Investigación SOC – 04

BOARD, en línea con su principal propósito de ser un lugar de análisis, estudio, extensión y debate de ideas sobre las mejores prácticas de gobierno corporativo y estrategia, pone a disposición del público general doce investigaciones relacionadas con gobierno corporativo, las cuales se enmarcan en el proyecto SOC – 04, Anillo de Investigación en Gobierno Corporativo, financiado por Conicyt. La institución principal de SOC – 04 es Universidad Diego Portales, con la participación de la Pontificia Universidad Católica (PUC) como institución asociada.

Fernando Lefort
Director de Proyecto

BOARD agradece a los autores o co-autores de los artículos de investigación presentados en esta sección, cuyas investigaciones podrían haber sido financiadas total o parcialmente por SOC – 04: Fernando Díaz, Fernando Lefort, Gabriel Ramírez, Marcello Donelli, Borja Larraín, Francisco Urzúa, Francisco Gallego, Marco Morales, Long Chen, Zhi Da, Kenneth N. Daniels, Felipe Varas, Juan Pablo Montero, Alberto Naudon, Paulina Rojas Schmidt, y Eduardo Walker.

Nombre del Artículo: The Evolution of Market Efficiency and the Effectiveness of the Capital Market Reforms in Chile
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Autor(es): Fernando Díaz, Fernando Lefort
Idioma: Inglés
Resumen: Investigación que evalúa el efecto de la primera reforma al mercado de capitales chileno (MK1) en la eficiencia de las bolsas de comercio de Chile.
Abstract:
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This article evaluates the effect of the Chilean First Reform to the Capital Market (MK1) on the efficiency of the Chilean stock market. It finds that despite the implementation of the reform, the degree to which stock prices move together in Chile has increased over the last 20 years, which may suggest that stock prices have become less informative. However, when the authors rely on a more traditional concept of market efficiency and compute the association between stock price correlation and fundamentals correlation, they find that the strength of this association has increased after the implementation of MK1. This result is robust to the inclusion of liquidity controls. Therefore, it seems that the measures contained in the reform have indeed improved market efficiency.
Nombre del Artículo: Business Groups in Chile
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Autor(es): Fernando Lefort
Idioma: Inglés
Resumen: Artículo que describe los grupos económicos en Chile.
Abstract:
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This article looks at the main features of Chilean business groups and try to find some stylized factors that help in an understanding of their dynamic evolution.
Nombre del Artículo: Firm Level Cash Flow Sensitivity of Cash and Corporate Governance
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Autor(es): Fernando Díaz, Gabriel Ramírez
Idioma: Inglés
Resumen: Investigación que explora el "Cash Flow Sensitivity" a nivel de la firma, del Cash y el Gobierno Corporativo.
Abstract:
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This article constructs a new measure of firm-level “cash flow sensitivity of cash” using a correlated random effects estimation model. This measure is able to incorporate unobservable, time-invariant firm characteristics in the analysis of firm’s cash flows, in addition to the traditional observable, firm specific characteristics (e.g. governance, growth opportunities, and the degree of financial constraints). Thus, the use of this measure can significantly improve the assessments of the impact of firm individual characteristics and cash stock piling activities on firm value and firm’s investment policies. The authors empirically implement this measure and methodology using proxies for the level of firm’s financial constraints, agency conflicts, and governance, and the tangibility of assets. They find that stronger governance reduce the propensity of firms to stockpile cash. Furthermore, and consistent with this result, stronger governance in financially constrained firms induce lower level of investments and higher payouts to stock holders. This situation is not observed in unconstrained firms and may have important effects on firm values. Their new proposed methodology to compute cash flow sensitivity may play a central role in future empirical research expanding upon this new dimension of governance, as reflected in the power struggle between management and shareholders, particularly in relation to financing constraints and cash accumulation policies.
Nombre del Artículo: Ownership Dynamics with Large Shareholders: An Empirical Analysis
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Autor(es): Marcelo Donelli, Borja Larraín, Francisco Urzúa
Idioma: Inglés
Resumen: Investigación que estudia las determinantes empíricas de las dinámicas en la propiedad corporativa en mercados donde los grandes accionistas son prevalecientes.
Abstract:
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The article explores the empirical determinants of corporate ownership dynamics in a market where large shareholders are prevalent. The authors use a unique, hand-collected 20-year dataset on the ownership structure of Chilean companies. Controllers’ blockholdings are on average high –as in continental Europe, for instance– and quite stable over time. Controllers still make non-trivial changes to their holdings through issuance and block trades. In a typical year controllers’ blockholdings decrease (increase) by 5 percentage points or more in approximately 6% (7%) of firms. Few of these events are associated with changes in the identity of the controller although about half are correlated with changes in the size or composition of the board of directors. They find that agency problems, which we proxy with the separation between the controller’s control and cash-flow rights, reduce the likelihood of ownership dilution. Consistent with market timing, dilution is preceded by high stock returns, and predicts low stock returns in the future (particularly when done through issuance). Dilution does not seem to be followed by higher investment, debt growth, changes in profitability, or turnover in control.
