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

Listed author(s):
  • 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.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2004-11.

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Length: 24 pages
Date of creation: Apr 2004
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2004-11
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