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REF. Número 92º Cuatrimestre 2006

Títulares de los artículos

José Maria Calderón y Ángel Pardo
One of the functions of the Central Clearing Houses (CCH) in futures markets is to organize trading so that contract defaults are minimized. CCHs require that both long and short positions deposit a minimum margin requirement. However, the CCHs have to face the following dilemma: if the margin level is too low, the margin may not be large enough to cover the losses; on the other hand, if the margin level is too high, investors may suffer from paying opportunity costs. This study tries to explain whether margin requirements set by MEFF are appropriate with regard to both their size and their non-discrimination between long and short positions. Empirical results show that the absence of asymmetry in futures margins cannot be rejected. Furthermore, the analysis of the size of the most extreme market movements using CVaR measures shows that, a priori, the high percentages demanded by MEFF cannot be considered as excessive in any series except in the case of Endesa. Additional tests have proved that these results are not affected by overnight risk.
Sonia Benito Muela
Javier Sánchez-Vidal y Juan Francisco Martín-Ugedo
The aim of this paper is to analyze the factors motivating firms to follow a conservative (or low-leverage) financial policy over two consecutive years. We carry out the study on a sample of 4,865 Spanish firms in the 1993-2003 period. Using different difference of means analyses and a logit regression, we test the influence of several variables related to the tradeoff model, the existence of information asymmetry and the pecking order model. Our findings show that conservative firms have a capital structure determined by the cash flows generated and investments in tangible and intangible fixed assets, in accordance with the pecking order theory and with information asymmetry problems. The results are mainly contrary to the optimal financial structure theory.