HTML
PDF
FLIP
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
Esta revista está autorizada por una licencia de atribución Creative Commons (CC BY-NC-SA 4.0) Attribution-Non Commercial 4.0 International. Para las licencias CC, el principio es el de la libertad creativa. Este sistema complementa el derecho de autor sin oponerse a este, conscientes de su importancia en nuestra cultura. El contenido de los artículos es responsabilidad de cada autor y no compromete, de ninguna manera, a la revista o a la institución. Se permite la divulgación y reproducción de títulos, resúmenes y contenido total, con fines académicos, científicos, culturales, siempre y cuando, se cite la respectiva fuente. Esta obra no puede ser utilizada con fines comerciales.
La revista no cobra a los autores por la presentación o la publicación de sus artículos
Resumen
El objetivo del presente trabajo es medir el grado de eficiencia del mercado bursátil chileno en el período 2001-2018. Se utiliza la metodología de estudio de eventos (event studies) para comprobar la eficiencia en forma semifuerte del mercado de acciones en Chile, por medio de anuncios de adquisiciones y de fusiones realizados por las empresas componentes del Índice de Precios Selectivo de Acciones (IPSA), de la Bolsa de Comercio de Santiago de Chile. Dicha metodología es la apropiada para medir este tipo de eficiencia. Específicamente, se usan datos diarios y se aplica el modelo de mercado como modelo generador de retornos. Los resultados muestran que el mercado de acciones no se comporta de manera eficiente en forma semifuerte en ese período.
Palabras clave:
Citas
Acuña, C., & Álvarez, A. (2017). Dependencia serial de largo plazo en el índice bursátil chileno, a través del coeficiente de Hurst y Hurst ajustado. Journal of Economics, Finance and Administrative Science, 22(42), 37-50. https://doi.org/10.1108/jefas-02-2017-0047
Agudelo, D., & Gutiérrez, A. (2011). Anuncios macroeconómicos y mercados accionarios: el caso latinoamericano. Academia. Revista Latinoamericana de Administración, (48), 46-60. https://doi.org/10.2139/ssrn.2407178
Ali, A., Klasa, S., & Li, O. (2008). Institutional stakeholdings and betterinformed traders at earnings announcements. Journal of Accounting and Economics, 46(1), 47-61. https://doi.org/10.1016/j.jacceco.2008.06.001.
Alonso, J., & Arcila, A. (2014). Semi-strong efficiency in the International Sugar Market during the period 2001-2011. Cuadernos de Economía, 33(62), 145-161. https://doi.org/10.15446/cuad.econ.v33n62.43670
Améstica, L., Campos, D., & Cornejo, E. (2017). Anuncio de fusiones y adquisiciones y su efecto en los retornos accionarios: Chile, 2010-2014. Cuadernos de Administración, 30(54), 39-64. https://doi.org/10.11144/javeriana.cao30-54.afae
Bajo, E. (2010). The information content of abnormal trading volume. Journal of Business Finance and Accounting, 37(7-8), 950-978. https://doi.org/10.1111/j.1468-5957.2010.02197.x
Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of accounting research, 6(2), 159-178. https://doi.org/10.2307/2490232
Banco Central de Chile (2021). Cuentas Nacionales de Chile. https://www.bcentral.cl/web/banco-central/areas/estadisticas/cuentas-nacionales-anuales
Bamber, L., Barron, O., & Stevens, D. (2011). Trading volume around earnings announcements and other financial reports: Theory, research design, empirical evidence, and directions for future research. Contemporary Accounting Research, 28(2), 431-471. https://doi.org/10.1111/j.1911-3846.2010.01061.x
Barron, O., Harris, D., & Stanford, M. (2005). Evidence that investors trade on private event-period information around earnings announcements. The Accounting Review, 80(2), 403-421. https://doi.org/10.2308/accr.2005.80.2.403
Bhagat, D., Malhotra, S., & Zhu, P. (2011). Emerging country cross-border acquisitions: Characteristics, acquirer returns, and cross-sectional determinants. Emerging Markets Review, (12), 250-271. https://doi.org/10.2139/ssrn.1571349
Boehmer, E., Musumeci, J., & Poulsen, A.B. (1991). Event-study methodology under conditions of event-induced variance. Journal of financial economics, 30, 253-272. https://doi.org/10.1016/0304-405X(91)90032-F
Campbell, J., Lo, A., & Mackinlay, A. (1997). The econometrics of financial markets. Princeton University Press. https://doi.org/10.1515/9781400830213
Campbell, C., & Wesley, C. (1993). Measuring security price performance using daily NASDAQ returns. Journal of financial economics, 33(1), 73-92. https://doi.org/10.1016/0304-405x(93)90025-7
Caporale, G., Gil-Alana, L., & Plastun, A. (2018). Short-term Price overreactions: Identification, testing, exploitation. Computational Economics, 51(4), 913-940. https://doi.org/10.2139/ssrn.2526817
Corrado, C. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385-395. https://doi.org/10.1016/0304-405x(89)90064-
Cowan, A. (1992). Nonparametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343-358. https://doi.org/10.1007/bf00939016
Cready, W., & Hurtt, D. (2002). Assessing investor response to information events using return and volume metrics. The Accounting Review, 77(4), 891-909. https://doi.org/10.2308/accr.2002.77.4.891
Del Brío, E., De Miguel, A., & Tobar, J. (2010). Efectos de la regulación bursátil sobre la eficiencia de los mercados de valores. Comparación entre España y Reino Unido. Revista Española de Financiación y Contabilidad, 39(146), 321-348. https://doi.org/10.1080/02102412.2010.10779684
Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
Fama, E. (1991). Efficient Capital Markets: II. Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21. https://doi.org/10.2307/2525569
Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405x(93)90023-5
Fama, E., & French, K. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. https://doi.org/10.1016/j.jfineco.2014.10.010
Flannery, M. J., & Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782. https://www.jstor.org/stable/2696720
Fuenzalida D., Mongrut, S., Nash, M., & Tapia, J. (2006). Tender offers in South America: Are abnormal returns really high? Estudios Gerenciales, (101), 13-36. http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0123-59232006000400001&lng=en&tlng=en.
