C. José García

Operating and Stock Market Performance of State-Owned Enterprise Privatizations: The Spanish Experience

We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOE and privately-owned firms. We find significant operating improvements in Spanish SOEs after the privatization. Specifically, they show significant increases in income efficiency, real sales and employment. Spanish governments tried to minimize the foregone proceeds when selling SOE shares and underpriced them lower than private firms. We relate these results with the pressure of the Maastricht Treaty fiscal criteria, as well as lower information asymmetries between firms and investors. Finally, we do not find long-term abnormal stock market performance after SIPs.

Is the long-run underperformance of seasoned equity issues irrational? Evidence from Spain

We investigate if the long-run underperformance in the year after the SEO is related to behavioural biases that led investors to adjust their pre-issue over optimism slowly. We also examine the existence of arbitrage costs that preclude mispricing from being corrected rapidly by sophisticated investors who act as arbitrageurs. Our findings support the contention that small SEO firms are overpriced at the time of the issue and imply that their post-underperformance is related to arbitrage costs, where transaction costs play an important role although holding costs do not.

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.

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.

Riesgo de iliquidez y rendimientos anormales a largo plazo en las empresas cotizadas que realizan una OPV

Resumen En este trabajo aportamos nueva evidencia en relacion con cambios en la prima por riesgo de las empresas cotizadas que realizan una OPV, lo que explicaria los rendimientos anormales negativos significativos encontrados en trabajos previos. En concreto, contrastamos la hipotesis de que un incremento de la liquidez a largo plazo tras la emision implica una reduccion de la prima exigida por liquidez y, por tanto, un menor rendimiento esperado. Si el riesgo de iliquidez no se tiene en cuenta en el analisis del comportamiento anormal de los titulos, la menor prima por riesgo de iliquidez exigida da como resultado un mal comportamiento. Dado que nuestros resultados sugieren un incremento de la liquidez de las empresas de la muestra en el ano posterior a la emision, extendemos el analisis de la rentabilidad anormal introduciendo en el modelo de tres factores de Fama y French (1993) un factor de riesgo de iliquidez basado en la medida de iliquidez propuesta por Amihud (2002). Los resultados muestran que el mal comportamiento tras la emision desaparece.