El efecto de los mecanismos internos de control en las operaciones con información privilegiada
DOI:
https://doi.org/10.1016/j.estger.2017.07.002Palabras clave:
Información privilegiada, Estudio de eventos, Estructura de propiedad, Retornos anormalesResumen
Este trabajo analiza el uso de la información privilegiada en las operaciones de compra de los insiders españoles y de cómo la estructura de propiedad afecta su comportamiento transaccional. Para ello se realizó un estudio empírico con una muestra de 2.233 operaciones de compra. Respecto al cálculo de los retornos anormales se aplicó la metodología de estudio de eventos, mientras que para el análisis del efecto de la estructura de propiedad se utilizaron regresiones lineales múltiples. Los resultados aportan evidencia sobre la coexistencia de los efectos de control y expropiación de la concentración de propiedad, de la coexistencia de los efectos de convergencia y atrincheramiento de la propiedad de los insiders y del efecto del tipo de accionista sobre los retornos anormales.
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Referencias
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Azofra, V. y Vallelado, E. (1994). Rentabilidad y riesgo de los valores bursátiles tras el inicio del mercado de opciones sobre el Ibex 35. Análisis Financiero, 62, 8-21.
Beck, T., Levine, R. y Loayza, N. (2000). Finance and the sources of growth. Journal of Financial Economics, 58(1-2), 261-300.
Betzer, A. y Theissen, E. (2009). Insider trading and corporate governance: The case of Germany. European Financial Management, 15(2), 402-429.
Bhattacharya, U. y Daouk, H. (2002). The World Price of insider trading. Journal of Finance, 57(1), 75-108.
Brown, S. y Warner, J. (1980). Measuring security price performance. Journal of Finance Economics, 8, 205-258.
Campbell, J., Lo, A. y Mackinlay, A. (1997). The Econometrics of Financial Markets (2nd ed). New Jersey: Princeton University Press.
Cziraki, P., de Goeij, P. y Renneboog, L. (2014). Corporate governance rules and insider trading profits. Review of Finance, 18(1), 67-108.
Del Brio, E., Miguel, A. y Perote, J. (2002). An investigation of insider trading profits in the Spanish stock market. The Quarterly Review of Economics and Finance, 42(1), 73-94.
Del Brio, E., Miguel, A. y Tobar, J. (2010). The impact of the stock market regulation on the level of the market efficiency. Comparison between Spain and UK. Revista Española de Financiación y Contabilidad, 39(146), 321-342.
Demirgüç -Kunt, A. y Maksimovic, V. (1998). Law, finance, and firm growth. Journal of Finance, 53(6), 2107-2137.
Demirgüç -Kunt, A. y Maksimovic, V. (2002). Funding growth in bank-based and market-based financial system: Evidence from firm-level data. Journal of Financial Economics, 65(3), 337-363.
Demsetz, H. (1983). The structure of ownership and the theory of the firm. Journal of law and Economics, 26(2), 375-390.
Demsetz, H. y Lehn, K. (1985). The structure of corporate ownership: Causes and consequences. Journal of Political Economy, 93(6), 1155-1177.
Denis, D., Denis, D. y Sarin, A. (1997). Ownership structure and top executive turnover. Journal of Financial Economics, 45(2), 193-221.
Dodd, P. y Warner, J. B. (1983). On corporate governance: A study of proxy contests. Journal of Financial Economics, 11(1-4), 401-438.
Easley, D. y O’Hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
Eckbo, E. y Smith, D. (1998). The conditional performance of insider trades. Journal of Finance, 53(2), 467-498.
Fama, E. y Jensen, M. (1983a). Agency problems and residual claims. Journal of Law & Economics, 26(2), 327-349.
Fama, E. y Jensen, M. (1983b). Separation of ownership and control. Journal of Law & Economics, 26(2), 301-325.
Fidrmuc, J., Goergen, M. y Renneboog, R. (2006). Insider trading, news releases, and ownership concentration. Journal of Finance, 61(6), 2931-2973.
Fishman, M. y Hagerty, K. (1992). Insider trading and the efficiency of stock prices. The RAND. Journal of Economics, 23(1), 106-122.
Friederich, S., Gregory, A., Matatko, J. y Tonks, I. (2002). Short-run returns around the trades of corporate insiders on the London Stock Exchange. European Financial Management, 8(1), 7-30.
Gedajlovic, E. y Shapiro, D. (1998). Management and ownership effects: Evidence from five countries. Strategic Management Journal, 19(6), 533-555.
