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Política de dividendos en los mercados financieros; Dividend policy in financial markets

Aja Muñoz, Héctor
Fonte: Universidade de Cantabria Publicador: Universidade de Cantabria
Tipo: Trabalho de Conclusão de Curso
SPA
Relevância na Pesquisa
36.34%
RESUMEN: La decisión sobre la política de dividendos es una de las cuestiones importantes en la literatura financiera, por ser de la máxima preocupación para los gestores, dadas las implicaciones que tiene sobre los mercados financieros. Por este motivo, la gente que tiene invertido parte de sus ahorros en la bolsa a día de hoy, trata de obtener la mayor cantidad de dividendos posible obteniendo así una ayuda y una motivación para seguir teniendo sus ahorros invertidos en bolsa. Es en este punto donde entra la relevancia de la política de dividendos, que tiene como objetivo principal impulsar el bienestar económico y social de sus inversiones para maximizar el rendimiento tanto para los accionistas como para el funcionamiento futuro de la empresa. Cuando la empresa necesita financiación para realizar sus futuros proyectos puede hacerlo de varias formas como pueden ser por el modelo de reparto de dividendos, por ampliaciones de capital y también mediante el incremento de deuda con entidades de crédito. Por otra parte, para realizar el caso práctico me he basado en tres temas principales: el primero de ello ha sido realizar una evolución de la rentabilidad por dividendo de los valores que forman actualmente el Ibex 35 en el periodo 2009-2013. La segunda línea temática ha consistido en analizar el Ibex 35...

The role of information and trading volume on intradaily and weekly returns patterns in the Spanish stock market

Camino Blasco, David
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /01/1996 ENG
Relevância na Pesquisa
66.31%
The aim of this work is to document new results about intradaily and weekly effects in the Spanish stock market, relating the returns in the stock index, during trading and non trading hours, to the arrival of information and daily trading volume. Weekly and intraday patterns are examined using the index Ibex-35 transaction data. Twenty-three months oftransaction records of the Ibex-35, at 15-minutes intervals, were examined in an attempt to better understand the dayof-the week effect and trading return patterns, to further characterize systematic weekly and intradaily price patterns. Several results were found: -There are cross-sectional differences in weekday patterns found in both trading and nontrading period returns. These patterns are pervasive over time and for different trading volumes. We found a positive relation between opening volume and unexpected overnight volatility, which is reflected in a higher standard deviation of returns, during the first to first and half hours of trading. -There are significant weekday differences in intraday trading returns in the first four hours of trading. On Monday (and Wednesday) returns are negative, while on the other weekdays, returns in this interval, are positive.

CAST: using neural networks to improve trading systems based on technical analysis by means of the RSI financial indicator

Rodríguez-González, Alejandro; García-Crespo, Ángel; Colomo-Palacios, Ricardo; Guldrís-Iglesias, Fernando
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /09/2011 ENG
Relevância na Pesquisa
56.43%
Stock price predictions have been a field of study from several points of view including, among others, artificial intelligence and expert systems. For short term predictions, the technical indicator relative strength indicator (RSI) has been published in many papers and used worldwide. CAST is presented in this paper. CAST can be seen as a set of solutions for calculating the RSI using arti ficial intelligence techniques. The improvement is based on the use of feedforward neural networks to calculate the RSI in a more accurate way, which we call the iRSI. This new tool will be used in two sce narios. In the first, it will predict a market in our case, the Spanish IBEX 35 stock market. In the second, it will predict single company values pertaining to the IBEX 35. The results are very encouraging and reveal that the CAST can predict the given market as a whole along with individual stock pertaining to the IBEX 35 index.; This work is supported by the Spanish Ministry of Industry, Tourism, and Commerce under the EUREKA project SITIO (TSI- 020400-2009-148), SONAR2 (TSI-020100-2008-665), INNOVA 3.0 (TSI-020100-2009-612) and GO2 (TSI-020400-2009-127).

