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In this paper, we consider asset pricing models under the multivariate t-distribution with finite second moment. Such a distribution, which contains the normal distribution, offers a more flexible framework for modeling asset returns. The main objective of this work is to develop statistical inference tools, such as parameter estimation and linear hypothesis tests in asset pricing models, with an emphasis on the Capital Asset Pricing Model (CAPM). An extension of the CAPM, the Multifactor Asset Pricing Model (MAPM), is also discussed. A simple algorithm to estimate the model parameters, including the kurtosis parameter, is implemented. Analytical expressions for the Score function and Fisher information matrix are provided. For linear hypothesis tests, the four most widely used tests (likelihood-ratio, Wald, score, and gradient statistics) are considered. In order to test the mean-variance efficiency, explicit expressions for these four statistical tests are also presented. The results are illustrated using two real data sets: the Chilean Stock Market data set and another from the New York Stock Exchange. The asset pricing model under the multivariate t-distribution presents a good fit, clearly better than the asset pricing model under the assumption of normality, in both data sets.

The purpose of this paper is to show that different methods for calculating the spread (Bid-Ask) and the methods for annualizing intra-day data affect the results of econometric models. To achieve our goal, we analyze different econometric models in the context of: i) the International Financial Reporting Standards (IFRS) adoption, ii) the reduction of information asymmetry due to new corporate governance standards, and iii) the ownership concentration that characterize the Chilean Capital Market. We test the quality of the information delivered to the market using two information disclosure indices (DIS and Botosan). We find that the definition of spread and the methods for annualizing intraday data it is a key decision and may affect the statistical significance of the variables of a specific model.

El mercado de capitales chileno se caracteriza por alta concentración de la propiedad y por la participación de inversionistas institucionales como las Administradoras de fondos de Pensiones (AFP). En Chile, las IFRS se adoptan a partir del año 2009. Desde la emisión de la IFRS 13, en 2011, su aplicación ha sido voluntaria, y sólo obligatoria a partir del 2013. El propósito de este estudio es medir los efectos de la adopción anticipada del uso del valor razonable en la transparencia del mercado de capitales chileno y en la disminución de asimetría de información. Como proxy de la asimetría de información se trabajará con el spread (bid-ask) con datos de acciones intra-diarios de la Bolsa de Comercio de Santiago para el período 2007-2012. El estudio muestra que la aplicación anticipada de la IFRS 13 no ha producido efecto significativo en la asimetría de información, se aprecia además que la aplicación de la norma no ha producido el efecto esperado, es decir, a menor nivel de jerarquía del valor razonable menor es la asimetría de información.

The purpose of this paper is to measure the effects of adopting International Financial Reporting Standards (IFRS) on market transparency and in information asymmetry reduction. The spread (bid-ask) on intra-day shares from the Santiago Stock Exchange for 2007-2012 is used as a proxy for information asymmetry. The paper analyzes the relation between the spread and the quality of information provided to the capital markets, which are measured by two information disclosure indices (DIS and Botosan), and the relation between the spread and IFRS adoption, also using a group of control variables. We conclude that the disclosure of financial information, which is considered to be a significant element of the quality of corporate governance, and the adoption of IFRS have a negative relation with the spread. This paper contributes to the literature by analyzing this phenomenon in a market characterized by a high concentration of ownership in a country whose legislation protects minority shareholder rights and by using intra-day data to capture spread behavior.

