We analyze 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 we find a negative risk premium for Argentina and Mexico. The latter effect tends to...

This paper analyses the relationship between proxy variables for informed trading in the options market and a set of exogenous news variables. The aim was to test directly for the presence or absence of informed trading in the options market and for the possible impact of this trading on...

We find persistence in mutual fund performance both over consecutive time periods and in a multi-period setting. There is significant spread, persisting for at least two or three years, between the portfolio with funds from the top past return quintile and those from the bottom past return...

This paper tests the momentum effect in the Mexican Stock Exchange. We document a strong momentum effect for this stock market during the period 1993-2006. In addition, we also find that neither risk factors nor transaction costs can explain the returns of the momentum strategies in this market....

This paper examines the impact of technological alliance announcements in a nonfavorable environment, using event study methodology that includes robust tests to allow heteroskedasticity across firms and over time. The study is based on Spanish data, and focuses on the fact that Spanish market...