Revista de Economía Financiera. Número 12 – 2º Cuatrimestre 2007

Titulares de los artículos

Susana López
Innovación financiera y arbitraje en el Mercado de Bono Español

This paper empirically tests the level of sequential arbitrage in the Spanish bond market. The test is implemented by drawing on default free and option free pure discount and coupon bonds issued by the Spanish government. This fact seems to be a clear distinction between this paper and the related empirical literature since there are no risky bonds or derivative securities involved in our analysis. As a consequence, the sequential arbitrage absence is just equivalent to the existence of a term structure of interest rates matching the whole set of bond prices as provided by The Bank of Spain. Thus, the main conclusions seem to be robust because they only depend on very general and simple hypotheses and, particularly, no dynamic assumptions are required. The results of the empirical analysis may be useful to managers, traders and researchers since it seems to reveal the existence of sequential arbitrage. Furthermore, the number of arbitrage opportunities significantly increased in 1998, when important innovations were implemented and, amongst other new possibilities, agents began trading each whole bond and its coupons (strips) separately. The inexperience associated with financial innovations may lead to inefficiencies in the market.

Sílvia Bou Ysàs
Evaluación de fondos de inversión garantizados básicos como carteras con seguro de pérdidas: Un análisis ex-ante

This article studies the behaviour of basic guaranteed mutual funds by means of portfolio insurance strategy. First, the maximum revaluation limit of the fund’s benchmark portfolio that the fund can guarantee is determined and, next, it is deduced the maximum warranty coefficient defined as the maximum revaluation percentage that the portfolio insurance strategy allows to achieve given the fund and the benchmark portfolio parameters. Finally, taking an ex -ante approach a new performance measure is proposed, the management cost index which consists of the difference between maximum warranty coefficient and the effective revaluation on the benchmark portfolio offered by the fund.

Alfonso Camaño
Opciones americanas, valoración numérica y cálculo de la frontera de valores críticos

In this paper we analyzed American call and put vanilla options with finite maturity as problems of optimal stopping. The problem of American contracts is always double, first we have to find the value function and then later it is necessary to characterize the optimal strategy for exercising them by mean of computing the critical points boundary. Both tasks are developed and solved numerically in the paper. It is assumed that the underlying is following a geometric brownian motion for which drift and volatility are known. The no arbitrage hypothesis and risk neutral valuation are used throughout the paper, however, all analysis is made under the consideration of American options as problems of optimal stopping so that we reach the free boundary problems for the Black & Scholes PDE by a path completely different than the traditional way. We do not build up a portfolio free of risk by mean of delta hedging as done by F. Black y M. Scholes in their milestone paper.

Pascual Berrone y Luis R. Gómez-Mejía
Más allá de los rendimientos financieros: ¿qué falta en los esquemas retributivos para ejecutivos?

This article offers a theoretical perspective that draws on stakeholder theory as an alternative framework to the neoclassical model to analyze executive compensation schemes. We compare the traditional approach to our framework and present a set of proposition which suggest that executive compensation schemes should be designed in such a way that include not only financial goals but also additional criteria linked to the interests of different stakeholders so firms can evolve sustainably. We discuss aspects such as perverse incentives, the risk of maximizing a single criterion to reward executives, and the benefits of multiple goals to assess managerial performance. We also analyze the role of boards of directors as monitors on social issues, the importance of clear and explicit pay policies, and the relevance of contextual factors when studying the link between social performance and executive compensation. The article concludes with practical and empirical implications derived from our framework.