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Comportamiento Diario Del Mercado Continuo Español Ante Un Evento Laboral: Un Analisis Empirico

  • Ana María Sabater


    (Universidad de Alicante)

  • Joaquina Laffarga

    (Universidad de Sevilla)

Registered author(s):

    The objective of this paper is to observe the reaction of the Spanish Stock Market tothe signature of a collective agreement at a company level, measuring abnormal returns,abnormal volume and the associated risk on the day the information reaches the market.Bearing in mind that this type of agreement tends to increase salaries with respect to those ofthe sector, the initial hypothesis is that a company agreement incorporates negativeinformation with the expectation of abnormal negative returns and positive volume on theevent day. The arrival of new information not only modifies the average expectedperformance of the group of companies concerned, but also affects performance volatility. Itis expected, according to the variant of the traditional hypothesis of market efficiency, thatrisk and expected performance will vary in the same direction, depending on the sign of theinformation on the company involved. El objetivo de este trabajo es analizar la reacción del precio, volumen negociado y volatilidad de las acciones de las compañías cotizadas en el mercado continuo español ante la firma de un convenio colectivo a nivel empresa. Teniendo en cuenta que este tipo de convenios sesga al alza los salarios respecto a los del sector, la hipótesis de partida es que un convenio de empresa incorpora información que podría considerarse de forma negativa por los inversores. Esto conllevaría la venta de los títulos de tal empresa y una caída en su precio. Por tanto, esperamos encontrar incrementos en el volumen negociado acompañados de rendimientos negativos para estas empresas en torno a la fecha del acontecimiento. Los resultados generales de este trabajo confirman esta hipótesis, si bien se observan reacciones distintas dependiendo del sector al cual pertenezca la empresa. Por otro lado, la llegada de la nueva información que contiene la firma del convenio, podría afectar a la volatilidad específica de dichos rendimientos. Cabe esperar, según la variante de hipótesis tradicional de eficiencia de mercado, que si la nueva información reduce la incertidumbre sobre los flujos futuros de las empresas que firman el convenio, la volatilidad específica de las mismas sea menor a partir de esa fecha. Así ocurre con los datos de nuestra muestra.

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    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2004-19.

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    Length: 40 pages
    Date of creation: Oct 2004
    Date of revision:
    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2004-19
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    1. Karafiath, Imre, 1994. "On the Efficiency of Least Squares Regression with Security Abnormal Returns as the Dependent Variable," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(02), pages 279-300, June.
    2. Cullinan, Charles P. & Knoblett, James A., 1994. "Unionization and accounting policy choices: An empirical examination," Journal of Accounting and Public Policy, Elsevier, vol. 13(1), pages 49-78.
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    5. Nickell, Stephen & Wadhwani, Sushil, 1988. "Unions, wages and employment : Tests based on U.K. firm-level data," European Economic Review, Elsevier, vol. 32(2-3), pages 727-733, March.
    6. Kim B. Clark, 1980. "The impact of unionization on productivity: A case study," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 33(4), pages 451-469, July.
    7. Karafiath, Imre, 1988. "Using Dummy Variables in the Event Methodology," The Financial Review, Eastern Finance Association, vol. 23(3), pages 351-57, August.
    8. Motohiro Morishima, 1991. "Information sharing and collective bargaining in Japan: Effects on wage negotiation," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 44(3), pages 469-485, April.
    9. Abowd, John M, 1989. "The Effect of Wage Bargains on the Stock Market Value of the Firm," American Economic Review, American Economic Association, vol. 79(4), pages 774-800, September.
    10. Michael A. Salinger, 1984. "Tobin's q, Unionization, and the Concentration-Profits Relationship," RAND Journal of Economics, The RAND Corporation, vol. 15(2), pages 159-170, Summer.
    11. Ruback, Richard S & Zimmerman, Martin B, 1984. "Unionization and Profitability: Evidence from the Capital Market," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1134-57, December.
    12. Brown, Keith C. & Harlow, W. V. & Tinic, Seha M., 1988. "Risk aversion, uncertain information, and market efficiency," Journal of Financial Economics, Elsevier, vol. 22(2), pages 355-385, December.
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