George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176. https://ssrn.com/abstract=1104491
Gomes, L., Soares, V., Gama, S., & Matos, J. (2018). Long-term memory in Euronext stock indexes returns: An econophysics approach. Business and Economic Horizons, 14(4), 862-881. https://doi.org/10.15208/beh.2018.59
González Araya, M., & Roca Vera, A. (2012). Efecto de cambios de gerentes generales y presidentes de directorio en el valor de la firma para el mercado chileno, periodo 2001-2011. Estudios de Administración, 19(2), 69-112. https://repositorio.uchile.cl/handle/2250/140471
Hong, H., & Stein, J. C. (2007). Disagreement and the stock market. Journal of Economic Perspectives, 21(2), 109-128. https://doi.org/10.1257/jep.21.2.109
Jackson, L. (2015). Market reaction to bidder announcements of horizontal mergers in an oligopolistic industry: Evidence from the US airline industry. Tourism Economics, 21(6), 1255-1271. https://doi.org/10.5367/te.2014.0401
Jareño, F. (2009). El impacto de la publicación del IPC sobre el mercado bursátil español. Información Comercial Española, Revista de Economía, 851, 109-120. https://dialnet.unirioja.es/servlet/revista?codigo=677&info=open_link_revista
Kinateder, H., Fabich, M., & Wagner, N. (2017). Domestic mergers and acquisitions in BRICS countries: Acquirers and targets. Emerging Markets Review, 32, 190-199. https://doi.org/10.1016/j.ememar.2017.06.005
MacKinlay, A. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. http://www.jstor.org/stable/2729691.
Mamede, S., & Malaquias, R. (2017). Monday effect in Brazilian hedge funds with immediate redemption. Research in International Business and Finance, 39, 47-53. https://doi.org/10.1016/j.ribaf.2016.07.032
Mazzoli, M., & Barducci, C. (2009). Testing exchange rate efficiency: The case of euro-dollar. International Review of Applied Economics, 23(4), 521-540. https://doi.org/10.1080/02692170902954817
Melo, F., & Fonseca, M. (2015). Política de dividendos no Brasil: uma análise na reação do mercado a anúncios de distribuição de proventos. Revista Contemporânea de Contabilidade, 12(27), 137-164. https://doi.org/10.5007/2175-8069.2015v12n27p137
Rose, C., & Søpstad, N. (2015). Reactions to corporate insider’s transactions: Do legal stock market disclosure rules have an impact? European Journal of Law and Economics, 40(2), 247-272. https://doi.org/10.1007/s10657-014-9475-7
Shah, S. H., Rehman, A., Rashid, T., Karim, J., & Shah, S. (2016). A comparative study of ordinary least squares regression and Theil-Sen regression through simulation in the presence of outliers. Lasbela, U. J. Sci. Technol., V, 137-142.
Sharpe, W. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293. https://doi.org/10.1287/mnsc.9.3.498
Sierra, K., Duarte, J., & Rueda, V. (2015). Predictability of returns in the Colombian stock market and the adaptive market hypothesis. Estudios Gerenciales, 31(137), 411-418. https://doi.org/10.1016/j.estger.2015.05.004
Simões, M., Macedo-Soares, T., Klotzle, M., & Pinto, A. (2012). Assessment of market efficiency in Argentina, Brazil and Chile: An event study of mergers and acquisitions. BAR-Brazilian Administration Review, 9(2), 229-245. https://doi.org/10.1590/s1807-76922012000200007
Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review, 289-315. https://www.jstor.org/stable/248290
Soares, N., & Stark, A. (2009). The accruals anomaly–can implementable portfolio strategies be developed that are profitable net of transactions costs in the UK? Accounting and Business Research, 39(4), 321-345. https://doi.org/10.1080/00014788.2009.9663371
Yang, S., Lin, L., Chou, D., & Cheng, H. (2010). Merger drivers and the change of bidder shareholders' wealth. The Service Industries Journal, 30(6), 851-871. https://doi.org/10.1080/02642060801911110
Young, M., & Bacon, F. (2012). The federal open market committee and the Federal funds rate: A test of market efficiency. Academy of Banking Studies Journal, 11(2), 81-120.
Yu, S. (2012). New empirical evidence on the investment success of momentum strategies based on relative stock prices. Review of Quantitative Finance and Accounting, 39(1), 105-121. https://doi.org/10.1007/s11156-011-0242-3
Citado por
