Project Description

Revista de Economía Financiera. Número 13 – 3º Cuatrimestre 2007

Titulares de los artículos

Alfonso Novales and Sonia Benito
A factor analysis of volatility across the term structure: the Spanish case

La elevada dimensión de la Estructura Temporal de Tipos de Interés (ETTI) es uno de los principales problemas asociados a la gestión del riesgo en carteras de renta fija. Este problema es especialmente importante de cara al cálculo del Valor en Riesgo (VaR), ya que para ello se requiere calcular la matriz de varianzas y covarianzas del conjunto de tipos de interés que determinan el valor de la cartera. Alexander (2000) propone una forma sencilla de calcular dicha matriz mediante un modelo de factores de la ETTI. En este trabajo nosotros comenzamos mostrando que la estructura temporal de volatilidades del mercado español de deuda pública puede ser explicada a partir de un número reducido de factores. Esos factores pueden ser utilizados para reproducir las series temporales de volatilidad de todos los tipos en la estructura temporal y mostramos que esas estimaciones son estadísticamente distintas a las obtenidas mediante la aproximación propuesta por Alexander (2000). Adicionalmente, mostramos que en términos de VaR la propuesta de Alexander (2000) funciona algo peor que la nuestra que ofrece resultados similares a los obtenidos por Riskmetrics. Los resultados obtenidos sugieren que reducir la dimensión de la ETTI puede llevar a una pérdida importante de información de cara a estimar los segundos momentos condicionales de los tipos de interés.

Araceli Mora Enguídanos y Pablo J. Vázquez Veira
La relevancia valorativa de las pérdidas: evidencia empírica en españa

Market-based Accounting Research (MBAR) has not already properly addressed the price-earnings relation for loss firms. Moreover, the extant evidence is full of contradictions. Zhang’s (2000) model provides a new theoretical framework to discuss this issue. However, we believe this model is partially limited: it predicts that every single loss firm is valued at its liquidation value. In this paper, we develop an extension of the model that avoids this limitation. The mainly predictions that could be derived from this extension are: (1) losses are not value-relevant, (2) if a loss firm is not supported by investors, it will be valued at its liquidation value, and (3) if a loss firm is supported by investors, it will be valued at its continuation value. We contrast our predictions using a sample of Spanish listed firms for the period 1991-2004. The results confirm the hypotheses.

Natividad Blasco de las Heras y Sandra Ferreruela Garcés
Comportamiento imitador en el mercado bursátil español: evidencia intradiaria

This paper attempts to detect herd behaviour of market participants in the Spanish Stock Exchange using an intraday dataset. Our study is based on three different approaches: the length and frequency of trading runs, the dependence between interarrival trade times and the presence of leader brokers in the market. The results show evidence in favour of imitative behaviour along the trading sessions.

Eva Ropero
Teorías Dinámicas Sobre Contratos Financieros. Una Reseña de la Literatura

In this paper, we review the literature on long-term dynamic financing contracts between a lender and an entrepreneur and the resulting interaction between the financing and investment decisions of the firms. There are two main lines of investigation. On one hand some papers have analyzed the existence of financing constraints, their origins and their effects on the evolution of the firms. The most recent work in this area explains the appearance of financing constraints by means of long-term optimal financing contracts in the presence of information asymmetry or limited enforcement problems. On the other hand, various studies have analyzed the effect of ex-post renegotiation of optimal contracts. In this line of investigation some papers have studied the feasibility of firm liquidation in the presence of costless renegotiation, while others have focused on how renegotiation could be useful for debt holders, even if they give more rights to debtors.