Fernando Gómez-Bezares

Theoretical perspectives on intellectual capital: a backward look and a proposal for going forward

Abstract In recent years the intellectual capital literature has exhibited relatively few new theoretical contributions, in contrast to the flurry of such work in the period 1996–2003. The purpose of the present paper is to revisit a number of the major theoretical contributions to the intellectual capital field in order to identify where any renewal of theoretical endeavour might be targeted. The greater part of the existing theoretical corpus is found to have a normative quality, something particularly evident in policy-oriented contributions on accounting for intellectual capital. The continued absence of a critical perspective on intellectual capital is identified to be a worrying lacuna, and thereby a potentially valuable space for a further round of theoretical activity.

Can We Beat the Market with Beta? An Intuitive Test of the CAPM

ABSTRACT Based on a strict and intuitive methodology, the article proposes an empirical test of the CAPM for the main Spanish market stocks. The idea is to replicate the behaviour of an investor purchasing undervalued shares according to the CAPM in order to beat the market during the following period. Where the investor does not meet his objective, the results are consistent with market efficiency and with the CAPM, as the stocks would quickly adapt to their rational value, according to the model. Otherwise, a strategy to beat the market would have been found, obtaining returns above those expected for a given level of systematic risk. Our results are consistent with market efficiency and with the CAPM. This conclusion is reached in different ways, indicating the robustness of the procedure.

Classic performance indexes revisited: axiomatic and applications

In this short article we revisit three classic performance indexes: Sharpe, Treynor and Jensen, adding a fourth index, the Penalized Internal Rate of Return (PIRR), which is perfectly coherent with those three. We propose some axioms that support the logic of these indexes, identifying one exception for the Treynor index and warning about the problems of quotients use. All these are empirically supported.

An Approach to the Valuation of Rioja Wine

Abstract The wine market is a very important source of economic wealth in Rioja region and a major employment provider that creates a powerful foreign trade. Thus, it is an interesting sector for investment for both local and foreign capitals. Our paper tries to analyse the impact of the entire wine sector which, from our point of view, has a value of up to 9000 million euros. We will follow different ways in order to study the subject: a financial market analysis for the wineries, and the vineyard prices for the producing sector.

Firm characteristics and intellectual capital disclosure in IPO prospectuses

Purpose Initial Public Offerings (IPOs) have been studied from different perspectives. The purpose of this paper is to analyse the type of intellectual capital (IC) information provided in the Spanish IPO prospectuses and the characteristics of the firms that go public and supply more information. The paper also compares the results with similar previous studies carried out in different countries. Design/methodology/approach The database gathers Spanish IPOs from 1996 to 2007 (after which the number of IPOs in Spain plummeted due to the crisis). Content analysis is used to obtain information about IC from the IPO prospectuses and, afterwards, the authors apply different statistical methods to analyse any relation between IC disclosure and firms’ characteristics. Findings The paper concludes that the companies that provide more information about IC in IPO prospectuses are high-tech companies, larger firms and those whose previous shareholders do not retain the majority after the IPO. Originality/value The ...

Development rooted on Riojan soil: the wine cluster and beyond.

The wine industry has experienced dramatic changes since the 80s. The surge of New Producing Countries challenging the Euro-centred status quo, the decline of consumption in traditional markets, the permanent large imbalances in the sector resulting in global overproduction, the apparition of new consumers, the development of wine tourism… In this period of time, Rioja, a region producing wines since the Middle Ages, has been able to use all its strengths to increase its market share in the wine global market, driving the regional economy to higher and more widespread social welfare. This paper shows the main features of this relation between wine and territory at Rioja, and the reasons for the successful performance of this sector, using a number of approaches (cluster, agro-industrial district, oenopolis) that progressively enlarge the scope of the analysis up to including all potential relations between the main regional sector and the society itself.

Performance measures: advantages of linear risk penalization

This work corrects the risk quotient penalization carried out by the Sharpe and Treynor ratios, which, assuming normality in returns distribution, are equivalent to classifying the funds according to the probability of their returns being below that of the risk-free asset, without considering the entire distribution of the funds’ returns. Different performance measures are applied to a sample of Spanish investment funds, and it is shown that all the measures lead to similar fund classifications, enabling us to conclude that the measures proposed, though methodologically improving the Sharpe and Treynor ratios, maintain their economic meaning and their financial nature.

Don’t use quotients to calculate performance

Abstract Quotients, ratios, are among the most applied tools for measuring performance of mutual funds and investment portfolios, the Jensen index being an exception to the general rule. In this paper, we show some problems that arise when quotients are applied, closely related to their statistical meaning, which is too often forgotten. We also raise some advantages of the use of linear penalization, introducing a little known methodology for performance measurement. With this purpose, this paper’s approach is comprehensive: we conceptually analyze performance indexes’ geometric and statistical meaning, complementing this with a numerical example and empirical testing that confirm our view. This paper’s main contribution is to demonstrate and empirically test how the use of quotients to measure performance may create problems due to their denominators, which may be solved by applying linear penalization.

The land of “oenoeuros”. Wine as the source of regional inflation: the peculiar case of Rioja

How can wine affect the economy of a wine-producing region? Can it produce effects like those experienced in oil-producing countries? Those are the questions addressed in this paper, using Rioja as a case study. During the millennium period, while a structural change was taking place in Rioja wine cluster, Riojas inflationary pattern also varied from its historical behaviour. While having less inflation than the Spanish average in the 1980s and early 1990s, the Rioja region became the most inflationary Spanish region in the millennium period. Simultaneously, the Riojan wine cluster enjoyed higher recognition in global markets, which encouraged new investments, the growth of the surface under vines and both a higher productivity and higher prices. This paper argues that the unprecedented growth of vine-growing incomes in the period 1995–2007 determined the consumption made by grape producers’ households, and consequently, they also influenced price dynamics in Rioja.

Portfolio Theory, CAPM and Performance Measures

This chapter is focused on the “Portfolio Theory” created by Markowitz. This theory has the objective of finding the optimum portfolio for investors; that is, that which gives tangency between an indifference curve and the efficient frontier. In this chapter, the mathematics of this model is developed. The CAPM, based on this theory, gives the expected return on an asset depending on the systematic risk of the asset. This model detects underpriced and overpriced assets. The critics expressed against the model and their application possibilities are also analyzed. Finally, the chapter centers on performance measures related to portfolio theory (classic indices, derivative indices and new approaches) and on the performance persistence phenomenon employing the aforementioned indices, including an empirical example.