Information transmission around block trades on the Spanish stock market

Current fmancial research is placing increasing attention on the effects of large transactions, or Block Trades (BT), on the fmancial markets. In order to analyze whether BT transmit information, we assume that information can be better reflected by changes in asset true value, proxied by the midpoint of bid-ask best quotes, instead of transactions prices or returns. Moreover, following market microstructure literature, we also look at changes in relative spread and in their adverse selection component. The Madrid Stock Exchange offers us a particularly appropriate testing ground for examining these issues, since this topic has not been facilitated as in other markets till 1998. We analyze 195 BT, classified according with trading volume, the side of the market initiating the BT (buyer, seller or indeterminate initiated), its type (inside the spread, sweeping or not classified) and if they change or not the asset true value. The main result of the paper is that it seems that there is BT information transmission when we look at adverse selection spread component in the different subsample classification, but there is no significant permanent effect in returns. We also observe changes in liquidity around BTs but the effect is related with temporary spread component

Resultados preliminares sobre la estacionalidad de la prima por liquidez en España: efectos fiscales

En este trabajo, estudiamos la estacionalidad de la prima por liquidez. Concretamente, tenernos en cuenta la influencia de la contratación por motivos impositivos. Observamos cómo existen comportamientos claramente diferentes en la prima por liquidez. Sin embargo, dicho comportamiento no está reflejado en los activos con mayor probabilidad de contratación por motivos fiscales. Los resultados se aproximan a los encontrados por Basarrate y Rubio (1995) para la prima por riesgo en el mercado español de valores. Adicionalmente, al incluir la variable tamaño, los resultados se vuelven más débiles.Publicad

Formación de precios en un mercado financiero con creador de mercado informado

En este trabajo, estudiamos un mercado financiero con un único activo. La parte innovadora del trabajo consiste en la modificación de una de las características del operador del mercado o market maker; concretamente, le atribuimos cierto grado de información. Como consecuencia, obtenemos un equilibrio en el que se modifican algunas de las características del activo objeto de intercambio. Entre los resultados, cabe señalar el aumento de la liquidez del activo, así como de la información y la volatilidad recogida en los precios.----------------------------------------------------------------------------------We study a stock eschange with only one asset. The innovative part consist in the modification of one of the characteristics of the market maker; namely, we atribute him a piece of information. As a consequence, we get an equilibrium in which sorne of the characteristics of the asset are modified. Among the results, we have to point out the increase of liquidity of the asset, the increase of information and volatility of prices.Publicad

La universidad impulsa las buenas prácticas de los estudiantes

Guía de las Buenas Prácticas de los estudiantes de la Universidad carlos III de Madrid. Disponible en: http://www.uc3m.es/portal/page/portal/conocenos/guia_buenas_practicasLa Guía de Buenas Prácticas ha sido promovida y coordinada por el vicerrectorado de Calidad y Plan Estratégico. Hasta ahora, el Estatuto de la Universidad Carlos III de Madrid, contenía una lista de derechos y deberes de los estudiantes. Este documento se completaba con la Carta de Derechos y Deberes de los Estudiantes de la UC3M y la Normativa sobre revisión de exámenes. La Guía de Buenas Prácticas de los Estudiantes recoge y organiza los derechos y deberes de los estudiantes, que ya estaban descritos, aunque dispersos, en diferentes documentos

Liquidez y valoración de activos

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Liquidez en los mercados financieros y selección adversa : problemas de estimación y comprensión

Este artículo evalúa el papel que la liquidez de los activos financieros tiene en economía financiera y los resultados de las diferentes líneas de investigación. Con respecto a la liquidez, podemos observar ciertas regularidades entre diferentes mercados. Así, el lunes y la primera hora de contratación son los períodos de menor liquidez y existe una fuerte relación positiva entre capitalización bursátil y liquidez. Sin embargo, también existen divergencias. Podemos observar diferencias en la estimación del componente de selección adversa. Además, existen diferencias en el efecto de noticias (beneficios y dividendos) sobre la liquidez y no existe un resultado unánime sobre las consecuencias de distintos grados de liquidez en la valoración de los activos.----------------------------------------------------------------------------------This paper evaluates the role of liquidity in finance and the results of different approaches to liquidity. With regard to liquidity, we can observe sorne regularities among different markets. So, early hour of the day and on Monday are the periods with less liquidity than others and there is a strong positive relationship between size and liquidity. However, there are differences. We can observe differences in adverse selection component estimation. There exist differences in the effect of announcement (. (e.g. eamings and dividends) on liquidity and the impact of liquidity on asset pricing models.Publicad

Liquidez: un enfoque metodológico

La liquidez de los activos financieros es una característica fundamental en la definición de los costes en los que incurren los inversores a la hora de realizar una operación en cualquier mercado financiero. La búsqueda de una medida lo más completa posible de la misma sigue siendo hoy uno de los aspectos más debatidos por los expertos y académicos que escrutan los mercados.Publicad

Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis

This paper studies the role that trading activity plays in the price discovery process of a NYSE-listed stock. We measure the expected information content of each trade by estimating its permanent price impact. It depends on observable trade features and market conditions. We also estimate the time required for quotes to incorporate all the information content of a particular trade. Our results show that price discovery is faster after risky trades and also at the extreme intervals of the session. The quote adjustment to trade-related shocks is progressive and this causes risk persistency and unusual short-term market conditions.Publicad

Disclosure and liquidity

The purpose of this paper is to test empirically the relationship between two important concepts: disclosure and liquidity. Using a sample of Spanish quoted firms between 1994 and 2000 we show that the estimation of the relationship between disclosure and liquidity depends crucially on two factors: a) the multidimensionality of the concept of liquidity; b) the use of an econometric methodology that deals properly with the features of the sample used. However the use of the Amihud (2002) illiquidity measure provides evidence in favour of a positive relationship between disclosure and liquidity

Price discovery in the pre-opening period. theory and evidence from the madrid stock exchange

Some stock exchanges, such as the Spanish Stock Exchange and Euronext (Paris), allow traders to place orders in a 'pre-opening' period. Orders placed in this period are used to determine the opening price, and can be cancelled at any moment and at no cost by the traders. We consider a model in which noise traders can appear in the market before or after the opening, and a strategic informed trader decides her order strategy at the pre-opening and at the opening period. We characterize the equilibrium of such a model, showing that at the pre-opening there is a non-monotonic relation between the aggregate quantity ordered and prices. Thus, the equilibrium at the pre-opening stage is determined in a way which is fundamentally different from the equilibrium in the open market. We proceed to study the implications of the existence of a pre-opening period on information revelation and on the determination of the opening price. We present evidence from the Spanish Stock Exchange that seem to support the theoretical predictions, showing a clear different in behaviour between the market behaviour before and after the opening of the market