Valoración de recursos propios en empresas mineras: evidencia y comparación con otros sectores

El capital financiero es muy volátil y si el inversor no obtiene una remuneración adecuada al riesgo que asume puede plantearse el retirar su capital del patrimonio de la empresa y, en consecuencia, producir un cambio estructural en cualquier sector de la economía. El objetivo principal es el estudio de los coeficientes de regresión (coeficiente beta) de los modelos de valoración de activos empleados en Economía Financiera, esto es, el estudio de la variación de la rentabilidad de los activos en función de los cambios que suceden en los mercados. La elección de los modelos utilizados se justifica por la amplia utilización teórica y empírica de los mismos a lo largo de la historia de la Economía Financiera. Se han aplicado el modelo de valoración de activos de mercado (capital asset pricing model, CAPM), el modelo basado en la teoría de precios de arbitraje (arbitrage pricing theory, APT) y el modelo de tres factores de Fama y French (FF). Estos modelos se han aplicado a los rendimientos mensuales de 27 empresas del sector minero que cotizan en la bolsa de Nueva York (New York Stock Exchange, NYSE) o en la de Londres (London Stock Exchange, LSE), con datos del período que comprende desde Enero de 2006 a Diciembre de 2010. Los resultados de series de tiempo y sección cruzada tanto para CAPM, como para APT y FF producen varios errores, lo que sugiere que muchas empresas del sector no han podido obtener el coste de capital. También los resultados muestran que las empresas de mayor riesgo tienden a tener una menor rentabilidad. Estas conclusiones hacen poco probable que se mantenga en el largo plazo el equilibrio actual y puede que sea uno de los principales factores que impulsen un cambio estructural en el sector minero en forma de concentraciones de empresas. ABSTRACT Financial capital is highly volatile and if the investor does not get adequate compensation for the risk faced he may consider withdrawing his capital assets from the company and consequently produce a structural change in any sector of the economy. The main purpose is the study of the regression coefficients (beta) of asset pricing models used in financial economics, that is, the study of variation in profitability of assets in terms of the changes that occur in the markets. The choice of models used is justified by the extensive theoretical and empirical use of them throughout the history of financial economics. Have been used the capital asset pricing model, CAPM, the model XII based on the arbitrage pricing theory (APT) and the three-factor model of Fama and French (FF). These models have been applied to the monthly returns of 27 mining companies listed on the NYSE (New York Stock Exchange) or LSE(London Stock Exchange), using data from the period covered from January 2006 to December 2010. The results of time series and cross sectional regressions for CAPM, APT and FF produce some errors, suggesting that many companies have failed to obtain the cost of capital. Also the results show that higher risk firms tend to have lower profitability. These findings make it unlikely to be mainteined over the long term the current status and could drive structural change in the mining sector in the form of mergers.

Equity pricing in the mining sector: evidence from NYSE and LSE

The study examines the Capital Asset Pricing Model (CAPM) for the mining sector using weekly stock returns from 27 companies traded on the New York Stock Exchange (NYSE) or on the London Stock Exchange (LSE) for the period of December 2008 to December 2010. The results support the use of the CAPM for the allocation of risk to companies. Most companies involved in precious metals (particularly gold), which have a beta value less than unity (Table 1), have been actuated as shelter values during the financial crisis. Values of R2 do not shown very explanatory power of fitted models (R2 < 70 %). Estimated coefficients beta are not sufficient to determine the expected returns on securities but the results of the tests conducted on sample data for the period analysed do not appear to clearly reject the CAPM

Return of Equity Issues in the Spanish Stock Market from the Investor’s Perspective, during the 1997-2012 Period

Is it profitable for an investor, from a risk-return perspective, to acquire a stake in a quoted company when a capital increase is announced? This paper analyses the return obtained from the investment in equity issues with cash contribution and pre-emptive rights, aimed at funding corporate activities: acquisitions, investments in new facilities and/or strengthening the balance sheet of the companies undertaking the equity issue. During the 16 years covered by the study, the results show a negative average excess risk-adjusted return of almost 5%, from the moment that the equity offer is announced until the completion of the preferential subscription period. To obtain this excess return, the difference between the nominal Internal Rate of Return (IRR) and the expected return, using the CAPM, is computed for each equity issue. The intention behind this method is to eliminate the effects of time and any other possible effect on the stock price during the period of the analysis.The results from this article are consistent with the Pecking Order theory for the Spanish Stock Market also six months after the preferential subscription period. However, there is a positive return after three months.

