0000000000082950
AUTHOR
Ana M. Ibáñez
Equity Issues in the Spanish Stock Market: Windows of Opportunity, Earnings Management or Market Timing?
We investigate whether the market sentiment and/or the specific operating performance of firms that conducted an equity issue on the Spanish stock market during the period 1993-2000 are related to the long-run stock-return underperformance in the year following the issue of small and medium firms. Our results reveal that equity issues were conducted by large firms just when the market showed optimistic expectations towards large firms in general. This overoptimism towards large issue firms was related to the 1990s technology boom in the case of initial public offerings (IPO), but we detect earnings management by large firms that conducted a seasoned equity offering (SEO). In this context, s…
The effect of the launch of bitcoin futures on the cryptocurrency market: an economic efficiency approach
We analyze the economic efficiency of the cryptocurrency market after the launch of Bitcoin futures by means of the Data Envelopment Analysis and Malmquist Indexes. Our results show that the introduction of Bitcoin futures did not affect the economic efficiency of the cryptocurrency market. However, we observe that Bitcoin obtained the highest risk-return trade-off due to its liquidity compared to the rest of cryptocurrencies. Therefore, our paper underlines the support of investors on Bitcoin to the detriment of the rest of cryptocurrencies.
Illiquidity Risk and the Long-Run Underperformance of Seasoned Equity Issues in the Spanish Market
This paper presents new evidence on potential risk-based explanations for the low SEO returns in the year after the issue. Specifically, we analyse whether the issue leads to a long-term higher stock liquidity that implies that SEO stocks have lower expected return due to lower exposure to liquidity risk factor. Therefore, we investigate if Spanish SEO firms experience significant changes in long-term liquidity after the issue. Results suggest that SEO-firm liquidity increases significantly in the year after the issue. Finally, we explore the post-performance of SEO firms explicitly accounting for liquidity risk. In particular, we employ the three factor model by Fama and French (1993) exte…
Stress responses in citrus peel: Comparative analysis of host responses to Huanglongbing disease and puffing disorder
Abstract A comparison between transcriptomic responses to puffing disorder and Huanglongbing disease was conducted to decipher differences and similarities in gene and pathway regulation induced by abiotic (puffing) and biotic stresses (Huanglongbing) in citrus peel tissues. We functionally analyzed two previously published datasets: the first obtained for the study of puffing disorder using an Affymetrix citrus microarray and the second consisting of a deep sequencing analysis of symptomatic responses to Huanglongbing disease. Transcriptomic data were mined using bioinformatic tools to highlight genes and pathways playing a key role in modulating responses to different types of stress in c…
Options and Accounting Information: Empirical Evidence in Stock and Derivative Markets
This study investigates the informational role of options trading in the price discovery process around the dissemination of accounting information, specifically annual and quarterly earnings announcements. Firstly, we examine the effect of options markets by analyzing stock market reaction to earnings news conditional on the availability of options markets. Secondly, we examine options-trading activity around the release of earnings news. Results show that when options trading is available, the options market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed tra…
Identifying Host Molecular Features Strongly Linked With Responses to Huanglongbing Disease in Citrus Leaves
© 2018 Balan, Ibáñez, Dandekar, Caruso and Martinelli. A bioinformatic analysis of previously published RNA-Seq studies on Huanglongbing (HLB) response and tolerance in leaf tissues was performed. The aim was to identify genes commonly modulated between studies and genes, pathways and gene set categories strongly associated with this devastating Citrus disease. Bioinformatic analysis of expression data of four datasets present in NCBI provided 46–68 million reads with an alignment percentage of 72.95–86.76%. Only 16 HLB-regulated genes were commonly identified between the three leaf datasets. Among them were key genes encoding proteins involved in cell wall modification such as CESA8, pecti…
El papel de la liquidez en el efecto de la nueva información. El caso de Latibex
En 1999 se creó en España el mercado Latibex destinado a la contratación en euros de valores de las principales empresas latinoamericanas. Desde su creación este mercado se ha caracterizado por tener una menor actividad negociadora y menor liquidez que la existente en los mercados latinoamericanos de origen. El objetivo del trabajo es analizar si el efecto de la información trasmitida por el anuncio de ganancias trimestrales es diferente en ambos mercados, considerando los diferentes niveles de liquidez y actividad negociadora que presentan ambos mercados.Los resultados obtenidos confirman que el anuncio de ganancias es una información relevante para el valor de la empresa. Sin embargo, es …
Information processing in the stock market around anticipated accounting information: earnings release
Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings announcements on information asymmetry. Specifically, we investigate whether liquidity suppliers value the possibility of trading with informed agents and whether market behaviour reflects this. To achieve this objective, we take into account the sign of the surprise, the quarter of the announcement, the quantity of previous information and the quality of the information released. One of the main results of…
Is the long-run underperformance of seasoned equity issues irrational? Evidence from Spain
Abstract We investigate if the long-run underperformance in the year after the issue of a sample of Spanish SEO firms is related to behavioural biases that lead investors to slowly adjust their pre-issue overoptimism. We also examine the existence of arbitrage costs that preclude mispricing from being corrected rapidly by sophisticated investors who act as arbitrageurs. Our findings support the contention that small SEO firms are overpriced at the time of the issue and suggest that their post-underperformance is related to arbitrage costs, where transaction costs play an important role although holding costs do not.