Georgakopoulos, N. (1993). Insider trading as a transactional cost: A market microstructure justification and optimization of insider trading regulation. Connecticut Law Review, 26(1), 1-51.
Goshen, Z. y Parchomovsky, G. (2001). On insider trading, markets, and ‘negative’ property rrights in information. Virginia Law Review, 87(7), 1229-1277.
Gregory, A., Matatko, J. y Tonks, I. (1997). Detecting information from directors’ trades: Signal definition and variable size effects. Journal of Business Finance & Accounting, 24(3), 309-342.
Grossman, S. y Hart, O. (1986). The costs and benefits of ownership: A theory of vertical and lateral integration. Journal of Political Economy, 94(4), 691-719.
He, Q. y Rui, O. (2014). Ownership structure and insider trading: Evidence from China. Journal of Business Ethics, 134(4), 553-574.
Hermalin, B. y Weisbach, M. (1991). The effect of board composition and direct incentives on firm performance. Financial Management, 21(4), 101-112.
Hillier, D. y Marshall, A. (2002). The market evaluation of information in director’s trades. Journal of Business Finance y Accounting, 29(1-2), 77-110.
Holderness, C., Kroszner, S. y Sheehan, D. (1999). Were the good old days that good? Changes in managerial stock ownership since the great depression. Journal of Finance, 54(2), 435-469.
Jagolinzer, A. D. (2009). SEC Rule 10b5-1 and insiders’ strategic trade. Management Science, 55(2), 224-239.
Jeng, L. A., Metrick, A. y Zeckhauser, R. (2003). Estimating the returns to insider trading: A performance-evaluation perspective. Review of Economics and Statistics, 85(2), 453-471.
Jensen, M. (1986). Agency costs of free cash flow, corporate finance and takeovers. American Economic Review, 76(2), 323-329.
Jensen, M. (1993). The modern industrial revolution, exit, and the failure of internal control system. Journal of Finance, 48(3), 831-880.
Jensen, M. y Meckling, W. (1976). Theory of the firm: Managerial behavior agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
Jensen, M. y Murphy, K. (1990a). Performance pay and top-management incentives. Journal of Political Economy, 98(2), 225-264.
Jensen, M. y Murphy, K. (1990b). CEO incentives - it’s not how much you pay but how. Journal of Applied Corporate Finance, 3(3), 36-48.
Korczak, A., Korczak, P. y Lasfer, M. (2010). To trade or not to trade: The strategic trading of insiders around news announcements. Journal of Business Finance & Accounting, 37(3-4), 369-407.
Lakonishok, J. y Lee, I. (2001). Are insider trades informative? Review of Financial Studies, 14(1), 79-111.
Lin, J. y Howe, J. (1990). Insider trading in the OTC market. Journal of Finance, 45(4), 1273-1284.
Madura, J. y Wiant, K. J. (1995). Information content of bank insider trading. Applied Financial Economics, 5(4), 219-227.
McConnell, J. y Servaes, H. (1995). Equity ownership and the two faces of debt. Journal of Financial Economics, 39(1), 131-157.
Miguel, A., Pindado, J. y de la Torre, C. (2004). Ownership structure and firm value: New evidence from Spain. Strategic Management Journal, 25(12), 1199-1207.
Morck, R., Shleifer, A. y Vishny, W. (1988). Management ownership and market valuation: An empirical analysis. Journal of Financial Economics, 20(1-2), 293-315.
Pindado, J. y de la Torre, C. (2006). The role of investment, financing and dividend decisions in explaining corporate ownership structure: Empirical evidence from Spain. European Financial Management, 12(3), 661-687.
Rajan, R. G. y Zingales, L. (1998). Financial dependence and growth. American Economic Review, 88(3), 559-586.
Rogoff, D. L. (1964). The forecasting properties of insiders’ transactions. Journal of Finance, 19(4), 697-698.
Rozanov, K. (2008). Corporate governance and insider trading [consultado 25 Abr 2016]. Disponible en: Disponible en: https://dspace.mit.edu/bitstream/handle/1721.1/45333/315871878-MIT.pdf?sequence=2 .
Seyhun, H. (1986). Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics, 16(2), 189-212.
Shleifer, A. y Vishny, R. (1997). A survey of corporate governance. Journal of Finance, 52(2), 737-783.
