The Spanish Review of Financial Economics最新文献

Previous research on the effects of constraints to take unbounded positions in risky financial assets shows that, under the logarithmic utility function, multiplicity of equilibrium may emerge. This paper shows that this result is robust to either constant, decreasing or increasing relative risk aversion obtained under the generalized logarithmic utility function.

As an update of the well-known PIN measure, Easley et al. (2012a) have developed a new measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading or VPIN. Order flow toxicity makes reference to adverse selection risk but applied to the world of high frequency trading (HFT). We provide a detailed description of the VPIN estimation procedure paying special attention to the main innovations introduced and the key variables of this novel tool. By using a sample of stocks listed on the Spanish market, we compare VPIN to PIN. Although VPIN metric is conceived for the HFT environment, our results suggest that certain VPIN specifications provide proxies for adverse selection risk similar to those obtained by the PIN model. Thus, we consider that the key variable in the VPIN procedure is the number of buckets used and that VPIN can be a helpful device which is not exclusively applicable to the HFT world.

Our study extends prior research on the investment decision-making process focusing on investors’ perception. On the basis of the Starbuck and Milliken (1988) model that divides perception into two stages, noticing and sense making, we investigate the driving factors of perception and provide empirical evidence on the interaction between environmental factors and individual traits. We test the empirical predictions of our model with an experiment on a takeover bid. Our results show that: (a) the distinction between noticing and sense making is significant to examine investors’ information processing, since the driving factors and interactions of the two stages are different, (b) a high ambiguity context negatively influences the two phases of investors’ perception; while the individual cognitive profile affects this negative influence on noticing, it does not affect it on sense making, (c) information clarity, without considering other contexts or personality factors, improves noticing but it does not produce significant effects on sense making, (d) the reliability of the source of information only has an effect on noticing and sense making when it interacts with other context variables and the cognitive profile affects this influence, and (e) the most relevant cognitive variable in noticing is ambiguity–tolerance, whereas in sense making it is intuition.

Recent literature has proved that many classical very important pricing models of Financial Economics (Black and Scholes, Heston, etc.) and risk measures (VaR, CVaR, etc.) may lead to “pathological meaningless situations”, since there exist sequences of portfolios whose negative risk and positive expected return are unbounded. Such a sequence of strategies will be called “good deal”.

This paper focuses on a discrete time arbitrage-free and complete pricing model and goes beyond existence properties. It deals with the effective construction of good deals, i.e., sequences $(y_m{)}_{m=1}^{\infty }$ of portfolios such that$\left(\mathrm{VaR}\right(y_m),\mathrm{CVaR}(y_m),\mathrm{Expected}\_\mathrm{return}(y_m\left)\right)$tends to (− ∞ , − ∞ , + ∞). Under quite general conditions the explicit expression of a good deal is given, and practical algorithms are provided. The sensitivity of our results with respect to measurement errors or dynamic changes of the parameters is analyzed, and numerical experiments are presented with the binomial model.

In this paper we approach the inflation expectations and the real interest rate by using the information contained in the yield curve. We decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. Under this approach we could obtain a measure of inflation expectations free of any risk premia. Moreover in our estimation we avoid imposing arbitrary restrictions as is mandatory under other methodologies based on unobserved components.

The empirical exercise has been applied to an economy – like the Spanish one during the 90s – with an important convergence process and a change in the monetary policy regime. The results suggest that the evolution of inflation expectations has been smoother than was expected.

While the title may lead you to think that this paper is about spiders, it is about firms in the United States reporting relevant business information to the Securities and Exchange Commission (SEC). The paper is meant to serve as a primer for economists in the computing details of searching for information on the Internet. One important goal of the paper is to show how simple open-source computer scripts can be generated to access financial data on firms that interact with regulators in the United States.

The aim of this paper is to analyze the diversification decision in Mergers and Acquisitions (M&As) and how this decision is valued by acquiring shareholders, considering the influence of the legal and institutional environment. Using a sample of 447 M&As announced by European firms, which acquire a target in any country in the world over the period 2002–2007, we find that the weak legal and institutional environment in the bidder country has a positive impact on the diversification decision. After controlling the diversification endogeneity, we observe that acquiring shareholders value diversified M&As negatively in countries with strong legal and institutional environment. This result indicates that the benefits of the internal capital market effect dominate the agency conflicts’ effect. We also observe that acquiring firms with concentrated ownership structures value diversified M&As negatively in countries with strong legal and institutional environment.