Begoña Herrero

Contenido informativo del beneficio empresarial: información financiera versus información contable

RESUMEN El objetivo del trabajo es estudiar el proceso de formación de precios alrededor de la divulgación del beneficio contable y de la publicación de las predicciones que sobre el mismo realizan los analistas a través del estudio de la rentabilidad y la variabilidad del valor de los títulos cotizados en el mercado continuo español. El estudio abarca desde el tercer trimestre del 2000 al cuarto trimestre del 2002. Además se analizan las posibles diferencias en el proceso de formación del precio que pueden surgir como consecuencia de aspectos tales como la relevancia de la información transmitida (anuncios sobre los resultados contables en los diferentes trimestres o previsiones del beneficio anual de los analistas), la precisión de la información comunicada (fuente de divulgación de la noticia) o la cantidad de información previa (empresas grandes frente a empresas pequeñas), diferenciando en todos los casos el carácter bueno o malo de la noticia.

Do acquirers’ stock prices fully react to the acquisition announcement of listed versus unlisted target firms? Out-of-sample evidence from Spain

Previous results are ambiguous about whether prices fully reflect value creation or destruction at the time of the acquisition announcement when samples are split into listed and unlisted target firms. We find that the Spanish market fully reacts to the acquisition announcement (showing value creation only for unlisted target firm acquisitions), except for the smallest bidders of public targets since we find significant positive abnormal returns for a 24-month post-acquisition window. This evidence is consistent with investors extrapolating the performance of large acquirers of public firm to smaller ones and, therefore, only identifying value creation in the long term.

Information processing in the stock market around anticipated accounting information: earnings release

Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings announcements on information asymmetry. Specifically, we investigate whether liquidity suppliers value the possibility of trading with informed agents and whether market behaviour reflects this. To achieve this objective, we take into account the sign of the surprise, the quarter of the announcement, the quantity of previous information and the quality of the information released. One of the main results of the paper is the support of market efficiency. This result is important nowadays since this hypothesis is being questioned after the irruption of the financial crisis.

Information and investor behavior surrounding earnings announcements

The goal of this paper is to analyze the impact of annual earnings announcements on the market through the order flow data in addition to the usual transaction data. In this respect, examining order flow data can potentially reveal valuable information that is not available from transaction data. In fact, the data allow us to test hypotheses about asymmetric information and investor behavior and to test if the behavior varies with investor sophistication. In addition, the paper tries to identify the determinants of the impact on a firms value using assumptions about investor behavior.

The Informational Role of Thin Options Markets: Empirical Evidence of the Spanish Case (El Papel Informativo De Los Mercados De Opciones Estrechos: Evidencia Empírica Del Caso Español)

English Abstract: This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options-trading activity before the release of earnings news (including the announcement period). Results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.Spanish Abstract: El trabajo analiza el papel informativo de los mercados de opciones para el caso de escasa negociacion, centrandose en el mercado espanol. Estudiamos el efecto de la llegada de nueva informacion relevante, como es el anuncio de beneficios, en el mercado de contado bajo la presencia de opciones sobre dichas acciones. Ademas, examinamos la actividad negociadora en el mercado de opciones ante dicho suceso. Los resultados muestran que el impacto de la informacion es superior cuando existen opciones cotizadas sobre dichas acciones. Adicionalmente, se observa una actividad negociadora anormal en el mercado de opciones debido a la negociacion informada, principalmente cuando la noticia es muy buena.

Options and Accounting Information: Empirical Evidence in Stock and Derivative Markets

This study investigates the informational role of options trading in the price discovery process around the dissemination of accounting information, specifically annual and quarterly earnings announcements. Firstly, we examine the effect of options markets by analyzing stock market reaction to earnings news conditional on the availability of options markets. Secondly, we examine options-trading activity around the release of earnings news. Results show that when options trading is available, the options market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.

Value Creation When Acquiring Public vs Private Firms. Spanish Evidence

We investigate shareholder value creation of Spanish listed firms in response to announcements of acquisitions of unlisted companies and compare this experience to the purchase of listed firms over the period 1991–2011. Similar to foreign markets, acquirers of listed targets earn insignificant average abnormal returns. However, acquirers of listed targets that perform a first bid show significant negative abnormal returns. Acquirers of unlisted targets gain significant positive average abnormal returns. When we relate these results to company and transaction characteristics our evidence suggests that the listing status effect is mainly associated with the fact that unlisted firms tend to be smaller- and lesser-known firms, and thus suffer from a lack of competition in the market for corporate control. Consequently, the payment of lower premiums and the possibility of diversifying shareholders’ portfolios lead to unlisted firm acquisitions being viewed as value-orientated transactions.