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Revisión De Expectativas En Las Presentaciones De Empresa Ante Los Analistas Financieros

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Author Info

  • Juan Carlos Gómez Sala

    ()
    (Universidad de Alicante)

  • Ana Gil

    (Universidad de Alicante)

  • Francisco Poveda

    (Universidad de Alicante)

Abstract

This study examines the reactions of the Spanish capital market and financial analysts to CEO presentations organized by the Spanish Society of Financial Analysts. The sample contains 156 presentations that took place during the period 1994-2000. To estimate the effect of these meetings -on stock prices we use three different specifications of the market model: ordinary least squares (OLS), GARCH (1,1) and non-parametric models, combined with several test statistics. The results show significantly positive abnormal returns on the presentation date and on the day following it. The non-parametric estimation of the market model seems to be the best specification for detecting price response to presentations. The stock price movement is associated with exceptionally high trading volumes on the presentation date and the day after, without any parallel increase in the daily average size of trades. Financial analysts revise their earnings per share forecasts upward beginning one month before the presentation date and ending three months later. We find no evidence that suggests that market¿s reaction is associated with either undervaluation, risk or the previous information level proxied by size. En este trabajo se analiza la reacción del mercado y de los analistas de inversión en una muestra de 156 presentaciones de empresa organizadas por el Instituto Español de Analistas Financieros en el periodo 1994-2000. El efecto precio se ha estimado con tres especificaciones distintas del modelo de mercado: MCO, GARCH(1,1) y no paramétrica, combinados con distintos estadísticos de contraste. Se han detectado rentabilidades positivas anormalmente significativas el día de la reunión y el siguiente. La estimación no paramétrica del modelo de mercado es la que mejor capta el efecto precio producido por las presentaciones. El movimiento de los precios se asocia a volúmenes de negociación excepcionalmente elevados en los mismos días, que no van acompañados de un aumento paralelo en el tamaño medio diario de las transacciones realizadas. Los analistas financieros corrigen anormalmente al alza sus predicciones de beneficios por acción desde el mes anterior a la reunión hasta tres meses después de la misma. Las revisiones contemporánea y posterior, podrían deberse a la información obtenida en la propia reunión y al retardo con que los analistas suelen actualizar sus predicciones, respectivamente. No existen indicios de que la reacción del mercado esté relacionada con correcciones en la valoración de las acciones, el nivel de riesgo, o el nivel previo de información aproximado por el tamaño.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2002-19.pdf
File Function: Fisrt version / Primera version, 2002
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-19.

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Length: 37 pages
Date of creation: Aug 2002
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2002-19

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Related research

Keywords: revelación voluntaria; analistas de inversión Voluntary disclosure; security analysts; CEO presentations.;

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