The aim of this paper consists of describing, analysing and modelling the dynamic of dailyprice series and its volatility in the Spanish Wholesale Electricity Market. The article describes themain characteristics of the sector after the deregulation process and the factors that establish...

In 1998 the Fixing trading system was implemented in the Spanish Stock Market. It is considered an alternative to the traditional system of continuous negotiation, applicable to those stocks that have a series of basic characteristics in common. It represents an important innovation, the...

This paper analyses the nature of the weekly seasonal component in daily observations for the electricity demand series from several deregulated markets. We present and use the extension of the seasonal unit roots test of Hylleberg et al (1990) to the weekly seasonality case to formally...

Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is...

In a previous work, Forner and Marhuenda (2001) find that the contrarian strategy, thatis, the forming of a zero-investment portfolio that buys the stocks that have performed poorly inthe past (losers) and sells those that have performed well (winners), does not yield abnormallypositive returns...

In our study we focus on the determinants of reputation and, in particular, on the relation between the quality of annual report disclosures of companies and their reputation. We try to bring together two strands of literature: the literature on corporate reputation and the literature on...

The management of a life insurance portfolio or pension fund must take intoaccount the temporal evolution of its liabilities and its assets through some variables:the factors and returns. Their behaviour is analysed statistically and we deduce it to avector error correction model (VECM). Using...

This study puts forward a procedure for assessing the results of television advertising media plans. It innovates by requiring only information on audience figures for the television media, to determine the distribution of exposures generated by plans using multiple media vehicles and multiple...

This paper analyzes, using a binomial logit model, the factors that determine a students decision on a three or four year University career. The microeconomic model we consider includes the most important aspects of educational choices. The results show how social background, family earnings and...

In this paper, we explore two of the most relevant theories that explain financial policy in small and medium enterprises (SMEs): pecking order theory and trade-off theory. Panel data methodology is used to test the empirical hypotheses over a sample of 6482 Spanish SMEs during the five-year...