Steiner, T. (1996). A reexamination of the relationship between ownership structure, firm diversification, and Tobin’s q. Quarterly Journal of Business and Economics, 35(4), 39-48.
Stulz, R. (1988). Managerial control of voting rights: Financing policies and the market for corporate control. Journal of Financial Economics, 20(1-2), 25-54.
Azofra, V. y Vallelado, E. (1994). Rentabilidad y riesgo de los valores bursátiles tras el inicio del mercado de opciones sobre el Ibex 35. Análisis Financiero, 62, 8-21.
Beck, T., Levine, R. y Loayza, N. (2000). Finance and the sources of growth. Journal of Financial Economics, 58(1-2), 261-300.
Betzer, A. y Theissen, E. (2009). Insider trading and corporate governance: The case of Germany. European Financial Management, 15(2), 402-429.
Bhattacharya, U. y Daouk, H. (2002). The World Price of insider trading. Journal of Finance, 57(1), 75-108.
Brown, S. y Warner, J. (1980). Measuring security price performance. Journal of Finance Economics, 8, 205-258.
Campbell, J., Lo, A. y Mackinlay, A. (1997). The Econometrics of Financial Markets (2nd ed). New Jersey: Princeton University Press.
Cziraki, P., de Goeij, P. y Renneboog, L. (2014). Corporate governance rules and insider trading profits. Review of Finance, 18(1), 67-108.
Del Brio, E., Miguel, A. y Perote, J. (2002). An investigation of insider trading profits in the Spanish stock market. The Quarterly Review of Economics and Finance, 42(1), 73-94.
Del Brio, E., Miguel, A. y Tobar, J. (2010). The impact of the stock market regulation on the level of the market efficiency. Comparison between Spain and UK. Revista Española de Financiación y Contabilidad, 39(146), 321-342.
Demirgüç -Kunt, A. y Maksimovic, V. (1998). Law, finance, and firm growth. Journal of Finance, 53(6), 2107-2137.
Demirgüç -Kunt, A. y Maksimovic, V. (2002). Funding growth in bank-based and market-based financial system: Evidence from firm-level data. Journal of Financial Economics, 65(3), 337-363.
Demsetz, H. (1983). The structure of ownership and the theory of the firm. Journal of law and Economics, 26(2), 375-390.
Demsetz, H. y Lehn, K. (1985). The structure of corporate ownership: Causes and consequences. Journal of Political Economy, 93(6), 1155-1177.
Denis, D., Denis, D. y Sarin, A. (1997). Ownership structure and top executive turnover. Journal of Financial Economics, 45(2), 193-221.
Dodd, P. y Warner, J. B. (1983). On corporate governance: A study of proxy contests. Journal of Financial Economics, 11(1-4), 401-438.
Easley, D. y O’Hara, M. (1987). Price, trade size, and information in securities markets. Journal of Financial Economics, 19(1), 69-90.
Eckbo, E. y Smith, D. (1998). The conditional performance of insider trades. Journal of Finance, 53(2), 467-498.
Fama, E. y Jensen, M. (1983a). Agency problems and residual claims. Journal of Law & Economics, 26(2), 327-349.
Fama, E. y Jensen, M. (1983b). Separation of ownership and control. Journal of Law & Economics, 26(2), 301-325.
Fidrmuc, J., Goergen, M. y Renneboog, R. (2006). Insider trading, news releases, and ownership concentration. Journal of Finance, 61(6), 2931-2973.
Fishman, M. y Hagerty, K. (1992). Insider trading and the efficiency of stock prices. The RAND. Journal of Economics, 23(1), 106-122.
Friederich, S., Gregory, A., Matatko, J. y Tonks, I. (2002). Short-run returns around the trades of corporate insiders on the London Stock Exchange. European Financial Management, 8(1), 7-30.
Gedajlovic, E. y Shapiro, D. (1998). Management and ownership effects: Evidence from five countries. Strategic Management Journal, 19(6), 533-555.
Georgakopoulos, N. (1993). Insider trading as a transactional cost: A market microstructure justification and optimization of insider trading regulation. Connecticut Law Review, 26(1), 1-51.
Goshen, Z. y Parchomovsky, G. (2001). On insider trading, markets, and ‘negative’ property rrights in information. Virginia Law Review, 87(7), 1229-1277.
Gregory, A., Matatko, J. y Tonks, I. (1997). Detecting information from directors’ trades: Signal definition and variable size effects. Journal of Business Finance & Accounting, 24(3), 309-342.
