos en el mercado con los rendimientos esperados en función del modelo de valoración empleado. En este contexto, el propósito de este estudio es analizar si el mercado BOVESPA es eficiente o, por el contrario, es posible obtener rendimientos anormales empleando el Modelo de Valoración de Activos de Capital. Para ello, empleamos una intuitiva estrategia de inversión basada en la compra exclusiva de aquellas acciones que se consideran infravaloradas por el CAPM y las comparamos con la estrategia pasiva de comprar todas las acciones que componen el índice de mercado selectivo. Finalmente, observamos que nuestros resultados son consistentes con la eficiencia del mercado, así como con el CAPM.Market efficiency implies stock prices fully reflect all publicly available information instantaneously and, thus, no investment strategies can systematical ly earn abnormal returns. However, market efficiency per se is not testable. In order to analyze whether a stock market is efficient we have to test the joint hypothesis which refers fact that testing for market efficiency necessary involves asset pricing models. Then, we can compare real returns with expected returns predicted by a specific pricing model. In this context, the purpose of this study is to analyze whether the BOVESPA is an efficient market or, by contrast, it is possible to obtain abnormal returns employing the Capital Asset Pricing Model. To that end, we employ an intuitive trading rule based on purchasing exclusively those shares that are considered undervalued by the CAPM and compare it with the passive strategy of purchasing all shares that are members of the selective market index. Finally, our results are consistent with market efficiency as well as with the CAPM.Junta de Extremadura. V Plan de acción de investigación y desarrollo 2014/17: Ayuda GR15027peerReviewe