Efectividad de las señales de compromiso de suscripción ante el anuncio de ampliaciones de capital en España

El objetivo de esta tesis doctoral es averiguar si el anuncio por parte del accionista significativo de ejercitar su derecho de suscripción preferente elimina o reduce la asimetría de información en las ampliaciones de capital con derecho de suscripción preferente en el Mercado de Valores español. Durante los 17 años analizados, encontramos que ni el anuncio de la ampliación de capital ni el tipo de aseguramiento acordado en cada ampliación tienen un impacto estadísticamente significativo en el Exceso de Rentabilidad Ajustada por Riesgo. Principalmente, el análisis realizado utiliza la información requerida por la Comisión Nacional del Mercado de Valores (CNMV) que deben aportar los accionistas significativos en el Folleto de emisión publicado con carácter previo a la ampliación. Esta investigación desglosa las ofertas en un Grupo 1, el cual incluye aquéllas en las que los accionistas significativos anuncian su intención de ejercitar su derecho en las emisiones, y el Grupo 2, que incluye aquéllas en donde no acuden o simplemente no existía información al respecto ya que no es una información obligatoria a incluir en el Folleto. Para cada ampliación de capital y para tres periodos de tiempo distintos se obtiene el Exceso de Rentabilidad Ajustada por Riesgo (ERAR) como la diferencia entre la Tasa Interna de Retorno y el Retorno Esperado, utilizando el modelo CAPM. De este modo, se trata de aislar el efecto temporal. La principal contribución de esta tesis doctoral es el hallazgo de una rentabilidad negativa estadísticamente significativa cuando el accionista significativo anuncia su intención de no suscribir la ampliación, o no existe información suficiente sobre su intención a este respecto. Adicionalmente, el análisis que se ha llevado a cabo en este estudio muestra un refuerzo estadísticamente significativo de este efecto negativo en la rentabilidad cuando existe simultáneamente una falta de compromiso por parte del accionista significativo y la ampliación no está asegurada. ABSTRACT The aim of this doctoral dissertation is to find out whether or not consideration of significant shareholders announcement of intention to exercise subscription rights makes a difference in eliminating or reducing the effects of asymmetrical information in equity offerings with pre-emptive rights on the Spanish Stock Market. For the 17 years of equity issues covered, we find that neither equity issue announcements nor the type of underwriting arrangements has a statistically significant impact on the issues’ Excess Risk Adjusted Return. The analysis uses the information required by CNMV (Spanish equivalent to SEC) to be provided by the significant shareholders in the equity issue’s prospectus. The doctoral dissertation breaks the offerings down into Group 1, in which the significant shareholders indicated their intention to subscribe, and Group 2, for which there was not enough information provided as to their intentions. For each equity issue, Excess Risk Adjusted Return (ERAR) is obtained, for three different periods, as is the difference between nominal Internal Rate of Return and expected return, using the CAPM. By subtracting the expected return from the IRR, the effect of time or any other variable influencing the stock price during the period, aside from the equity issue, should, in principle, be removed. The main contribution of this study is the finding of a statistically significant negative impact on returns either when the significant shareholders indicate their intention not to subscribe, or when not enough information is provided about their intention. We also find a statistically significant reinforcing negative effect on returns in the case of simultaneous lack of commitment on the part of significant shareholders, and non-underwritten equity issues.