Grossman, S. y Hart, O. (1986). The costs and benefits of ownership: A theory of vertical and lateral integration. Journal of Political Economy, 94(4), 691-719.
He, Q. y Rui, O. (2014). Ownership structure and insider trading: Evidence from China. Journal of Business Ethics, 134(4), 553-574.
Hermalin, B. y Weisbach, M. (1991). The effect of board composition and direct incentives on firm performance. Financial Management, 21(4), 101-112.
Hillier, D. y Marshall, A. (2002). The market evaluation of information in director’s trades. Journal of Business Finance y Accounting, 29(1-2), 77-110.
Holderness, C., Kroszner, S. y Sheehan, D. (1999). Were the good old days that good? Changes in managerial stock ownership since the great depression. Journal of Finance, 54(2), 435-469.
Jagolinzer, A. D. (2009). SEC Rule 10b5-1 and insiders’ strategic trade. Management Science, 55(2), 224-239.
Jeng, L. A., Metrick, A. y Zeckhauser, R. (2003). Estimating the returns to insider trading: A performance-evaluation perspective. Review of Economics and Statistics, 85(2), 453-471.
Jensen, M. (1986). Agency costs of free cash flow, corporate finance and takeovers. American Economic Review, 76(2), 323-329.
Jensen, M. (1993). The modern industrial revolution, exit, and the failure of internal control system. Journal of Finance, 48(3), 831-880.
Jensen, M. y Meckling, W. (1976). Theory of the firm: Managerial behavior agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
Jensen, M. y Murphy, K. (1990a). Performance pay and top-management incentives. Journal of Political Economy, 98(2), 225-264.
Jensen, M. y Murphy, K. (1990b). CEO incentives - it’s not how much you pay but how. Journal of Applied Corporate Finance, 3(3), 36-48.
Korczak, A., Korczak, P. y Lasfer, M. (2010). To trade or not to trade: The strategic trading of insiders around news announcements. Journal of Business Finance & Accounting, 37(3-4), 369-407.
Lakonishok, J. y Lee, I. (2001). Are insider trades informative? Review of Financial Studies, 14(1), 79-111.
Lin, J. y Howe, J. (1990). Insider trading in the OTC market. Journal of Finance, 45(4), 1273-1284.
Madura, J. y Wiant, K. J. (1995). Information content of bank insider trading. Applied Financial Economics, 5(4), 219-227.
McConnell, J. y Servaes, H. (1995). Equity ownership and the two faces of debt. Journal of Financial Economics, 39(1), 131-157.
Miguel, A., Pindado, J. y de la Torre, C. (2004). Ownership structure and firm value: New evidence from Spain. Strategic Management Journal, 25(12), 1199-1207.
Morck, R., Shleifer, A. y Vishny, W. (1988). Management ownership and market valuation: An empirical analysis. Journal of Financial Economics, 20(1-2), 293-315.
Pindado, J. y de la Torre, C. (2006). The role of investment, financing and dividend decisions in explaining corporate ownership structure: Empirical evidence from Spain. European Financial Management, 12(3), 661-687.
Rajan, R. G. y Zingales, L. (1998). Financial dependence and growth. American Economic Review, 88(3), 559-586.
Rogoff, D. L. (1964). The forecasting properties of insiders’ transactions. Journal of Finance, 19(4), 697-698.
Rozanov, K. (2008). Corporate governance and insider trading [consultado 25 Abr 2016]. Disponible en: Disponible en: https://dspace.mit.edu/bitstream/handle/1721.1/45333/315871878-MIT.pdf?sequence=2 .
Seyhun, H. (1986). Insiders’ profits, costs of trading, and market efficiency. Journal of Financial Economics, 16(2), 189-212.
Shleifer, A. y Vishny, R. (1997). A survey of corporate governance. Journal of Finance, 52(2), 737-783.
Steiner, T. (1996). A reexamination of the relationship between ownership structure, firm diversification, and Tobin’s q. Quarterly Journal of Business and Economics, 35(4), 39-48.
Stulz, R. (1988). Managerial control of voting rights: Financing policies and the market for corporate control. Journal of Financial Economics, 20(1-2), 25-54.
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2017-09-25
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Cómo citar
El efecto de los mecanismos internos de control en las operaciones con información privilegiada. (2017). Estudios Gerenciales, 33(144), 228-239. https://doi.org/10.1016/j.estger.2017.07.002
