Análise da divulgação ambiental das empresas cotadas no PSI20 e no IBEX35 nos anos de 2010 e 2011

Mestrado em Contabilidade

Os efeitos das variações das taxas de juro na volatilidade dos mercados bolsistas

Mestrado em Controlo de Gestão e dos Negócios

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

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, 2001. The research period comprised the financial years 1998, 1999, and 2000. A regression analysis showed that between 15.9% and 23.4% of shareholder value creation can be explained by shareholder value orientation.

La integracion de los discapacitados en el mercado laboral español, año 2008

L'objecte d'aquest treball és l'anàlisi de la situació laboral dels discapacitats al llarg de l'any 2008. Per a la seva elaboració s'ha dut a terme un estudi del tracte que aquest col·lectiu rep per part de les Administracions Públiques, les empreses i la societat en general. Al llarg del treball es donarà una visió detallada de la normativa legal vigent en favor dels discapacitats, de la presència d'aquest col·lectiu en les plantilles de les empreses representades en l'IBEX 35 i de les activitats adreçades a aconseguir la seva plena integració engegades des de les diferents associacions i fundacions espanyoles. Històricament els discapacitats s'han trobat en una situació de clara desavantatge en el mercat laboral, patint taxes d'atur molt superiors a les de la població total. Pel que fa a aquesta circumstància, l'Estat Espanyol, comptant amb el suport d'una extensa xarxa d'organismes no guvernamentals, ha dissenyat una sèrie de mesures legals per tal d'incentivar la contractació d'aquestes persones per part de l'empresariat espanyol. Amb aquest assaig acadèmic es pretén analitzar l'efectivitat d'aquestes mesures i trobar possibles solucions tendents a afavorir la paulatina integració dels discapacitats.

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Among the underlying assumptions of the Black-Scholes option pricingmodel, those of a fixed volatility of the underlying asset and of aconstantshort-term riskless interest rate, cause the largest empirical biases. Onlyrecently has attention been paid to the simultaneous effects of thestochasticnature of both variables on the pricing of options. This paper has tried toestimate the effects of a stochastic volatility and a stochastic interestrate inthe Spanish option market. A discrete approach was used. Symmetricand asymmetricGARCH models were tried. The presence of in-the-mean and seasonalityeffectswas allowed. The stochastic processes of the MIBOR90, a Spanishshort-terminterest rate, from March 19, 1990 to May 31, 1994 and of the volatilityofthe returns of the most important Spanish stock index (IBEX-35) fromOctober1, 1987 to January 20, 1994, were estimated. These estimators wereused onpricing Call options on the stock index, from November 30, 1993 to May30, 1994.Hull-White and Amin-Ng pricing formulas were used. These prices werecomparedwith actual prices and with those derived from the Black-Scholesformula,trying to detect the biases reported previously in the literature. Whereasthe conditional variance of the MIBOR90 interest rate seemed to be freeofARCH effects, an asymmetric GARCH with in-the-mean and seasonalityeffectsand some evidence of persistence in variance (IEGARCH(1,2)-M-S) wasfoundto be the model that best represent the behavior of the stochasticvolatilityof the IBEX-35 stock returns. All the biases reported previously in theliterature were found. All the formulas overpriced the options inNear-the-Moneycase and underpriced the options otherwise. Furthermore, in most optiontrading, Black-Scholes overpriced the options and, because of thetime-to-maturityeffect, implied volatility computed from the Black-Scholes formula,underestimatedthe actual volatility.

