One of the main interests of market microstructure is the estimation of the bid–ask spread components from financial data, specially the adverse selection component given the implications of its own existence. As aresult, several empirical models based on price time–series statistical...

[ES] El paradigma de la eficiencia ha sido puesto en entredicho en las últimas décadas como consecuencia de la obtención de rendimientos anormales, estadística y económicamente significativos, durante amplios periodos de tiempo tras algunas importantes decisiones empresariales. No obstante,...

Market efficiency has been questioned in the last years as several papers found abnormal returns economically and statistically significant over long horizons after main firm decisions. Nevertheless, the conceptual and statistical problems related with the estimation and test of long-term...

We investigate if the long-run underperformance in the year after the SEO is related to behavioural biases that led investors to adjust their pre-issue over optimism slowly. We also examine the existence of arbitrage costs that preclude mispricing from being corrected rapidly by sophisticated...

We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOE and privately-owned firms. We find significant...

We investigate the operating and stock market performance of Spanish state-owned enterprises (SOEs) privatized through public share issue offerings (SIPs) from 1990 to 2001, when the last SIP was conducted. We compare the performance of SOE and privately-owned firms. We find significant...

Earnings announcements are anticipated events with significant price impacts. This fact can motivate informed traders to trade on private information and liquidity providers to reduce liquidity in order to be careful about insider trading. In this paper, we examine the effect of earnings...

Latibex is an international market where major Latin American firms are traded in euros. We investigate whether the price impact of the quarterly earnings announcement are different in Latibex and in Latin American markets due to the different degree of liquidity and trading activity in both...

Previous results are ambiguous about whether prices fully reflect value creation or destruction at the time of the acquisition announcement when samples are split into listed and unlisted target firms. We find that the Spanish market fully reacts to the acquisition announcement (showing value...