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La Relación Rentabilidad-Riesgo En Un Contexto De Información Asimétrica: Una Aplicación Al Mercado Español


  • Belén Nieto

    (Universidad de Alicante)

  • Germán López Espinosa

    (Universidad de Navarra)

  • Joaquín Marhuenda

    (Universidad de Alicante)


The aim of this paper consists on seeing whether the information differential affects tothe stocks return in the Spanish market. Usually the firm attention by financial analysts,expressed by de number of earnings estimations, has been used as a proxy of the differentialinformation. Nevertheless, in this paper we use a different point of view based in the approachof Hong, Lim and Stein (2000). In particular, given the close relation between the firm size andthe analysts’ number following the firm, we use residual from the regression of the number onanalysts following a firm on size as a proxy of the information differential. The results show,firstly, that the CAPM cannot explain the return difference among portfolios constructed by theresidual coverage level. With this evidence, the next step is to explain how the informationdifferential can affect the stock return level. El objetivo de este trabajo consiste en comprobar si, en el ámbito del mercado español, la existencia de información diferencial afecta al nivel de rentabilidad de los títulos. En muchos trabajos es práctica habitual emplear como proxy del diferencial de información el grado de seguimiento de las empresas por parte de los analistas financieros, medido éste por el número de estimaciones anuales de beneficios que emiten. Sin embargo, en este trabajo se sigue un enfoque diferente basado en el planteamiento propuesto por Hong, Lim y Stein (2000). En particular, dada la estrecha relación existente entre el número de analistas que siguen a una empresa y el tamaño de ésta, se utiliza como proxy del diferencial de información la cobertura residual por parte de los analistas que se obtiene como residuo de la regresión entre el número de analistas que siguen a una empresa y su tamaño. La evidencia obtenida, en un primer momento, indica que el CAPM no es capaz de explicar las diferencias de rentabilidad observadas entre las carteras construidas por el nivel de cobertura residual. Tras obtener este resultado, el siguiente paso consiste en explicar la forma en que el diferencial de información afecta al nivel de rentabilidad.

Suggested Citation

  • Belén Nieto & Germán López Espinosa & Joaquín Marhuenda, 2004. "La Relación Rentabilidad-Riesgo En Un Contexto De Información Asimétrica: Una Aplicación Al Mercado Español," Working Papers. Serie EC 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2004-11

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    References listed on IDEAS

    1. Russell Lundholm, 2002. "Bringing the Future Forward: The Effect of Disclosure on the Returns-Earnings Relation," Journal of Accounting Research, Wiley Blackwell, vol. 40(3), pages 809-839, June.
    2. Arthur Fishman & Rafael Rob, 2002. "Is Bigger Better? Investing in Reputation," Penn CARESS Working Papers 40893328535d25cf3e69a981a, Penn Economics Department.
    3. repec:bla:joares:v:38:y:2000:i::p:91-124 is not listed on IDEAS
    4. Klein, Benjamin & Leffler, Keith B, 1981. "The Role of Market Forces in Assuring Contractual Performance," Journal of Political Economy, University of Chicago Press, vol. 89(4), pages 615-641, August.
    5. Beatty, Randolph P. & Ritter, Jay R., 1986. "Investment banking, reputation, and the underpricing of initial public offerings," Journal of Financial Economics, Elsevier, vol. 15(1-2), pages 213-232.
    6. Begoña Giner Inchausti, 1997. "The influence of company characteristics and accounting regulation on information disclosed by Spanish firms," European Accounting Review, Taylor & Francis Journals, vol. 6(1), pages 45-68, May.
    7. Chalmers, Keryn & Godfrey, Jayne M., 2004. "Reputation costs: the impetus for voluntary derivative financial instrument reporting," Accounting, Organizations and Society, Elsevier, vol. 29(2), pages 95-125, February.
    8. Chauvin, Keith W. & Hirschey, Mark, 1994. "Goodwill, profitability, and the market value of the firm," Journal of Accounting and Public Policy, Elsevier, vol. 13(2), pages 159-180.
    9. Leuz, C & Verrecchia, RE, 2000. "The economic consequences of increased disclosure," Journal of Accounting Research, Wiley Blackwell, vol. 38, pages 91-124.
    10. Bernard Raffournier, 1995. "The determinants of voluntary financial disclosure by Swiss listed companies," European Accounting Review, Taylor & Francis Journals, vol. 4(2), pages 261-280.
    11. repec:bla:joares:v:31:y:1993:i:2:p:246-271 is not listed on IDEAS
    12. Christine A. Botosan, 2002. "A Re-examination of Disclosure Level and the Expected Cost of Equity Capital," Journal of Accounting Research, Wiley Blackwell, vol. 40(1), pages 21-40, March.
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    IBES; analistas financieros; diferencial de información; cobertura residual IBES; financial analysts; information differential; residual coverage.;

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