Chilean publicly listed companies are required by law to pay out a minimum 30% of distributable earnings after taxes as dividends on common stock. The study extends Lintner’s [Lintner, J (1956). Distribution of incomes of corporations among dividend retained earnings and taxes. American Economic Review, 46, 97–113.] model of dividend smoothing and Banerjee [Banerjee, S, VA Gatchev and PA Spindt (2007). Stock market liquidity and firm dividend policy. Journal of Financial and Quantitative Analysis, 42(2), 369–398.] logistic model of the likelihood of a firm paying a dividend to investigate the signaling, liquidity, corporate governance, and information risk-based theories of dividends. The results show that Chilean firms’ excess dividends are smoothed in relation to the prior period level of excess dividends, and lagged earnings do not drive excess dividends even though the mandatory minimum dividend is defined in terms of lagged earnings. This insight establishes that dividend decisions regarding the size of the excess dividend and the likelihood of paying an excess dividend are distinct from the mandatory dividend payment. Additionally, the size of excess dividends and their likelihood are higher at firms with higher growth opportunities, a result consistent with the use of excess dividends as a signaling device. Results also demonstrate that greater transparency is associated with a greater likelihood of paying an excess dividend, but transparency does not drive policy regarding the size of the excess dividend. Moreover, the corporate governance mechanism creditor monitoring influences the size of excess dividends but not the likelihood of paying excess dividends. These results have implications for securities regulators evaluating the pros and cons of a mandatory dividend policy to protect minority shareholders in emerging markets.

Companies with relatively thin trading, a high concentration of insider ownership, and a privatized pension system characterize Chile’s Santiago Stock Exchange. Within this setting, we study the relationship between ownership concentration, corporate governance, and stock market liquidity. Our results suggest that board independence, corporate disclosure and outside monitoring by institutions help moderate the effects that insiders have on trading costs and liquidity. We also find that market makers with inventory reduce the informational component of trading costs. Finally, the trades of insiders provide price guidance to market makers, while traders employ a follow-the-insider strategy when transparency is low.

Information asymmetries are an important element in the functioning of capital markets. An indirect means of measuring information asymmetry is through the spread of stock prices. The purpose of this paper is to identify the explanatory variables and the determinants of the bid-ask spread and to quantify the influence that the actors involved in the brokering of publically offered securities may have over the spread. The methodology used to model the time series for each of the analyzed companies is based on a time series from each of the observed econometric multivariate processes. The analysis shows a significantly negative relationship between the spread and the market-maker size, calculated in terms of both the equity and the stock portfolio; likewise, activity is measured by observing the amount offered for purchase and/or sale.

espanolLos inversionistas necesitan disponer de informacion confiable para la toma de decisiones, por ello es importante medir la calidad de la informacion revelada publicamente por las sociedades cotizadas. En este trabajo se avanza en la medicion de la calidad de la informacion revelada usando la metodologia de analisis de correspondencias multiples, que para el caso analizado reduce el numero de variables tradicionalmente utilizadas por la literatura a tres dimensiones: revelacion de politicas y criterios contables, revelacion de informacion financiera y revelacion de la evaluacion del directorio. Usando las dimensiones obtenidas se caracteriza y clasifica a las empresas analizadas en funcion de la revelacion que muestra cada una de ellas. EnglishInvestors need reliable information for decision-making, so it is important to measure the quality of public information disclosed by quoted companies. This paper advances in the measurement of disclosed information using the multiple correspondence analysis methodology to reduce the number of traditionally used variables, resulting in three variables: i) disclosure of accounting policies and criteria, ii) disclosure of financial information and iii) disclosure of the board assessment. Using three these dimensions, we characterize and classify the analyzed companies according to their information disclosure.

In this research, a set of financial series with high frequency was modeled and forecasted using data from a sample of Chilean companies active in the capital market. We were worked with the series of Bid-Ask (Spread) as a measure of asymmetry of information. Both deterministic and stochastic methods of the sample of Chilean stock exchange were tested, for these purposes, we used intraday data equally spaced but with difference frequency from 2007 to 2013. The data included series belong to: service, energy, retail and mining companies. The deterministic forecasting methods used included Simple, Holt, Brown, and Damped Trend, and the stochastic forecast used were ARIMA (p, d, q), ARCH (p), GARCH (p, q), method. Besides were performed using functional curves including linear, logarithmic, inverse, quadratic, cubic, growth-exponential, and logistic. Each forecast result was compared using goodness of fit indices of the Root Mean Square Error, Mean Absolute Percentage Error and R-squared index. The methodology include two step, first we were calculated the forecast for each year of the study, and second, we were estimated the forecast for the total period of the sample. For the first result, the ARIMA (p, d, q) models provided an adequate forecast for 97% of the cases, and for the second result, the ARCH (p), GARCH (p, q) and ARIMA (p, d, q) models, provided an adequate forecast for 70%, 15% and 15% of the cases, respectively. The identification of models for each of the series, could provide knowledge about presence of possible imperfect information in the Chilean market.

