The Spanish Review of Financial Economics最新文献

The main purpose of this paper is to assess the simultaneous impact of regulatory pressures on banks’ capital and risk-taking behavior using a panel of 24 banks operating in the MENA region over the period 2004–2012. Using many panel data estimation techniques, we provide evidence that prudential regulations fail in reducing banks’ risk-taking incentives and in increasing capital. We find also that bank profitability is positively associated with capitalization level suggesting that the underdevelopment of financial markets in MENA countries leads banks to rely more on internal resources to build their capital buffer. Our findings reveal also a strong negative relationship between the bank size and risk suggesting that large banks have more experience in managing their risk levels through diversification.

The goal of this article is to specify the role of financial analysts’ consensus in stock markets, specifically, the Eurostoxx Market, from January 2002 to December 2009. Financial analysts issue reports about companies quoted on the stock market. For each company and for a given time period, each report contains an estimate of its future earnings per share and dividends, its target price for the next twelve months and an investment recommendation such as ‘buy’, ‘sell’, or ‘hold’. Some firms collect these reports to calculate financial analysts’ consensus estimates. This article concludes that financial analysts’ consensus perform several functions: announcing in advance unexpected price changes (‘surprises’) through the target price, confirming previous estimations through revisions, and reflecting analysts’ convictions through the interpretation of their estimates. This role is modest but statistically significant in this market.

We propose a new synthetic liquidity indicator that summarizes the information of a broad set of market liquidity measures for both sovereign and corporate fixed income markets in the US. Our index is based on seventeen liquidity measures that cover the main dimensions of market liquidity. The methodology to compute the index consists of two steps. First, we carry out a transformation of the individual liquidity measures based on that of Holló et al. (2012) for the CISS—Composite Indicator of Systemic Stress—and second, we weight the transformed variables using a principal component analysis. The indicator shows that liquidity in US fixed income markets has been impaired after the global financial crisis mainly as a result of weaker liquidity conditions in US Treasury markets, whereas those in the corporate debt market remained stable.

The relevance of systemic risk was highlighted by the economic and financial crisis starting in mid-2007. Supervisors and regulators recognized the need to improve the process of identification, management and mitigation of systemic risk. This paper introduces a Spanish Financial Market Stress Indicator (FMSI), similar to the “Composite Indicator of Systemic Stress” that Holló et al. (2012) proposed for the euro area as a whole. This indicator, which represents a real-time measure of systemic risk, tries to quantify stress in the Spanish financial system and describes the contribution of each financial market segment (bond market, equity market, money market, financial intermediaries, forex markets and derivatives) to the total stress in the system. The methodology takes into account time-varying correlations between market segments. The study analyses the ability of the FMSI to identify past periods of high financial stress and presents two econometric approaches with the aim of classifying observations into different stress regimes and of determining if financial stress has a negative impact on the real economy.

This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in the same way as individual risks are aggregated in order to quantify overall portfolio risk. The aggregation takes account of the time-varying cross-correlations between the sub-indices, using a multivariate GARCH approach. This is able to capture abrupt changes in the correlations. We evaluate the indicator on its ability to match the results of a survey conducted among financial market experts to determine the most liquidity stressful events for the Italian financial markets. The results show that the systemic liquidity risk indicator accurately identifies events characterized by high systemic risk.

The present paper analyzes the effects of ECB monetary policy on the Spanish stock market returns. The data sample run all over the euro period: from January 1999 to December 2014. This period is split into two well-defined sub-periods based on the structural change brought about by the financial crisis in August 2007. Spanish stock market returns are approximated by the returns of the selective index Ibex 35 while monetary policy of the Eurozone is measured by the nominal target interest rate on the last day of the month. With regard to the methodology, as I am interested in the long-term relationship between the two variables aforementioned, a structural vector autoregressive (SVAR) model. The results show that monetary policy shocks have a considerable effect on the Spanish stock market returns in the long run. The results also show that monetary policy shocks of the ECB monetary policy lead to a different long-term effect in the pre-crisis period and the post-crisis sample.

In this paper we study the equity premium predictability in eleven EuroZone countries. Besides some traditional predictive variables, we have also chosen two other that, to our knowledge, have never been previously used in the literature: the change in the OECD normalized composite leading indicator, and the change in the OECD business confidence indicator. The models based on the OECD variables outperform the historical average, in particular during the early stages of the recent financial crisis. We also show that the forecasts, based on these predictors, provide substantial utility gains for a mean-variance investor.

The potential relationship between fund flows and performance is a remarkable topic in the mutual fund industry that has been explored by many empirical academic papers. In this work, it is shown that investors in Spanish equity funds respond to past good performance by increasing their (net) purchases, and to past poor performance by reducing their (net) purchases. However, the relationship between flows and performance appears to be non-linear. This non-linearity is different from the one observed in most of the previous research papers. These papers did not find any response to poor performance. Net purchases, purchases and redemptions are analysed separately and, as a new feature, the retail and wholesale markets of mutual funds are addressed. The comparison of the two markets reveals some interesting differences on the determinants of the financial decisions regarding purchasing or selling shares of equity funds. It was also found that investor sensitivity to poor performance is reduced in the case of more visible funds. This puzzling result, which originates in the retail segment, could be explained in terms of the market power of fund families.

The principal aim of this study is to analyze the effect of bankruptcy causes in its resolution. In furthering this purpose, a bankruptcy index is proposed, like a combination between the profitability and the leverage of bankrupt firms. This index tries to determine if the origin of the bankruptcy is mainly economic, financial or a combination. This study uses a sample of 1025 Spanish firms that went bankrupt in 2008 and obtained a resolution (reorganization or liquidation) by the end of 2012. The results reveal that a high bankruptcy index, which means low viability, reduces the reorganization probability of bankrupt firms. In addition, these results show that Spanish bankruptcy proceedings have a certain degree of efficiency, in such a way that the viable firms are reorganized and the nonviable firms are liquidated.