José E. Farinós

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.

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.

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.