Latibex is an international market where major Latin American firms are traded in euros. We investigate whether the price impact of the quarterly earnings announcement are different in Latibex and in Latin American markets due to the different degree of liquidity and trading activity in both...

[ES] Una de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan los mercados financieros, despertando quizá un mayor interés el de...

[ES] El paradigma de la eficiencia ha sido puesto en entredicho en las últimas décadas como consecuencia de la obtención de rendimientos anormales, estadística y económicamente significativos, durante amplios periodos de tiempo tras algunas importantes decisiones empresariales. No obstante,...

One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on price time–series statistical...

Market efficiency has been questioned in the last years as several papers found abnormal returns economically and statistically significant over long horizons after main firm decisions. Nevertheless, the conceptual and statistical problems related with the estimation and test of long-term...

Previous results are ambiguous about whether prices fully reflect value creation or destruction at the time of the acquisition announcement when samples are split into listed and unlisted target firms. We find that the Spanish market fully reacts to the acquisition announcement (showing value...

We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOE and privately-owned firms. We find significant...

We investigate whether the market sentiment and/or the specific operating performance of firms that conducted an equity issue on the Spanish stock market during the period 1993-2000 are related to the long-run stock-return underperformance in the year following the issue of small and medium...