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Presión sobre los precios en las revisiones del índice IBEX35

Este trabajo analiza el efecto de las redefiniciones del índice Ibex35 en los precios y la actividad de negociación de las acciones incluidas y excluidas. La muestra utilizada está formada por 26 entradas y 22 salidas estables en el periodo enero 1991-diciembre 1998. Los resultados obtenidos demuestran que las revisiones del Ibex35 provocan una importante reacción positiva (negativa)en el precio de las acciones que entran (salen), fundamentalmente en el día siguiente al anuncio de la medida y en la fecha anterior a la recomposición efectiva del indicador. Las rentabilidades anormales positivas (negativas)generadas no están relacionadas con información acerca de las perspectivas futuras de las empresas afectadas ni con medidas de cambio de liquidez. Con posterioridad al cambio efectivo los precios experimentan un proceso de reversión parcial (completo) a sus niveles previos en las entradas (salidas). En conjunto, la evidencia obtenida apoya la hipótesis de presión sobre los precios como explicación de los efectos provocados por las revisiones en la composición del Ibex35. (Copyright: Fundación SEPI)

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Article provided by Fundación SEPI in its journal Investigaciones Economicas.

Volume (Year): 27 (2003)
Issue (Month): 3 (September)
Pages: 491-531

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Handle: RePEc:iec:inveco:v:27:y:2003:i:3:p:491-531
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