The article investigates a sample of 69 announcements of technological alliances involving New Economy firms in Spain, over the five-year period from 1997 to 2002. The purpose of the study is to analyse the impact of these announcements on share prices and volatility in these firms. Various...

In line with the transactions cost theory, this paper shows that the futures market with its higher liquidity and lower transactions costs, leads the options market in the price discovery process. Liquidity and transaction costs are also shown to play a key role in market sensitivity to...

This paper investigates the profitability of non-traditional momentum strategies using stock futures contracts. The results leads us to conclude that these strategies dominate those implemented using stocks. Despite this, however, no positive returns are found during the sample period after...

This paper has shown that market penetration strategies are common practice during the product introduction stage in the Money Mutual Funds in Spain. During this stage there is no relation between fees and performance because this strategy is optimal. In order to analyse this relationship during...

This article evaluates the contribution of New Economy stocks to explaining the momentum effect. The results reveal that, by virtue of their distinct characteristics, these assets are more likely to generate momentum returns, and, thus, to increase the concentration of momentum traders. It is...

This paper shows that the momentum effect appears in the wake of both up-market and down-market states in the Spanish stock market, although in the first of these cases it is followed by return reversal. This evidence, which contradicts the predictions of Cooper et al (2004), provides the...

We find persistence in mutual fund performance both over consecutive time periods and in the multi-period setting. There is significant spread, persisting for at least 2 or 3 years, between the portfolio with funds from the top past return quintile and those from the bottom past return quintile...

This paper reports on an issue hitherto unexplored in the literature, namely, the new shares price setting during the subscription period. We report evidence of a spread between the old stock price and the value of new shares obtained through subscription. A framework is developed within which...

In this paper we test the momentum effect in the Spanish stock market during the 1990's. Though there is evidence of momentum, it disappears after the 1997 crisis. While momentum profits are associated with both size and turnover effects, neither of these factors is a determinant in explaining...

This paper analyses four key markets within the European context. In this context, where the level of analyst coverage is lower than in the US setting, we aim to ascertain whether the origin of optimism in analyst forecasts in these markets is mainly strategic or whether it also contains an...