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

A dominant firm’s strategy and its effect on the capital structure of non‐dominant firms in the self‐service discount stores industry

In an industry characterized by oligopolistic market structures there are generally firms that have enough market power as to influence the pricing and output decisions of all participants, forcing others to follow the strategies followed by the dominant firm(s) with very little opportunity to do otherwise. When a dominant firm is part of a larger corporation, which gives it the financial capacity to support an above‐average, long‐term investment, as a logical reaction to protect (or minimize the loss of market share), the rest of the participants in the industry are expected to also make an attempt to increase their investments, fundamentally affecting the long‐term capital structure strategy. This work’s contribution consists on presenting an empirical analysis of the capital structure decisions of the non‐dominant firms in the Self‐Service Discount Stores Industry (SSDSI) that result from the rapid expansion of Wal‐Mart in the Mexican market

A dominant firm’s strategy and its effect on the capital structure of non‐dominant firms in the self‐service discount stores industry

In an industry characterized by oligopolistic market structures there are generally firms that have enough market power as to influence the pricing and output decisions of all participants, forcing others to follow the strategies followed by the dominant firm(s) with very little opportunity to do otherwise. When a dominant firm is part of a larger corporation, which gives it the financial capacity to support an above‐average, long‐term investment, as a logical reaction to protect (or minimize the loss of market share), the rest of the participants in the industry are expected to also make an attempt to increase their investments, fundamentally affecting the long‐term capital structure strategy. This work’s contribution consists on presenting an empirical analysis of the capital structure decisions of the non‐dominant firms in the Self‐Service Discount Stores Industry (SSDSI) that result from the rapid expansion of Wal‐Mart in the Mexican market

On the Interaction among Economic Growth, Energy-Electricity Consumption, CO2 Emissions, and Urbanization in Latin America

This paper is aimed at studying the dynamics and long-run interaction among changes in CO2 emissions, economic growth, changes in energy and electricity use, and changes from rural to urban population among Latin American countries (LA) during the period from 1990 to 2014. A Panel VEC (VAR) approach using data from the World Bank shows that the first and second differences in the log of the proportion of the urban population to total population explain: CO2 emissions, GDP per capita, energy-electricity per capita, and the urbanization process. Moreover, CO2 emissions are cointegrated with the first difference in the log of the proportion of urban population. The empirical results show no evidence of the existence of an environmental Kuznets curve. Moreover, it is not possible to generalize the nature of the economic growth-energy consumption-urbanization and CO2 emissions relationships across different latitudes. Finally, a limitation of this study is that the limited availability of data for several countries in the LA region restricts the scope of the econometric analysis.Esta investigación tiene como objetivo estudiar las interacciones dinámicas de largo plazo entre los cambios en las emisiones de CO2, el crecimiento económico, los cambios en el uso de energía y electricidad, y los cambios de la población rural a la urbana en América Latina (AL) durante el período 1990-2014. Un enfoque de datos panel VEC (VAR) con datos del Banco Mundial muestra que la primera y segunda diferencias de los logaritmos de la proporción de la población urbana con respecto a la población total explican: emisiones de CO2, PIB per cápita, consumo de energía, electricidad per cápita y el proceso de urbanización. Además, las emisiones de CO2 se cointegran con la primera diferencia con el logaritmo de la proporción de la población urbana. Los resultados empíricos no sugieren evidencia de la existencia de una curva ambiental de Kuznets. Tampoco es posible generalizar la naturaleza de las relaciones de crecimiento económico-consumo de energía-urbanización y emisiones de CO2 en diferentes latitudes. Una delimitación de este documento es la disponibilidad limitada de datos para varios países de AL, lo cual restringe el alcance del análisis econométric

The Real Estate Investment Trust Industry and the Financial Crisis: Modeling Volatility (1985-2016)