Information and Investor Behavior Surrounding Earnings Announcements
Preliminary version The goal of this paper is to analyze the impact of annual earnings announcements on the market through the order flow data in addition to the usual transaction data. In this respect, examining order flow data can potentially reveal valuable information which is not available from transaction data. In fact, the data allow us to test hypotheses about asymmetric information and investor behavior and to test if the behavior varies with investor sophistication. In addition, the paper tries to identify the determinants of the impact on a firm's value using assumptions about investor behavior.
Herding in the cryptocurrency market: CSSD and CSAD approaches
Abstract We analyse the existence of herding in the cryptocurrency market through the cross-sectional standard (absolute) deviation of returns. Our results show that extreme dispersion of returns is explained by rational asset pricing models although it is possible to observe herding during down markets, which highlights the inefficiency and risk of cryptocurrencies. We also observe that the smallest digital currencies are herding with the largest ones, thus traders base their decisions on the performance of the main cryptocurrencies. However, the herding phenomenon cannot be solely attributed to Bitcoin, since the rest of the market is not herding with the main cryptocurrency.
The Underpricing of Spanish REITs When Going Public
This study analyses underpricing in a sample of 41 Real Estate Investment Trusts (REITs) from the Spanish market between November 2013 and January 2019. The results show a significant underpricing on the initial-day (either when we compute raw or market-adjusted initial returns) concentrated in the primary market. Besides, price adjustment continues until the third day as we find significant raw and market-adjusted buy-and-hold returns. This underpricing is not accounted for by the theories of information asymmetry but instead by some signalling theories related to capital structure, by the pre-listing stock market conditions and by the peculiarities of the market analysed.
Semi-strong efficiency of Bitcoin
Abstract This research examines the semi-strong efficiency of Bitcoin in the Bitstamp and Mt.Gox markets, showing how the digital currency responds to monetary policy and Bitcoin events. On the one hand, we observe that Bitcoin has become more efficient over time in relation to its own events. On the other hand, Bitcoin is not affected by monetary policy news, highlighting the absence of any kind of control on Bitcoin. These findings are relevant for investors and policymakers since Bitcoin is a financial asset without any connection to the measures of central banks.
Weak efficiency of the cryptocurrency market: a market portfolio approach
ABSTRACTCryptocurrencies have attracted the attention of many investors and policymakers given the increase in popularity of Bitcoin. In this context, we analyse the cryptocurrency market by means ...
Operating and stock market performance of state-owned enterprise privatizations: The Spanish experience
Abstract We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOEs and privately-owned firms. We find significant operating improvements in Spanish SOEs after the privatization. Specifically, they show significant increases in income efficiency, real sales and employment. Spanish governments tried to minimize the foregone proceeds when selling SOE shares and underpriced them lower than private firms. We relate these results with the pressure of the Maastricht Treaty fiscal criteria, as well as lower informatio…
The Informational Role of Thin Options Markets: Empirical Evidence of the Spanish Case (El Papel Informativo De Los Mercados De Opciones Estrechos: Evidencia Empprica Del Caso Espaaol)
English Abstract: This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options-trading activity before the release of earnings news (including the announcement period). Results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings…
Insider Trading and Market Behaviour Around Takeover Announcements in the Spanish Market
As microstructure models assume informational asymmetries among investors, the possibility of insider trading is a sound reason for liquidity suppliers to increase the bid-ask spread. In this way, the tested effect that takeover announcements have on target firm returns becomes a strong motive for trading with insider information. In this paper we firstly investigate whether liquidity suppliers value the possibility of trading with informed agents in this sort of event. We analyse the adverse selection cost from bid-ask spread behaviour around takeover announcements. We find that liquidity suppliers enlarge adverse selection cost suggesting that they value the possibility of facing to insid…
Transcriptome and metabolome analysis of citrus fruit to elucidate puffing disorder.
a b s t r a c t A systems-level analysis reveals details of molecular mechanisms underlying puffing disorder in Citrus fruit. Flavedo, albedo and juice sac tissues of normal fruits and fruits displaying symptoms of puffing disorder were studied using metabolomics at three developmental stages. Microarrays were used to compare normal and puffed fruits for each of the three tissues. A protein-protein interaction network inferred from previous work on Arabidopsis identified hub proteins whose transcripts show significant changes in expression. Glycolysis, the backbone of primary metabolism, appeared to be severely affected by the disorder, based on both transcriptomic and metabolomic results. …