The Spanish Review of Financial Economics最新文献

Banking union is the most ambitious European project undertaken since the introduction of the single currency. It was launched in the summer of 2012, in order to send the markets a strong signal of unity against a looming financial fragmentation problem that was putting the euro on the ropes. The main goal of banking union is to resume progress towards the single market for financial services and, more broadly, to preserve the single market by restoring the proper functioning of monetary policy in the eurozone through restoring confidence in the European banking sector. This will be achieved through new harmonised banking rules and stronger systems for both banking supervision and resolution that will be managed at the European level. The EU leaders and co-legislators have been working against the clock to put in place a credible and effective set-up in record time, amid intense negotiations (with final deals often closed at the last minute) and very significant concessions by all parties involved (most of which would have been simply unthinkable just a few years ago). Despite the fact that the final set-up does not provide for the optimal banking union, we still hold to its extraordinary political value and see its huge potential. By putting Europe back on the right integration path, banking union will restore the momentum towards a genuine economic and monetary union. Nevertheless, in order to put an end to the sovereign/banking loop, further progress in integration is needed including key fiscal, economic and political elements.

The aim of the paper is to analyze the effect of European financial integration on economic growth. We focus on how the international financial crisis that started in 2007 has affected integration and growth. By combining information at country, sector and firm level, we quantify the effect of financial integration on financial development and therefore on economic growth. Our results illustrate that until the outbreak of the crisis, a significant part of financial development is attributable to progress in integration, with a positive contribution of around 0.04 pp to the EU-15 countries’ GDP growth over the period 1999–2007 of advance in integration. However, during the crisis, the decrease in the degree of integration has had a negative impact on financial development and economic growth. Consequently, the European banking union is essential given the economic benefits associated with financial integration.

In industries where consumers prefer to make all their purchases from a single company (for example, a supermarket), companies tend to offer a greater variety of products. By using that strategy, they succeed in growing their market share in the industry and gaining market power. This behaviour is also typical of the financial industry, where consumers usually prefer to concentrate all their financial operations in a single entity. In Spain, the big growth of mutual funds since 1995 and the model of universal banking, suggest the existence of these cross-effects on demand (spillovers). In this paper, we provide empirical evidence of the presence of these effects in the Spanish mutual fund market. Moreover these effects are stronger than in the US market. The intensity of the effects appears to be greater in the retail mutual fund segment than in the wholesale segment. This result would be consistent with the relative increase in the number of funds offered by management companies, the higher fees charged, and the stronger degree of concentration of fund families found in the retail segment.

This paper provides empirical evidence of how a firm's growth opportunities shape the diversification–value relationship on a sample of U.S. companies between 1998 and 2010. Our findings suggest that the negative relationship between diversification and a firm's value may reverse at high levels of diversification, and that such a U-form diversification–value relation is partly mediated by a firm's growth opportunities. Results are robust to various model specifications and after controlling for endogenous self-selection of the diversification decision.

This study investigates impact of pre-issue analysts coverage on IPO performance i.e. subscription rate, underpricing, volatility and liquidity. Using pre-issue analyst's recommendation for a sample of 157 IPOs issued in India during the period 2007–2012, we find that analysts’ recommendation reduce underpricing. Precisely, more analysts participated in issuing recommendation (including favorable recommendation) reduce underpricing. The result also shows that favorable recommendation issued by more number of participating analyst's boosts confidence of potential investors and hence probability of getting success for IPOs in terms of oversubscription is more. Further, affiliated analysts are associated with lesser oversubscription rate. Additionally, independent analyst's recommendation is inversely associated with underpricing. In support of IPO grading, which is a unique practice in India, we find that superior grading reduce underpricing and attract more response from investors. Further, evidence suggests that pre-issue analyst coverage increase oversubscription rate, while reduce listing day volatility and liquidity for IPO stocks.

This paper focuses primarily on aggregate default and illiquidity in the credit default swap (CDS) market. We examine how changes in aggregate default and illiquidity are related to changes in spreads of CDS portfolios sorted by credit quality and maturity. We document that aggregate default and liquidity are important determinants of CDS spreads. The default and illiquidity CDS betas across credit quality portfolios and maturities are positive and statistically significant. Low credit rating CDS spreads are highly sensitive to aggregate default and illiquidity shocks relative to high credit quality CDS spreads.

The recent financial crisis in Europe has been especially interesting, since it started mainly as a private sector (banking) phenomenon but then evolved into a public (sovereign debt) crisis. Given that prices of a financial asset must reflect the risks associated to said asset, we expect the relationship between financial markets related to “private” and “public” assets to have changed fundamentally during the crisis: private markets should have led the incorporation of information during the early years of the crisis whereas the markets for government securities should have attained preeminence during the years of the sovereign debt crisis. We investigate this change in the leading role of information (risk) incorporation by looking at the relationships between the markets for sovereign CDSs, sovereign bonds and equity for thirteen European countries during the period 2008–2012. Our results suggest that during 2008–2009 equity markets led the process of incorporation of new information but during 2010 this leading role was assumed by sovereign CDS markets, thus suggesting a private-to-public risk transfer during the subprime crisis and a reversal to a public-to-private risk transfer during the sovereign debt crisis. In supplementary analyses we show, first, that the role of CDSs with respect to the other two markets is state dependent, i.e., sovereign CDSs play a stronger role in economies with higher perceived credit risk. Second, we perform a price discovery analysis between CDS markets of the different European countries, showing evidence that during the years 2007–2009 the Spanish CDSs led the price discovery process, while the Italian and French CDSs took over in 2011, results which are consistent with trading volume in the CDS markets.

In this paper, we compute the implied equity duration (IED) for the non-financial companies listed in the Spanish stock market for the first time, to the best of our knowledge. This measure of risk adapts the traditional expression of the duration of a bond to the stock context. We also conduct a sector analysis and a size analysis using the Ibex indices composition. The results are then compared with those from the U.S. stock market and related to other proxies of equity risk. This analysis shows that there is a significant relation between the IED and the earnings to price ratio, the book to market ratio and the sales growth rate, but not to capitalisation, thus excluding the presence of a size effect. The results support the relation of the IED with the high minus low factor, thereby suggesting that the latter is subsumed in this measure.