Papers by Juan Carlos Gomez Sala
This paper examines the empirical behaviour of share prices around the dates of splits, with a vi... more This paper examines the empirical behaviour of share prices around the dates of splits, with a view to detecting the possible creation of anomalous returns. It also examines the determining factors of splits, their effects on liquidity and the influence of the market's microstructure in the generating of abnormal retums. The evidence obtained from the Spanish capital market indicates that splits generate an average abnormal retum of about 1%, principally on the day that the split is effected. This result cannot be explained by an increase in quidity. It suggests, rather, that certain microstructure phenomena in the market encourage an increase in abnormal retums. Approximately half of these increased retums could be attributed to two factors: changes in the order flow and an increase in the relative spread, induced by an uneven increase in the ask price with respect to the bid. JEL classification: G14; G32; G35.
Análisis financiero, 1988
Revista Europea de Dirección y Economía de la Empresa, 1992
Boletín de estudios económicos, 1993
Revista española de financiación y contabilidad, 1996
Revista española de financiación y contabilidad, 1998
Análisis financiero, 2002
Actualidad financiera, 1988
Análisis financiero, 1997
Actualidad financiera, 1998
Revista española de financiación y contabilidad, 1993
. --' ' a ~urEwicioir~~ FRONTERAS EFIC1ENTBS EN EL ANALISIS FINANCIERO doctrinaleS inputs y outpu... more . --' ' a ~urEwicioir~~ FRONTERAS EFIC1ENTBS EN EL ANALISIS FINANCIERO doctrinaleS inputs y outputs en el modelo, la explicitación de los rendimientos variables a escala y el, análisis de sensibilidad de los resultados obtenidos en D.E.A. , -+* ' Coa este propósito se ha creído conveniente ordenar el estudio introduciendo en primer lugar, en ei apartado segundo, la técnica a utilizar y los modelos (e la misma que van a ser objeto de aplicación: uno con tecnología lineal y rendimientos a escala constantes, el modelo Cllarnes, Cooper y Rhodes (en adelante, C.C.R.), 'y el segundo con rendimientos variables a escala, el mo,deh Bankkr, ' ~h a r n e s y Cooper (en adelante, S.C.C.). En el tercer apartado se discuten .las limitaciones que presenta el análisis financiero y en qué medida el D.E.A. puede contribuir a supe! rarlas. En el cuarto se muestra el conjunto de observaciones a analizar y se explican los resultados obtenidos. Eii el último punto se resumen los aspectos más importantes, así como las consecuencias que se derivan de la aplicación propuesta. . . . 2. EL DATA. EN'VELOPMENT ' ANALYSIS, 'D.E.A. ' ' representan las empresas eficientes, a las que Se asigna un indicaddr uni-1 tario; Alternativamente, una empresa 'en el conjunto de posibilidades
Contributions to management science, 2000
This paper examines the empirical behaviour of share prices around the dates of splits, with a vi... more This paper examines the empirical behaviour of share prices around the dates of splits, with a view to detecting the possible creation of anomalous returns. It also examines the determining factors of splits, their effects on liquidity and the influence of the market’s microstructure in the generating of abnormal returns. The evidence obtained from the Spanish capital market indicates that splits generate an average abnormal return of about 1%, principally on the day that the split is effected. This result cannot be explained by an increase in liquidity. It suggests, rather, that certain microstructure phenomena in the market encourage an increase in abnormal returns. Approximately half of these increased returns could be attributed to two factors: changes in the order flow and an increase in the relative spread, induced by an uneven increase in the ask price with respect to the bid.
Social Science Research Network, 2003
We analyse the effect of splits on stock liquidity. The results show a drop in trading volume and... more We analyse the effect of splits on stock liquidity. The results show a drop in trading volume and depth and an increase in the relative bid-ask spread. We detect a change in trading composition, with an increase in the smallest transactions, mainly on the buyer side of ...
Social Science Research Network, 2007
This paper analyzes the value of analysts' consensus recommendations and their chang... more This paper analyzes the value of analysts' consensus recommendations and their changes in eight developed stock markets using data from Factset/JCF, in the period from January 1994 to December 2006. Results show that analysts are optimistically biased, albeit to a ...
Page 1. 8 Predicciones de los analistas y expectativas optimistas de los inversores en las amplia... more Page 1. 8 Predicciones de los analistas y expectativas optimistas de los inversores en las ampliaciones de capital María J. PASTOR LLORCA Dpto. Economía Financiera y Contabilidad Universidad de Alicante J. Carlos GÓMEZ SALA Dpto. ...
Moneda y crédito, 2005
Los documentos de trabajo del IVIE ofrecen un avance de los resultados de las investigaciones eco... more Los documentos de trabajo del IVIE ofrecen un avance de los resultados de las investigaciones económicas en curso, con objeto de generar un proceso de discusión previo a su remisión a las revistas científicas.
SSRN Electronic Journal, 2004
Previous evidence has documented that equity issuers underperform in the long-run. One possible e... more Previous evidence has documented that equity issuers underperform in the long-run. One possible explanation is that investors have overoptimistic expectations regarding future earnings and the underperformance occurs as these expectations are corrected over time. Our central focus is to test this hypothesis for Spanish rights issuing firms, for that, firstly we examine analysts' predictions about future earnings of these companies. We observe that forecasts are unusually favourable and, moreover, the post-offering underperformance is most pronounced when analyst predictions have higher optimistic bias. Secondly, we study the market response to issuing firms' earnings announcements in the post-offering period observing a significant negative reaction. So the evidence in this paper is consistent with the excessive optimism hypothesis about issuing firms.
Revista Europea De Direccion Y Economia De La Empresa, 1996
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Papers by Juan Carlos Gomez Sala