Open Access
The role of small bettors in price formation in betting exchanges
(Routledge, 2020) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Institute for Advanced Research in Business and Economics - INARBE
The presence of small bettors in betting exchanges generates mispricing, which can lead to exploitation by informed traders or result in permanent price deviations. This paper shows that mispricing from this source is also dependent upon variables of established relevance such as tournament round, the level of attention to the event, the volume of the betting, and bet type, further confirming these findings by means of cumulative accuracy profile (CAP) curves. It also offers evidence of the relevant role played by the type of device used to place the bet, whereby higher mispricing is observed in live bets placed via a mobile device, which appears to be associated with impulsive betting. This last finding could have practical implications for the regulation of the use of mobile devices to access gambling platforms.
Open Access
The effect of US holidays on European markets: when the cat's away...
(Wiley, 2013) Casado Sorozabal, Jorge; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly can not be explained by seasonal effects, such as the day of the week effect, the January effect or the pre-holiday effect, nor is it consistent with behavioral finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation.
Open Access
Sentiment-prone investors and volatility dynamics between spot and futures markets
(Elsevier, 2015) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a representative set of European indexes (CAC40, DAX30, FTSE100, IBEX35 and Eurostoxx50). Consistent with expectations, we have shown that the correlation is not stable with the level of investor sentiment. More specifically, the correlation between the two markets diminishes significantly during periods of high investor sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results are compatible with behavioural finance theories suggesting that high investor sentiment leads to an increase in noise trading and a decline in arbitrage activity due to institutional investors’ attempts to limit their risk exposure.
Open Access
The role of sentiment and stock characteristics in the translation of analysts’ forecasts into recommendations
(Elsevier, 2019) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
The purpose of this paper is to further understanding of the determinants of analysts’ translational effectiveness and, specifically, the role of stock characteristics in the impact of sentiment in the translation of analysts’ forecasts into recommendations. We construct a proxy of intrinsic value of a stock based on that of Ohlson (1995), which incorporates all the information contained in the analysts’ earnings forecasts. Our results show that, although analysts do translate their earnings forecast valuations into recommendations, the effectiveness of this process is reduced by investor sentiment only in highly sentiment-sensitive stocks. This suggests the degree of analyst coverage as a potential conditioner of the observable results in a market. While not totally eliminating this observed effect, the Market Abuse Directive regulation does contribute to reduce the skew between analysts’ earnings forecasts and their recommendations. Finally, analysis of this effect reveals that this kind of skew enables investment strategies yielding positive risk-adjusted returns in highly sentiment-sensitive stocks, during periods of high market sentiment.
Open Access
Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
(AECA, 2014) González Urteaga, Ana; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado que aquellos títulos con mayor riesgo asimétrico proporcionan mayores rentabilidades durante el periodo considerado, en especial aquellos con valores positivos de la medida de coasimetría idiosincrática. Sin embargo, ni los factores de riesgo construidos en base a esta medida, ni el factor de riesgo de coasimetría proporcionan capacidad explicativa a las rentabilidades diferenciales de las carteras convencionales formadas por riesgo de insolvencia, siendo principalmente el factor tamaño (SMB) el que aporta explicación a dichas rentabilidades, tanto en periodos expansivos como durante el periodo de crisis financiera. Los factores de riesgo asimétrico únicamente presentan capacidad explicativa en el caso de carteras con riesgo de insolvencia más extremo y durante el periodo de crisis financiera internacional.
Open Access
El sentimiento del inversor y las rentabilidades de las acciones. El caso español
(AECA, 2013) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
El presente trabajo analiza el efecto del sentimiento en las rentabilidades de los activos del mercado español. Los resultados muestran un efecto significativo del índice de sentimiento local sobre las rentabilidades de los activos del propio mercado, tanto sobre el mercado en su conjunto como en carteras de activos más sensibles por su dificultad de valoración o de arbitraje. También se ha mostrado la existencia de un efecto del sentimiento en dos esferas diferentes, una de ámbito más global y otra de ámbito local independiente de la anterior, probablemente ligada a aspectos institucionales o culturales del mercado. Si bien el primero causa al segundo, no se encuentra evidencia de que el mecanismo de transmisión esté relacionado con la actividad real asociada con los flujos de capitales entre mercados. El análisis del efecto del sentimiento durante la última crisis financiera robustece los resultados. No obstante, el sentimiento global absorbe todo el efecto del sentimiento local lo que deja intuir el carácter global de la crisis actual.
Open Access
Does default probability matter in Latin American emerging markets?
(Taylor & Francis, 2013) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and BTM market variables. Although we find no size effect in any of the markets considered, the BTM effect is very strong in all of them, and our results reveal a consistent relationship, analogous to that found in more developed markets, between default probability and the size and book-to-market variables.
Open Access
Is cognitive bias really present in analyst forecasts? The role of investor sentiment
(Elsevier, 2014) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper analyses four key markets within the European context. In this context, where the level of analyst coverage is lower than in the US setting, we aim to ascertain whether the origin of optimism in analyst forecasts in these markets is mainly strategic or whether it also contains an element of cognitive bias. Despite the fact that forecast errors lack the explanatory power to account for a significant percentage of the relationship between market sentiment and future stock returns, our new tests based on selection bias (SB1 and SB2), in conjunction with an analysis of abnormal trading volume, confirm the presence of both cognitive bias and strategic behaviour in analyst forecasts. This shows that, although regulation can reduce analyst optimism bias, the benefits are constrained by the fact that optimism bias is partly associated with cognitive bias.
Open Access
The effect of a switch of management company on pension plan fees
(Routledge, 2021) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
The impact of a switch of management company on pension plan fees is analysed by comparing the effects on employer-sponsored versus individual defined-contribution private pension plans in Spain. This framework is ideal because the two types differ significantly both in plan governance structure and consequently in the degree of bargaining power held by the decision-maker. In addition, intense bank restructuring, which has greatly modified the Spanish pension plan map, provides an interesting analytical context for the identification of causal links, because it is a scenario that features shocks exogenous to the relationship under analysis. The results show that a switch of management company significantly reduces management fees for employer-sponsored plans when the management change is not due to the bank restructuring process, on the contrary a switch of management company increases fees for individual pension plans.
Open Access
Influence of IPO characteristics on liquidity
(AECA, 2011) Acedo Ramírez, Miguel Ángel; Ruiz Cabestre, Francisco Javier; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
Este estudio examina la relación existente entre las características que definen las Ofertas Públicas de Venta Iniciales (OPIs) y la liquidez de las acciones en circulación tras la ejecución de estas operaciones. Se argumenta que a mayor infravaloración, tamaño relativo y composición minorista de las ofertas, mayor será la liquidez de las acciones tras la admisión a cotización. Los resultados procedentes de una muestra de OPIs del mercado bursátil español revelan que la liquidez, tras la ejecución de estas operaciones, puede ser explicada por las características que las definen. Además, éstos permanecen robustos tras excluir el efecto del mercado e incluir otras características adicionales de las OPIs tales comos compromisos de estabilización, restricciones lockup y reputación de coordinadores, aseguradores y auditores.