Bootstrap prediction for returns and volatilities in GARCH models.

Pascual, Lorenzo; Romo Urroz, Juan; Ruiz, Esther
Fonte: Elsevier. Publicador: Elsevier.
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em 01/05/2006 ENG
Relevância na Pesquisa
35.91%
A new bootstrap procedure to obtain prediction densities of returns and volatilities of GARCH processes is proposed. Financial market participants have shown an increasing interest in prediction intervals as measures of uncertainty. Furthermore, accurate predictions of volatilities are critical for many financial models. The advantages of the proposed method are that it allows incorporation of parameter uncertainty and does not rely on distributional assumptions. The finite sample properties are analyzed by an extensive Monte Carlo simulation. Finally, the technique is applied to the Madrid Stock Market index, IBEX-35.; Acknowledgements: We are very grateful for their helpful comments by three anonymous referees, the editor Stephen Pollock and seminar participants at the Universities of Valladolid, New South Wales and Canterbury and the June 2001 Time Series Workshop of Arrabida, the September 2001 International Conference on Modelling Volatility (Perth) and the June 2002 International Symposium on Forecasting (Dublin). We are also grateful to Gregorio Serna for providing the data set analyzed in this paper and to Dolores Redondas for helping us with the figures. Financial support was provided by projects DGES PB96-0111 and BEC2002-03720 from the Spanish Government and Cátedra de Calidad from BBVA

A Gestão de Carteira de Acções aplicada ao mercado espanhol

Monteiro, Pedro Matoso Coimbra Sacramento
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2011 POR
Relevância na Pesquisa
106.45%
Mestrado em Finanças; A presente dissertação teve como objetivo principal analisar e comparar a gestão ativa e passiva de um determinado portfolio constituído por ações do Índice Bolsista Espanhol (IBEX 35). Na gestão ativa utilizaram-se dois modelos: uma carteira de ações determinada através do modelo de otimização de Markowitz, e uma carteira de ações resultante do modelo de variância mínima. Na gestão passiva recorreu-se a uma carteira de ações com pesos iguais. O período de tempo considerado para o efeito foi de 10 anos, de 1997 a 2006. A gestão ativa do portfolio, com base nos dois modelos considerados, consistiu na revisão mensal das proporções investidas em cada uma das ações que compuseram a carteira tendo em conta a evolução do mercado. A gestão passiva implicou um investimento de proporções iguais nos ativos constituintes da carteira, proporções essas que se mantiveram inalteradas durante o período em análise e que, portanto, não tiveram em conta a evolução do mercado. Para a determinação das ponderações das carteiras dos três modelos, utilizou-se um ?sistema de janela? de 1 e 2 anos. Um segundo objetivo deste trabalho foi perceber o impacto dos custos de intermediação financeira no desempenho dos portfolios de ações. Com este estudo...

Comparing series of rankings with ties by using complex networks: An analysis of the spanish stock market (IBEX-35 index)

Pedroche, F.; Criado, R.; Garcia, E.; Romance, M.; Sanchez, V. E.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 11/07/2014
Relevância na Pesquisa
66.2%
In this paper we extend the concept of Competitivity Graph to compare series of rankings with ties ({\em partial rankings}). We extend the usual method used to compute Kendall's coefficient for two partial rankings to the concept of evolutive Kendall's coefficient for a series of partial rankings. The theoretical framework consists of a four-layer multiplex network. Regarding the treatment of ties, our approach allows to define a tie between two values when they are close {\em enough}, depending on a threshold. We show an application using data from the Spanish Stock Market; we analyse the series of rankings defined by $25$ companies that have contributed to the IBEX-35 return and volatility values over the period 2003 to 2013.

