We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order Expectations (HOEs) about the two factors that...

We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...

This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....

Using proprietary data on equity lending supply, loan fees and quantities, we examine the link between institutional ownership structure and the market for equity lending and stock prices. We find that both total institutional ownership and ownership concentration (measured by the Herfindahl...

This study examines the Spanish IPOs and possible links between a firm's characteristics and the degree of mispricing. The results are consistent with those of similar studies in other countries. Data reveal that the price adjustment process of Spanish IPOs needed, on average, a longer period of...

This paper looks at the responsiveness of a country's export supply to exchange rate changes and measures its quantitative importance by breaking down export adjustments between changes in output levels by existing exporters (intensive margin) and movements due to changes in the number of...

Este documento contiene un ranking de las gestoras realizado comparando la evolución de sus fondos desde 1990 hasta 2010, según los datos proporcionados por Inverco. Según este ranking, las mejores gestoras fueron: Bestinver, Mutua Madrileña y Merchbanc; las peores fueron: Caja Cataluña,...

Este documento contiene un ranking de 79 gestoras de fondos de inversión realizado comparando la evolución de sus fondos desde 1991 hasta 2010, según la información proporcionada por Inverco. Una gestora ha sido mejor que otra cuando sus fondos han obtenido menor diferencia con los mejores...

The WACC is just the rate at which the Free Cash Flows must be discounted to obtain the same result as in the valuation using Equity Cash Flows discounted at the required return to equity (Ke) The WACC is neither a cost nor a required return: it is a weighted average of a cost and a required...

shareholders ($4.5 trillion). In 1991-1999 it created value ($5.1 trillion), but in 2000-2010 it destroyed $9.6 trillion. The market value of the S&P 500 was $2.8 trillion in 1991 and $11.4 trillion in 2010. We also calculate the created shareholder value of the 500 companies during the 18-year...