Franco Parisi

The deal of the century in Chile Endesa Espana's takeover of Enersis

We analyze the effect of the announcement of the tender offer made by Endesa Espana to control Enersis Chile through the Chispas holding structure. In this clinical study of the case, we summarize the salient points of the Chispa case - one of the most controversial in Chile - and obtain the abnormal returns to the shareholders of the target firm using three alternative models for robustness of results: the constant mean model, the market model, and the market model adjusted for non-synchronous trading problems. Contrary to expectations based on prior empirical research in the United States and United Kingdom, our results demonstrate the absence of positive cumulative abnormal returns (CARs) for Chispa stockholders during the takeover bidding event window. We present evidence in this case that the governance structure of the target firm led to this seeming anomaly and conclude that the generally accepted theories of corporate control and governance in the United States and United Kingdom do not automatically apply to developing countries with differing legal environments.

Minority Stockholders' Protection in a New Corporate Control Law: Market Implications in an Emerging Economy

This paper analyzes the effect of a new corporate governance law in the emerging capital market of Chile to determine if capital markets perceived the intended protection of minority stockholders against wealth expropriation as effective. The unique nature of the new law allowed for voluntary adoption during the initial three-year period, after which it became mandatory. We find no evidence of superior abnormal returns for those firms voluntarily adopting the new law versus those forced to accept the new law as it became mandatory. Trading volume also increased for those not adopting and declined for those that did voluntarily adopt. These results indicate that the capital markets did not perceive voluntary adoption of the new law as effective protection for minority shareholders. We also find a greater presence of institutional investors in the ownership structure of those firms not voluntarily adopting the new law, indicating their monitoring role by investing in firms with better corporate governance practices. Our results suggest that, in the Chilean case, the presence of strong institutional investors is as effective a corporate governance mechanism as is the new law.

Modelos de Algoritmos Genéticos y Redes Neuronales en la Predicción de Índices Bursátiles Asiáticos

This study analyzes the capacity of multivariated models constructed from genetic algorithms and artificial neural networks to predict the sign of the weekly variations of the Asian stock-market indexes Nikkei225, Hang Seng, Shanghai Composite, Seoul Comp

Volume and Autocovariance for Short-Term Stock Returns in Brazil 1990–1999

ABSTRACT The objective of this article is to study the autocovariance in price and volume that allows for predicting short-term returns for stocks on the Brazilian stock market. Based on the evidence compiled and the specific characteristics of the Brazilian stock market, it is expected that low trading volume “winner” and “loser” stocks will present positive autocovariances in their short-term returns. Likewise, we expect to observe a negative autocovariance in the price of the securities for high-volume “loser” stocks but not for “winner” stocks, which present a high transaction volume due to the strong presence of institutional investors in the Brazilian stock market, a result expected according to Parisi and Acevedo (2001). Our results show that the autocovariance of securities with high and low transaction levels differ as much in sign as in magnitude. Specifically, low transaction level winner stocks (W, L) do not experience reversals in prices presenting positive autoco variances in their returns. As for the high trading volume winner stocks (W, H), our results differ from the international evidence. When we analyzed the results obtained with portfolios composed of low-volume loser stocks, we observed positive autocovariances in the returns. Such did not occur, however, for the portfolio of high-volume loser stocks. For these, our study arrived at results differing from what was predicted by the international evidence. RESUMEN.El objetivo de este artículo es estudiar la autocovarianza en precio y volumen que permita predecir los retornos de corto plazo para acciones en el mercado bursátil brasilero. Sobre la base de la evidencia recopilada y de las características específicas del mercado accionario brasilero, se espera que las acciones “perdedoras” y “ganadoras” con bajo volumen transado presenten autocovarianzas positivas en sus retornos de corto plazo. Asimismo, esperaremos observar una autocovarianza negativa en el precio de los títulos para acciones “perdedoras” de alto volumen pero no así para las acciones “ganadoras” que presenten un alto volumen de transacciones debido a la fuerte presencia de inversionistas institucionales en el mercado bursátil brasilero, resultado esperado a partir de Parisi y Acevedo (2001). Nuestros resultados muestran que la autocovarianza de títulos con altos y bajos niveles de transacción difieren tanto en signo como en magnitud. Específicamente las acciones ganadoras con bajos niveles trans- accionales (W,L) no experimentan reversiones en los precios presentando autocovarianzas positivas en los retornos. En tanto que para las acciones ganadoras de alto volumen transado (W,H) nuestros resultados difieren de la evidencia internacional. Cuando analizamos los resultados obtenidos con los portfolios compuestos por acciones perdedoras de bajo volumen se observaron autocovarianzas positivas en los retornos. Esto no ocurrió, sin embargo, para el portfolio de acciones perdedoras de alto volumen. En este caso nuestro estudio arrojó resultados que difieren de lo pronosticado por la evidencia internacional. RESUMO.O objetivo deste artigo é estudar a autocovariância no preço e no volume, que permita prever os retornos a curto prazo para as ações do mercado acionário brasileiro. Com base na evidência compilada e nas características específicas deste mercado, presume-se que as ações “gan-hadoras” e “perdedoras” com pequeno volume de negociação apresentem autocovariâncias positivas nos seus retornos a curto prazo. Da mesma forma, espera-se uma autocovariância negativa no preço dos títulos das ações perdedoras de grande volume, mas não das ações ganhadoras, que apresentam um grande volume de transações devido à forte presença dos investidores institucionais do mercado acionário brasileiro, resultado previsto, segundo Parisi e Acevedo (2001). Os nossos resultados mostram que a autocovariância dos títulos de altos e baixos níveis de transação diferem tanto no significado quanto na magnitude. Especificamente, ações ganhadoras de baixo nível de transação (W, L) não sofrem inversões nos preços, apresentando autocovariância nos seus retornos. Já no caso das ações ganhadoras com grande volume de transação (W, H), os nossos resultados diferem da evidência internacional. Quando analisamos os resultados obtidos com carteiras formadas por ações perdedoras de pequeno volume, observamos autocovariâncias positivas nos retornos. Isto não acontece, contudo, na carteira de ações perdedoras de grande volume. Neste caso, a conclusão do nosso estudo foi diferente do que estava previsto pela evidência internacional.

BANKRUPTCY IN BANKS FROM ECUADOR: SOLVENCY VERSUS PANIC THEORIES

This chapter develops a Probit model that identifies the financial variables explaining the bankruptcy of banking institutions in Ecuador as a function of efficiency, assets, capital, risk and operating income. The implications of this study verify the validity of the solvency theory over the self-fulfilled panic speculations. The criteria used was a high Pseudo R2 and an as high as possible Efficiency Index. The model yielded a Pseudo R2 of 89.14% and an Efficiency Index of 96.7%. The model is useful in preventing bankruptcy of a bank one year in advance.