Disclosing the network structure of private companies on the web: the case of Spanish IBEX 35 share index

Orduna-Malea, Enrique; Lopez-Cozar, Emilio Delgado; Serrano-Cobos, Jorge; Lloret-Romero, Nuria
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 09/06/2015
Relevância na Pesquisa
46.24%
It is common for an international company to have different brands, products or services, information for investors, a corporate blog, affiliates, branches in different countries, etc. If all these contents appear as independent additional web domains (AWD), the company should be represented on the web by all these web domains, since many of these AWDs may acquire remarkable performance that could mask or distort the real web performance of the company, affecting therefore on the understanding of web metrics. The main objective of this study is to determine the amount, type, web impact and topology of the additional web domains in commercial companies in order to get a better understanding on their complete web impact and structure. The set of companies belonging to the Spanish IBEX-35 stock index has been analyzed as testing bench. We proceeded to identify and categorize all AWDs belonging to these companies, and to apply both web impact (web presence and visibility) and network metrics. The results show that AWDs get a high web presence but relatively low web visibility, due to certain opacity or less dissemination of some AWDs, favoring its isolation. This is verified by the low network density values obtained, that occur because AWDs are strongly connected with the corporate domain (although asymmetrically)...

Essays on financial markets

Brychcy, Dawid
Fonte: [Barcelona] : Universitat Autònoma de Barcelona, Publicador: [Barcelona] : Universitat Autònoma de Barcelona,
Tipo: Tesis i dissertacions electròniques; info:eu-repo/semantics/doctoralThesis Formato: application/pdf
Publicado em //2013 ENG; ENG
Relevância na Pesquisa
36.2%
Descripció del recurs: 16 de gener de 2011; 1. En el primer capítulo “Impact of oil prices on international financial markets” se analiza el impacto de cambios en el precio de petróleo (barril WTI) y su volatilidad en los principales mercados de renta variable: DJIA, S&P500, FTSE100, DAX y NIKKEI225. Se investiga la relación lineal y no-lineal. Se usan los precios diarios del periodo 1984 – 2005. Se observa que los cambios en el precio de petróleo afectan negativamente a los mercados americanos (DJIA, S&P500) y DAX, este impacto es negativo y representa un tercio del retorno diario. No se observa ni un efecto de retraso en esta relación ni de asimetría. Los mercados americanos reaccionan positivamente a la alta volatilidad de los precios del petróleo en el entorno de bajada del precio que se explica por menor factor de coste para las empresas. No se detecta relación entre los retornos de las bolsas y las transformaciones no-lineales del precio del petróleo. Se observa la transmisión de los shocks del precio del petróleo a la volatilidad de las bolsas analizadas. 2. En el segundo capítulo “Changes in correlations between CEE stock markets and European stock markets” se detecta el cambio estructural en la correlación entre las bolsas de los países de Europa Central y de Este (bolsas de Varsovia...

A Methodology to measure shareholder value orientation and shareholder value creation aimed at providing a research basis to investigate the link between both magnitudes

Hecking, Stephan
Fonte: Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa Publicador: Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2003 ENG
Relevância na Pesquisa
35.95%
Does shareholder value orientation lead to shareholder value creation? This article proposes methods to quantify both, shareholder value orientation and shareholder value creation. Through the application of these models it is possible to quantify both dimensions and examine statistically in how far shareholder value orientation explains shareholder value creation. The scoring model developed in this paper allows quantifying the orientation of managers towards the objective to maximize wealth of shareholders. The method evaluates information that comes from the companies and scores the value orientation in a scale from 0 to 10 points. Analytically the variable value orientation is operationalized expressing it as the general attitude of managers toward the objective of value creation, investment policy and behavior, flexibility and further eight value drivers. The value creation model works with market data such as stock prices and dividend payments. Both methods where applied to a sample of 38 blue chip companies: 32 firms belonged to the share index IBEX 35 on July 1st, 1999, one company represents the “new economy” listed in the Spanish New Market as per July 1st, 2001, and 5 European multinational groups formed part of the EuroStoxx 50 index also on July 1st...