Eficiência no Mercado Ibérico de Títulos: Evidência na Forma Fraca

A forma fraca da Hipótese de Eficiência de Mercado (HEM) é das três formas de eficiência propostas por Fama (1970) aquela que tem sido mais testada ao longo do tempo, em grande parte devido à disponibilidade de informação relativa aos dados históricos dos títulos. De acordo com esta hipótese, é impossível obter ganhos anormais através de estratégias de investimento com base em padrões dos preços passados. O objectivo deste trabalho é o de testar a hipótese de eficiência de mercado, na sua forma fraca, tendo por base os dois principais índices de acções do mercado de capitais ibérico ˗˗ o índice de acções português (Portuguese Stock Index, PSI-20) e o índice de acções espanhol (Spanish Stock Index, IBEX-35) ˗˗ no período compreendido entre Janeiro de 1997 a Dezembro de 2010. Para tal, recorre-se a uma metodologia baseada em quatro testes para analisar a hipótese de passeio aleatório: teste de correlação linear, teste de sequências, teste de raiz unitária e teste do rácio de variância. Todos estes testes foram realizados através dos softwares estatísticos EVIEWS 7.0 e SPSS 17.0. Os testes efectuados reportam resultados empíricos mistos. Apesar da hipótese de passeio aleatório ser suportada pelo teste de correlação linear, para as rendibilidades diárias dos dois índices de acções, e pelo teste de sequências para as rendibilidades diárias em relação ao IBEX-35, verifica-se que existem fortes evidências que conduzem à rejeição desta hipótese. Por conseguinte, a hipótese de eficiência na forma fraca também é rejeitada para os dois mercados bolsistas.

Earnings management in Spain. Some evidence from companies quoted in the Spanish stock exchange

After the accounting scandals that have taken place mainly in the UnitedStates during the last years, some Spanish leading authorities havedefended the idea that this kind of accounting problems cannot happen inSpain. They argue that accounting regulation in Europe, and specificallyin Spain, make more difficult the use of creative accounting practices.The objective of this paper is to identify some evidence about thesituacion in Spain. The study tries to demonstrate that some accountingpractices of several of the companies quoted in the Spanish Stock Exchangecould be qualified as earnings management.To carry out this study, the authors have analysed the accounts of the 35companies included in the stock market index IBEX 35. This index iscalculated with the share prices variations of the most importantcompanies quoted in the Spanish Stock Exchange.

Manipulation of earnings reports in Spain - some evidence

Accounting regulation is a highly topical issue for listed companies in Europe. From 1 January 2005 all companies listed in the EU member states are required to produce financial reports compliant with international accounting standards. Financial reports will be comparable with each other only if full compliance with the international standards can be ensured. Historically, however, an enduring weakness of the international standard-setting regime has been its inability to enforce compliance with its standards. There is a danger that implementation and compliance will be variable across the adopting countries, and that deeply ingrained national reporting practices will persist. The purpose of this paper is to examine some distinctive elements of Spanish financial reporting practices. Spanish financial reporting by major companies demonstrates a tendency towards quite overt manipulation of the earnings figures. The research reported in the paper firstly identifies four common earnings manipulation practices, and then proceeds to examine their incidence in the financial statements of the IBEX-35 companies over a three year period.

Biaixos informatius als mercats de valors

[cat] L'article presenta els resultats d'unes proves empíriques que mostren com en la informació econòmica a la premsa escrita poden haver-hi biaixos sistemàtics. Les empreses de sectors regulats son més actives informativament la qual cosa es tradueix en un major protagonisme en la premsa econòmica especialitzada. La primera prova empírica consisteix en una comprovació del protagonisme de les empreses de l'Ibex 35 i del Dow Jones a la premsa general i la econòmica d'Espanya i els Estats Units respectivament En la segona es fa una anàlisi de la informació del periòdic econòmic Expansión. L'existència de biaixos informatius sistemàtics indueix a qüestionar-se la hipòtesi de racionalitat en els mercats financers.

Aproximació del vigent Pla General Comptable a la NIC 1: presentació dels estats financers

L'objectiu principal del treball consisteix en analitzar quines són les modificacions de la Norma Internacional de Comptabilitat 1: Presentació dels estats financers, i veure com afecta als estats financers de les empreses que cotitzen a borsa i que presenten els seus comptes anuals consolidats. A la vegada, el treball inclou dos estudis empírics. El primer consisteix en analitzar si les empreses de l'Ibex 35 compleixen els requisits de la NIC 1 modificada. I el segon estudi consisteix en fer una anàlisi economica-­‐ financera d'aquestes empreses.

El resultado global: una aproximación de la información contable a la realidad de los mercados

Un elemento novedoso que incorporan las cuentas anuales es el resultado global, como nuevo concepto de resultado (que incorpora el tradicional resultado neto más o menos los ajustes en patrimonio neto) en sintonía con la realidad de los mercados. En nuestro trabajo analizamos si la información derivada del resultado global, en el período 2009-2011 para las empresas del IBEX 35, añade más poder informativo al análisis de los estados financieros y en especial a las rentabilidades como indicadores de la realidad de los mercados.

