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El papel de la liquidez en el efecto de la nueva información. El caso de Latibex

Listed author(s):
  • García, C. José

    (Departamento de Finanzas Empresariales, Universidad de Valencia)

  • Herrero, Begoña

    (Departamento de Finanzas Empresariales, Universidad de Valencia, y Departamento de Estudios de la Empresa, Universidad Católica de Valencia San Vicente Mártir)

  • Ibáñez, Ana M.

    (Departamento de Finanzas Empresariales, Universidad de Valencia)

Registered author(s):

    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 markets. Our results suggest that earning announcement is a valuable information that is reflected on prices. However the price adjustment process due to new information takes places in local markets and the changes of prices in Latibex are due to arbitrage between both markets.// En 1999 se creó en España el mercado Latibex destinado a la contratación en euros de valores de las principales empresas latinoamericanas. Desde su creación este mercado se ha caracterizado por tener una menor actividad negociadora y menor liquidez que la existente en los mercados latinoamericanos de origen. El objetivo del trabajo es analizar si el efecto de la información trasmitida por el anuncio de ganancias trimestrales es diferente en ambos mercados, considerando los diferentes niveles de liquidez y actividad negociadora que presentan ambos mercados.Los resultados obtenidos confirman que el anuncio de ganancias es una información relevante para el valor de la empresa. Sin embargo, es en el mercado de origen en el que los precios se ajustan a la información trasmitida, y los cambios observados en los precios en el mercado Latibex son resultado de un proceso de ajuste mediante arbitraje a las variaciones en precios en los mercados de origen.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXXVII (3) (2010)
    Issue (Month): 307 (julio-septiembre)
    Pages: 651-682

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    Handle: RePEc:elt:journl:v:77:y:2010:i:307:p:651-682
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