Revista de Economía Financiera. Número 11 – 1º Cuatrimestre 2007
Titulares de los artículos
Beatriz Cuellar Fernández y Yolanda Fuertes Callén y José Antonio Laínez Gadea
Influencia de la información financiera y no financiera en la rentabilidad bursátil de empresas del sector TIC europeo
In this paper we explore the impact of firm specific news issued by 101 European companies in the information and Communications Technology (ICT) industry on the close to close daily stock return. We compile 8.630 news issued by each sample firm from the “Press releases” tab of the firm’s website between January 2003 and April 2005, and classify them into eighteen categories: 13 about non financial actions and 5 financial actions. Our results show price reaction around some of the non financial actions analysed. However, differences may be observed depending on the type of information in question. Also our findings regarding the impact of financial information indicate that new items o this kind are relevant, support the contention that financial measures continue to have utility for investors despite criticism that information of this type is largely irrelevant in the ICT sector.
Carmen Pilar Martí Ballester y Mª Ángeles Fernández Izquierdo y Juan Carlos Matallín Sáez
Análisis de las variables que determinan las comisiones en los planes de pensiones
Characteristic features of the Spanish pension plan market are the maximum legal limits it establishes for management and custodial fees, and the fact that –on the whole- it is marketed and managed by financial entities, which can sometimes lead to conflicts of interest. The aim of this study is therefore two-fold: to analyse the variables that determine the fees incurred by pension plans using Powell’s (1984) CLAD model; and to demonstrate that the results of applying this model are robust. We use data on the management and custodial fees of various individual pension plans in Spain. The results show that the nature of the management entity, pension plan results, management style, the mean investment made by each participant, and the custodial fee established by the custodian all have a relevant effect on the management fee. Notable factors that influence the custodial fee are: the influence of the return of the plan adjusted to the return of the category, the custodial capital, the plan’s management style and the management fee established by the managing entity.
Carmen Badía y Merche Galisteo y Teresa Preixens
Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español
In this work the valuation methodology of compound option written on a down-and-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the fir has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geske model (1977).
This paper provides an overall perspective on how habit persistence in preferences affects asset pricing. Starting with the exposition of the problem generated when time separable preferences are assumed, this work progressively presents the alternative ways in which temporal dependence solves the empirical puzzles found in literature. Hence, the theoretical foundations and the empirical implication of the most relevant models with habit persistence are analyzed.