The purpose of this work is to verify the stability of the relationship between real activity and interest rate spread. The test is based on Chen (1988) and Osorio and Galea (2006). The analysis is applied to Chile and the United States, from 1980 to 1999. In general, in both cases the relationship was statistically significant in early 80s, but a break point is found in both countries during that decades, suggesting that the relationship depends on the monetary rule follow by the Central Bank.

This article deals with the estimate of the systematic risk of a share, assuming that returns follow an independent t distribution. In order to analyse the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimator of the systematic risk, the local influence method was implemented. The results are illustrated by using a set of shares of companies belonging to the Chilean stock market. The main conclusion is that the t model with small degrees of freedom is able to incorporate possible outliers and influential returns in the data.

Our study investigates whether there is any connection between institutional investors fund flows and IFRS adoption in Chile. Our sample consists for 366 firm years between the years 2007-2012. Our results suggest that, during a period of economic crisis, the local pension funds were prone to “herding” behavior. Our study shows that during an economic crisis local pension funds seem to follow the investment behavior of mutual funds that are able to invest globally. Moreover, the mutual funds reaction is likely to be greater in companies not adopting IAS early; hence, the reaction to fair value measurement in company annual reports is confounded by many economic factors and during an economic crisis, and early adoption is more likely to help than hurt in less developed capital markets. Insiders seem to take advantage of this situation to increase their ownership concentration levels, which is exacerbated in companies that do not have an independent board.

In this paper we consider Sharpe's single-index model or Sharpe's model, by assuming that the returns obtained follow a multivariate t elliptical distribution. Also, given that the returns of the market are not observable, the statistical analysis was made in the context of an errors-in-variables model. In order to analyze the sensibility to possible outliers and/or atypical returns of the maximum likelihood estimators the local influence method [10] was implemented. The results are illustrated by using a set of shares of companies belonging to the Chilean Stock Market. The main conclusion is that the t model with small degrees of freedom is able to incorporate possible outliers and influential returns in the data.

Lefort and Walker (2007) find serious agency problems between controlling insider and outside minority shareholders in Chile. This study examines the impact of insiders' ownership and institutional holdings on firm performance and disclosure levels of publicly traded firms in Chile. The data from 70 firms from 1996-2005 is used to test the impact of ownership concentration, and institutional investments on firm performance and disclosure levels. When insider ownership levels reach 60 percent, we find evidence for the convergence-of-interest hypothesis between inside shareholders and institutional investors in positively affecting the firms' growth performance, but not firm values. Our findings also suggest institutional holdings and insider ownership levels negatively affect disclosure levels. Agency theory is used to explain the findings that are compared to the existing literature in global corporate governance, and its consequence for adopting IFRS by Chilean listed firms in 2009.

In 1980, Chile privatized its social security system, and currently there are five private pension funds managing approximately US$83 billion worth of retirement investments. The regulations provide for pension funds to appoint a member to the board of directors, and influence the appointment of auditors. Thus, institutions are playing a major role in Chile's transition a market-based financial system. The study uses data from 70 firms from 1995-2005 to test the impact of these institutional changes on firm value, transparency levels and earnings quality. The study finds that insider ownership levels and institutional ownership positively affects firm value but these factors, and the pension fund representation on firm boards negatively affects the transparency index. Further, institutional ownership levels also encourage the entrenched owners to use positive discretionary accrual to manage earnings. Using agency theory, we suggest that high insider ownership levels are an equilibrium that helps managers co-opt institutions by providing access to information, which bestows private benefits control to stakeholders aligned with entrenched insiders' interests.