Study of market anomalies in equity offerings

• Autores: Manuel Verdú Henares
• Directores de la Tesis: Óscar Carchano Alcina (dir. tes.)
• Lectura: En la Universitat de València ( España ) en 2023
• Idioma: inglés
• Número de páginas: 219
• Tribunal Calificador de la Tesis: Antonio Díaz Pérez (presid.), Laura Ballester (secret.), Tony Klein (voc.)
• Programa de doctorado: Programa de Doctorado en Finanzas y Economía Cuantitativas/Quantitative Finance and Economics por la Universidad Complutense de Madrid; la Universidad de Castilla-La Mancha; la Universidad del País Vasco/Euskal Herriko Unibertsitatea y la Universitat de València (Estudi General)
• Menciones:
  • Internacional
• Calificación: Sobresaliente Cum Laude
• Materias:
  • Ciencias económicas
    • Economía general
• Enlaces
  • Tesis en acceso abierto en: webges.uv.es (pdf)
• Resumen

  • This Doctoral Thesis studies the market anomalies that can be generated in equity offerings around the world.

    Chapter I consists of an analysis of the market anomalies focused on the Spanish market. An arbitrage strategy is applied to each of the equity offerings detected and a short-term Event Study is carried out to analyze the effects of six different events, as well as a long-term Event Study to detect possible anomalies that persist over time. These analyses are also performed by grouping the sample into different subgroups formed according to certain characteristics of the offering or the issuing company.

    Chapter II consists of extending the analysis of arbitrage opportunities performed in Chapter I to all possible equity offerings with subscription rights, including many countries in the sample. In these cases, country-specific regulations and particularities must be considered when determining how to apply such an arbitrage strategy. In addition, a set of models are also estimated to try to detect the factors that best explain the anomalies detected, and another set of binary response models to try to predict their occurrence within the sample.

    Chapter III consists of extending the analysis made in Chapter I on the effects that different events may have on the markets to the largest possible sample of equity offerings, also including those that do not issue subscription rights. This analysis is carried out by means of an Event Study, although in this case two reference models are used instead of one, and the event window does not only include the day of the event, but also the days before and after the event. In addition, a methodology such as a robustness check is also applied. These methodologies are applied for the full sample and for subgroups depending on different factors, but also for subgroups corresponding to the countries and events included in the analysis.

    Chapter IV consists of a more focused analysis of the relationship between arbitrage opportunities and the company's behavior and commitment to social and environmental aspects, as well as the country's level of development. To this end, the sample is limited to those companies for which an ESG score is available, and the outcome of the arbitrage strategies applied in their equity offerings is analyzed, both by means of statistical tests and by means of a model approach.

    All the results obtained point to the presence of the market anomalies analyzed in equity offerings around the world, both in the case of arbitrage opportunities and anomalous returns during events related. We also identify factors specific to these processes or to the issuing companies that could be involved in their formation, either favoring them (ratio of new shares to old ones) or reducing them (belonging to a stock market index or the company's sustainability). This Thesis succeeds in obtaining valid and common results for all these types of processes.