Industriales Research Meeting 2016

Industriales Research Meeting 2016 (IRM16) is an event to show the research activities at the School of Industrial Engineering (ETSII) of the Technical University of Madrid (UPM). The main purpose of this event is to present the ongoing research carried out by professors and researchers of the Institutes, Research Centres, Research Groups and Departments of this School, through funded research projects in close collaboration with public and private institutions and companies, some of them from IBEX-35. This book contains the 138 posters presented from different branches of engineering such as: acoustic, aerospace, bioengineering, chemical, electrical, electronics, automation, energy, environmental, management and industrial organization, laser technology and industrial organization, laser technology and applications, materials, mathematics, statistics, mechanics, manufacturing, structures, nuclear technology, seismic, vehicles and railways.

A cultura e as características qualitativas da informação financeira: evidência empírica a partir do relato de entidades cotadas na União Europeia

Mestrado em Contabilidade

COMPARISONS OF THE INTERSTELLAR MAGNETIC FIELD DIRECTIONS OBTAINED FROM THE IBEX RIBBON AND INTERSTELLAR POLARIZATIONS

Variations in the spatial configuration of the interstellar magnetic field (ISMF) near the Sun can be constrained by comparing the ISMF direction at the heliosphere found from the Interstellar Boundary Explorer (IBEX) spacecraft observations of a ""Ribbon"" of energetic neutral atoms (ENAs), with the ISMF direction derived from optical polarization data for stars within similar to 40 pc. Using interstellar polarization observations toward similar to 30 nearby stars within similar to 90 degrees of the heliosphere nose, we find that the best fits to the polarization position angles are obtained for a magnetic pole directed toward ecliptic coordinates of lambda, beta similar to 263 degrees, 37 degrees (or galactic coordinates of l, b similar to 38 degrees, 23 degrees), with uncertainties of +/- 35 degrees based on the broad minimum of the best fits and the range of data quality. This magnetic pole is 33 degrees from the magnetic pole that is defined by the center of the arc of the ENA Ribbon. The IBEX ENA ribbon is seen in sight lines that are perpendicular to the ISMF as it drapes over the heliosphere. The similarity of the polarization and Ribbon directions for the local ISMF suggests that the local field is coherent over scale sizes of tens of parsecs. The ISMF vector direction is nearly perpendicular to the flow of local interstellar material (ISM) through the local standard of rest, supporting a possible local ISM origin related to an evolved expanding magnetized shell. The local ISMF direction is found to have a curious geometry with respect to the cosmic microwave background dipole moment.

Is the development of infectious keratoconjunctivitis in Alpine ibex and Alpine chamois influenced by topographic features?

Infectious keratoconjunctivitis (IKC) caused by Mycoplasma conjunctivae is a widespread ocular affection of free-ranging Caprinae in the Alpine arc. Along with host and pathogen characteristics, it has been hypothesized that environmental factors such as UV light are involved in the onset and course of the disease. This study aimed at evaluating the role of topographic features as predisposing or aggravating factors for IKC in Alpine chamois (Rupicapra rupicapra rupicapra) and Alpine ibex (Capra ibex ibex). Geospatial analysis was performed to assess the effect of aspect (northness) and elevation on the severity of the disease as well as on the mycoplasmal load in the eyes of affected animals, using data from 723 ibex and chamois (583 healthy animals, 105 IKC-affected animals, and 35 asymptomatic carriers of M. conjunctivae), all sampled in the Swiss Alps between 2008 and 2010. An influence of northness was not found, except that ibex with moderate and severe signs of IKC seem to prefer more north-oriented slopes than individuals without corneal lesions, possibly hinting at a sunlight sensitivity consequent to the disease. In contrast, results suggest that elevation influences the disease course in both ibex and chamois, which could be due to altitude-associated environmental conditions such as UV radiation, cold, and dryness. The results of this study support the hypothesis that environmental factors may play a role in the pathogenesis of IKC.