Revista de Economía Financiera. Número 5 – 1º Cuatrimestre 2005
Titulares de los artículos
Pedro Juan García Teruel y Pedro Martínez Solano
Determinantes del nivel de tesorería: Un estudio empírico para empresas cotizadas en el mercado español
This paper analyses empirically the effect that the annual earnings announcements has on stock’s market value and trading volume in the Spanish stock market during 1999, 2000 and 2001. We examine the actual relation between abnormal trading volume and changes in stocks prices around earnings announcements. Additionally, we study the sensitivity of trading volume to the accumulated abnormal return’s sign. We also consider different firms’ characteristics as possible determinants of abnormal trading volume around annual earnings announcements. We find that the release of annual earnings announcements provokes an immediate stock market reaction, which suggests the presence of informative content. At the same time, we observe an asymmetric relation between abnormal trading volume and abnormal returns in the interval (0, 1). We find that contemporary trading activity around earnings announcements is related not only with analysts following during the previous year to the earnings announcement and its informative content but also with the magnitude of unexpected earnings. However, abnormal trading volume is not associated to the investors’ opinion divergence before earnings announcement. It is neither related to the period of time lapsed between the prediction and earnings announcements release nor to the risk change.
Juan Carlos García Céspedes
Nuevas técnicas de medición del riesgo de crédito
The first two parts of this article are a review about some techniques and methodologies for credit risk measurement. Firstly some basic concepts as Probability of default (PD), exposure at default (EAD), loss given default (LGD), expected loss (EL) and economic capital are defined. Secondly, a more formal discussion is included about the use of correlations in credit risk and the particular case of a one-factor economy. The third part of this article deals with new rules about capital requirements for credit institutions (Basel II) and how these rules are based on the one-factor model previously described. Finally some thoughts are given about how expected loss and economic capital should be included in loan pricing and profitability measurement.