This work measures the sensitivity of the residual volatility of the risk premiums of various Real Estate Investment Trusts (REITs) sectors to systemically important economic events between January 2, 1985, and December 30, 2016. To this end, the residual yields of the REITs are calculated and, with them, a GARCH (1,1) model is estimated, with dummy variables that identify eleven sub-periods delimited by systemic events that occurred in the American economy. The volatility of residual yields is found to decrease with the S&P500 risk premium, and increases only for some sectors with increases in Treasury Bond yields (T-Bills). Similarly, residual yield volatility increased in some periods (e.g., after the Black Monday crash, the low-quality mortgage crisis, and the Great Recession), but did not during the period of stock market collapse caused by companies in the “new economy” (known as the dot-com bubble). Knowledge of these stylized facts opens up new risk management possibilities for those investors considering in including these alternative investments in their portfolios.La industria de fideicomisos de inversión inmobiliaria y la crisis financiera: modelando la volatilidad (1985-2016)Este trabajo mide la sensibilidad de la volatilidad residual de las primas de riesgo de varios sectores de Fondos de Inversión de Bienes Raíces (REITs) a eventos económicos de importancia sistémica, entre el 2 de enero de 1985, y el 30 de diciembre de 2016. Con tal fin, se calculan los rendimientos residuales de los REITs, y con ellos se estima un modelo GARCH(1,1), con variables dummy que identifican once subperiodos delimitados por eventos sistémicos que se presentaron en la economía americana. Se encuentra que la volatilidad de los rendimientos residuales disminuye con el premio por riesgo del S&P500; y aumenta sólo para algunos sectores con aumentos de los rendimientos de los bonos del tesoro (T-Bills). De manera similar, la volatilidad residual de los rendimientos aumentó en algunos periodos (e.g., posterior al crash del lunes-negro, crisis de las hipotecas de baja calidad, y la Gran Recesión), pero no lo hizo durante el periodo del colapso bursátil originado por las empresas de la “nueva economía” (conocida como la crisis de las dot.com). El conocimiento de estos hechos estilizados abre nuevas posibilidades de administración de riesgos para aquellos inversionistas que consideran incluir estas inversiones alternativas en sus portafolios

The Global Automotive Industry Stock Returns During the COVID-19 Pandemic

The Global Automotive Industry Stock Returns During the COVID-19 Pandemic mundial durante la pandemia de COVID-19Este estudio analiza la relación de los puntajes ESG a nivel de empresa y los rendimientos de las acciones de una base de datos mundial para la industria automotriz. Mide la importancia de la relación ESG y CFP durante la última década, e incluye una comparación de aquellas empresas con diferentes niveles de puntaje ESG, así como entre empresas con puntuaciones ESG y empresas que carecen de dichas puntuaciones. Se estiman un modelo cuasi-experimental de diferencia en diferencias (DID) y un panel de datos para examinar el impacto de las puntuaciones ESG y las puntuaciones combinadas ESG en el rendimiento de las acciones de las empresas antes y durante el período de pandemia de COVID-19. Los resultados sugieren que las acciones sostenibles durante la pandemia disminuyeron los rendimientos de las acciones, como lo indican los coeficientes negativos de las puntuaciones ESGC y ESG. Los términos de interacción con el tamaño de la empresa revelaron que los puntajes ESGC y ESG tuvieron una relación positiva con los rendimientos de las acciones durante la pandemia. Por lo tanto, los rendimientos de las empresas más grandes se beneficiaron de puntuaciones ESG más altas durante la crisis de COVID-19. La rentabilidad de las acciones de las empresas en la muestra estratificada, en el contexto de la emergencia sanitaria de la COVID-19, es una contribución original a la literatura sobre la relación ESG-CFP.This study analyzes the relationship of firm-level ESG scores and stock returns from a worldwide database for the automotive industry. It measures the significance of the ESG and CFP relationship during the last decade, and includes a comparison of those firms with different levels of ESG scores, as well as between firms with ESG scores and to firms that lack such scores. A quasi-experimental difference-in-differences (DID) design and a panel data are estimated to examine the impact of ESG scores and ESG combined scores on firms’ stock return before and during the COVID-19 pandemic period. The results suggest that sustainable actions during the pandemic lessened stock returns, as evidenced by the negative coefficients of the ESGC and ESG scores. The interaction terms with firm size, revealed that ESGC and ESG scores had a positive relationship with stock returns during the pandemic. Thus, larger firms’ returns benefited from higher ESG scores during the COVID-19 crisis. The performance of the stratified sample firms’ stock returns in the context of the COVID-19 sanitary emergency is an original contribution to the literature on the ESG-CFP relationship