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Vol. 12. Núm. 38.
Páginas 119-141 (Marzo 2009)
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Vol. 12. Núm. 38.
Páginas 119-141 (Marzo 2009)
DOI: 10.1016/S1138-5758(09)70032-5
Open Access
Riesgo de iliquidez y rendimientos anormales a largo plazo en las empresas cotizadas que realizan una OPV
Illiquidity Risk and the Long-run Underperformance of Seasoned Equity Issues
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José E. Farinós**
Autor para correspondencia
jose.e.farinos@uv.es

Autor de contacto. Dirección: Universidad de Valencia. Facultat d’Economia, Departamento de Finanzas Empresariales. Av. dels Tarongers s/n, 46022 Valencia (España). Tel.: 963828369. Fax: 963828370.
, C. José García, Ana Mª Ibáñez
Información del artículo
Resumen

En este trabajo aportamos nueva evidencia en relación con cambios en la prima por riesgo de las empresas cotizadas que realizan una OPV, lo que explicaría los rendimientos anormales negativos significativos encontrados en trabajos previos. En concreto, contrastamos la hipótesis de que un incremento de la liquidez a largo plazo tras la emisión implica una reducción de la prima exigida por liquidez y, por tanto, un menor rendimiento esperado. Si el riesgo de iliquidez no se tiene en cuenta en el análisis del comportamiento anormal de los títulos, la menor prima por riesgo de iliquidez exigida da como resultado un mal comportamiento. Dado que nuestros resultados sugieren un incremento de la liquidez de las empresas de la muestra en el año posterior a la emisión, extendemos el análisis de la rentabilidad anormal introduciendo en el modelo de tres factores de Fama y French (1993) un factor de riesgo de iliquidez basado en la medida de iliquidez propuesta por Amihud (2002). Los resultados muestran que el mal comportamiento tras la emisión desaparece.

Palabras clave:
Riesgo de iliquidez
Rendimientos anormales a largo plazo
OPV subsiguientes
Abstract

This paper presents new evidence on potential risk-based explanations for the low SEO returns in the year after the issue. Specifically, we analyse whether the issue leads to a long-term higher stock liquidity that implies that SEO stocks have lower expected return due to lower exposure to liquidity risk factor. Therefore, we investigate if Spanish SEO firms experience significant changes in long-term liquidity after the issue. Results suggest that SEO-firm liquidity increases significantly in the year after the issue. Finally, we explore the post-performance of SEO firms explicitly accounting for liquidity risk. In particular, we employ the three factor model by Fama and French (1993) extended in one additional liquidity factor based on the illiquidity measure proposed by Amihud (2002). Our results show that underperformance disappears when accounting for liquidity risk.

Keywords:
Illiquidity risk
Long-run underperformance
SEO issues
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Los autores agradecen los comentarios y sugerencias de dos evaluadores de la revista. Este trabajo ha contado con el soporte financiero de la CICYT proyecto SEC2000-0773.

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