The Spanish Review of Financial Economics最新文献

This paper tests the existence of market discipline in the Latin American banking system using a variety of methods. It re-examines traditional tests on depositor discipline, controlling banks’ internal capital demand. In addition, it explores whether borrowers discipline bank risk-taking. This new hypothesis points out that low-quality banks issue fewer loans and charge lower interests rates. Contrary to the general view, our findings suggest weak presence of market discipline. These results are robust to different indicators of the key explanatory variables and econometric methods. For policymakers, this implies a necessity to restore market discipline following the Basel Accord.

The predictability of market performance is a matter of interest not only for traders and investors in financial market instruments but also for those attempting to understand the dynamics of these markets. According to the efficient market hypothesis, the price of an asset is a perfect reflection of all the information available, and consequently, it is not possible to capitalize on “undervalued or overvalued” asset; thus making market price prediction practically impossible. However, there are several groups of reasons (for example, transaction costs) that have led some economists to believe that prices are at least partially predictable. In this context, this study tries to evaluate the gradual information diffusion theory proposed by Hong et al. (2007) where industries with valuable, fundamental economic information tend lead the equity market as well as the economic activity. This hypothesis is not supported in the case of Spain, where company characteristics, and especially size, may be more relevant in understanding lead-lag patterns.

The aim of this paper is to analyze the determinants of sub-central government debt in Europe (Italy, France, Austria, Germany, Belgium and Spain) through estimation for each State based on corresponding panel data from 1996 to 2010. Furthermore, we estimate the debt model using a joint sample, consolidating conclusions on the most influential variables in terms of public debt. A comparative analysis of institutional frameworks in Europe shows that relationships between central and sub-central tax authorities have common traits, although the extent of change in each country remains unknown. In sum, this study shows that sub-sovereign government budgets are counter-cyclical, that economies of scale are present, which the golden rule of public finance is followed, that population growth and lower per capita financing lead to higher debt levels, and that regions characterized by higher debt/GDP ratios tend to have lower future deficits.

Because of the noises from the internal and external factors, the uncertainty increases in the financial market. The challenges of nonlinearities, volatility clusters, and multiple structural breaks which entail risk. Due to the risk, the prediction task becomes more complex. First, this work proposes a hybrid model to predict the one-day future price for the stocks; MSFT, Apple, Goldman Sachs and JP Morgan use the Markov switching model coupled with radial basis function network for prediction. Second, this paper forecasts the buy/sell trading strategy using the proposed hybrid method. Also, this paper explores the risk of investment decisions and the trading performance based on different value at risk (VaR) methods. Finally, by comparing the proposed model results with the pure linear and non-linear models, the prediction efficiency is evaluated. The experimental results indicate the investment risk, and the investment trading strategy provides a better accuracy with the best investment decision for the selected stocks.

The financial disintermediation mechanism known as “loan-based-crowdfunding” has recently come under regulation in several countries. This competitive investment and finance vehicle is already well established in the US and British markets.

By compiling empirical data from a reference crowdfunding platform, this article compares loan-based crowdfunding with traditional investment vehicles such as investment funds, equities or pension funds.

The conclusion of the study is that saving through crowdfunding allows the optimisation of a portfolio comprising both institutional and retail investors.

This paper analyses the effect of rating signals on banks’ stock market returns during the period 2004–2012. The results obtained show that investors respond to rating announcements. Specifically, it is found that before the financial crisis, positive rating signals issued by Standard and Poor's and Moody's, and negative ratings signals issued by Fitch and Standard and Poor's, have a significant effect on the return on banks’ shares. Conversely, in a context in which the banks experienced a significant worsening of their financial situation and the rating agencies were in the spotlight, investors reacted not only to rating downgrades as expected, but also to rating upgrades. Furthermore, the results suggest that investors do not react with the same intensity to the ratings signals issued by the rating agencies. Analysis of the causal relationship between rating signals and returns on banks’ shares indicates that the policies of the rating agencies are not totally independent of changes occurring in the financial markets.

After the implementation of MiFID (I and II), competition is a reality in all the European Cash Markets. A natural consequence of competition is that order flow is fragmented in different type of venues. This paper focuses on the consequences of fragmentation on the local market liquidity of the Spanish Stock Exchange (hereafter SSE). Our main result shows that, for our sample, fragmentation is relevant determining the cost of liquidity. Following the analysis of Degryse et al. (2014), the linear component of fragmentation has a positive and significant effect on liquidity (reduces spreads and increases Kyle's Lambda) and the quadratic term has a negative and significant effect on liquidity (increases spreads and reduces Kyle's Lambda). So, fragmentation is good for liquidity but beyond a given level of fragmentation, increasing it is worse for the liquidity of the regulated market.

Within the framework of asymmetric information, the present work has the aim of analysing the influence of relationship banking in bankruptcy resolution, with particular reference to firm size. The obtained results, from a sample of 622 micro- and small and medium-sized enterprise (SME) non-financial and unlisted firms that filed for bankruptcy in 2010 (resolved by the end of 2014), allow us to conclude that: (1) SMEs are more likely to survive than micro firms; (2) the number of relationships banking is not relevant; (3) maintaining relations with one of the big banks, especially the largest bank in a country, increases the likelihood of reorganization, as opposed to liquidation.

We study the determinants of flows and their impact on managers’ abilities in UK conventional and socially responsible (SR) pension funds. We examine three aspects barely documented in pension funds. First, flows may be affected by the fact that pension fund investors are restricted because they cannot disinvest until retirement, although they can switch the investment to another fund. Second, as both pension funds and SR funds are concerned with social welfare, SR pension funds present a special social interest and possibly different behavior. Third, the influence of flows on style timing abilities, as far as we are aware, has not been studied before. Our results indicate that both pension funds experience greater flows when they are younger and smaller, and have received flows in the past. Managers present negative stock-picking and poor timing abilities, independently of flows.

Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises.