Previous evidence has demonstrated that the momentum effect is present in the Spanish stockmarket, and that it can not be explained neither by the CAPM nor the Fama&French (1993) threefactor model. The aim of this paper is to deepen in the possible explanations of such phenomenon byanalyzing two...

Although traditional immunization offers protection against parallel movements of theterm structure of interest rates (TSIR) exclusively, numerous studies have shown that thisstrategy offers near perfect immunization at an empirical level. This work reveals some of thefactors that justify this...

The group of duration models has grown rapidly during last years, offering manynew approaches for interest rate risk management in delta or delta-gamma frameworks.This paper attempts to make up for the lack of empirical evidence concerning theperformance of some of the most realistic duration...

This paper focuses on modelling the short-term interest rate. We estimate and compare different conditional heteroskedasticity models which are divided into three groups: (1) the Levels models; (2) the GARCH models; and (3) the Mixed models which take into account the effects in both (1) and...

The aim of this paper is to investigate the effects of the European Monetary Union on the hypothesis of an integrated European Capital Market from January 1993 to December 2004. The extent of the period and the use of Fama and MacBeth [1973]'s methodology for estimating a large number of...

In this research we investigate whether quarterly earnings announcements are informative using awide sample of firms listed in the Spanish Stock Market (SIBE). We study the period comprised between thethird quarterly of 2002 and the fourth quarterly of 2003. We analyse whether abnormal returns...

In the last years, Spanish firms have attempted to create value for their shareholders.The market value added (MVA) has been proposed by the Stern Stewart Consulting Group asa measure of value creation, and the economic value added (EVA) as an operating measure toimplement this new management...

The momentum effect is perhaps one of the most embarrassing puzzles in the stock marketresearch nowadays. However, such phenomenon has received scarce attention in the Spanish Market.In this paper, we present a meticulous analysis of the momentum profits in this market, with specialconcern on...

This paper analyses the long-run shareholders¿ wealth effect and the firms¿ operating performance of the rights offerings decision in Spain. The evidence shows that the stock price of firms¿ issuing rights substantially under-perform the different benchmarks employed. It has also been...