Heteroskedasticity in returns may be explainable by trading volume. We use different volume variables, including surprise volume---i.e. unexpected above-average trading activity---which is derived from uncorrelated volume innovations. Assuming weakly exogenous volume, we extend the Lamoureux and...

Existe un diferencial entre el valor de mercado del patrimonio y el valor contable. Este se relaciona a los activos intangibles. Un análisis de regresión, permite concluir que el retorno total al inversor, la rentabilidad sobre activos y las utilidades totales, en conjunto con alguna (todas...

EXTRACTO: El objetivo de esta investigación es contrastar las dos metodologías que han sido utilizadas normalmente para el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y MacBeth (1973); y la denominada “impar-par”...

El caso analiza las especiales circunstancias que vivió el Banco Galicia y Buenos Aires S.A. durante el “corralito” que afectó al sistema financiero argentino durante 2001. Adicionalmente, pretende que los alumnos asuman la figura del Presidente del Banco y de la Sociedad Controladora de...

Al estudiar el mercado de renta fija en Chile a septiembre de 2002, se puede realizar dos conclusiones básicas. Primero, uno de los problemas iniciales a los que se enfrenta el gestor es que, en el universo considerado, muy pocos instrumentos entregan los vencimientos necesarios para cumplir...

This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...

The aim of this paper is to determine the potential profitability of technical analysis applied on the foreign exchange market. Eight simple rules of trading are tested in five markets. Only long positions are tracked and reported. When neither commissions nor indexation are included in the...

This paper reconsiders return-volume dependence for the U.S. and six international equity markets. We contribute to previous work by proposing surprise volume as a new proxy for private information flow and apply extreme value theory in studying dependence for large volume and return, i.e. under...

Several trading rules are analyzed using all daily returns on every Ibex future contracts, since market data from MEFF was available on April 20th, 1992 till March 31st, 2000. The analyses are: calendar anomalies and technical indicators based on moving averages. In an informal test, results are...

The model of Technical Analysis goes against the fulfillment of the weak form of the Hypothesis of Efficient Market raised by Fama (1970). Nevertheless, recently some studies provide evidence with probable prediction of the expected returns based on the past returns. In particular, the...