Nombre del Artículo: CEO Compensation among Firms Controlled by Large Shareholders: Evidence from Emerging Markets
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Autor(es): Francisco Gallego, Borja Larraín
Idioma: Inglés
Resumen: Investigación que revisa las compensaciones al Gerente General entre firmas controladas por grandes accionistas, en mercados emergentes.
Abstract:
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Using a novel data base for three emerging markets, the authors find that the type of large shareholder matters for CEO compensation. In particular, they find a compensation premium of about 30 log points for professional (not controller-related) CEOs working in firms controlled by a family compared to firms controlled by other large shareholders. The premium cannot be explained away by standard firm characteristics, observable executive skills (e.g., education or tenure), or the compensation of the CEO in her former job. The premium comes mostly from family firms with absent founders and when sons are involved.
Nombre del Artículo: Finance, Productivity and Growth: Does it work for Chile?
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Autor(es): Fernando Díaz, Fernando Lefort, Marco Morales
Idioma: Inglés
Resumen: Artículo que analiza el efecto que el desarrollo de los mercados financieros y de valores han tenido en el incremento de la productividad y del crecimiento económico en Chile.
Abstract:
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The purpose of this article is to analyze the effect that fnancial and securities markets development has had in increasing productivity and economic growth in Chile.
Nombre del Artículo: What Moves Investment Growth?
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Autor(es): Long Chen, Zhi Da, Borja Larraín
Idioma: Inglés
Resumen: Investigación que explora los elementos que mueven el crecimiento en la inversión.
Abstract:
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The authors use accounting identities to decompose unexpected changes in investment growth into surprises to current earnings growth and stock returns, and revisions of expectations about future cash-flow growth and future discount rates. Using a vector autoregressive model in U.S. data they find that current earnings surprises account for the largest component in the variance of investment growth. Investment growth is negatively correlated with news about future cashflow growth, something that can be expected from persistent shocks to productivity levels. The terms involving returns are of second order importance. Therefore, the market looks like a side show for understanding investment growth.
Nombre del Artículo: The Existence of Corporate Bond Clawbacks (IPOCs): Theory and Evidence
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Autor(es): Kenneth N. Daniels, Fernando Díaz, Gabriel Ramírez
Idioma: Inglés
Resumen: Investigación que explora la teoría y evidencia sobre la existencia de ""Corporate Bond Clawbacks (IPOCs)""
Abstract:
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Clawback provisions allow the issuer to partially redeem a bond issue often within three years of issuance using proceeds only from new equity issues. Empirical evidence indicates the clawback provision is rarely exercised. This poses an interesting dilemma as clawback provisions are an expensive source of funding, often commanding yields that are significantly higher than traditional corporate bonds. The authors develop a simple model that provides a rationale for the scarcity of call redemptions and the higher yields of clawback bonds. The model predicts a relation between issuance of clawback bonds, cash flow volatility and the probability of renegotiation of clawback debt contracts.
Nombre del Artículo: Equity Issues and Return Volatility
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Autor(es): Borja Larraín, Felipe Varas
Idioma: Inglés
Resumen: Investigación sobre "Equity Isuues and Return".
Abstract:
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This research shows that the negative (positive) effect of equity issuance (repurchase) on future returns is relatively stronger among stocks with high return volatility. The authors find that the issuance of stocks with high return volatility is more sensitive to market-tobook ratios, and more volatile overall. This evidence is consistent with the behavioral view of equity issues, which predicts that market timing should be more pronounced among stocks exposed to more volatile sentiment. The results using the sensitivity of returns to Baker and Wurgler (2006)’s aggregate sentiment index, which is another proxy for sentiment volatility, are weaker than with return volatility. This suggests that the issuance anomaly is more closely related to idiosyncratic rather than systematic sentiment. They find that the market betas of volatile issuers change as predicted by the real options theory. However, the same beta patterns are found in repurchasing firms despite the divergence in returns between issuers and repurchasers.
Nombre del Artículo: Price Dispersion in Good and Bad Times
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Autor(es): Borja Larraín, Juan Pablo Montero, Alberto Naudon
Idioma: Inglés
Resumen: Investigación sobre dispersión de precios.
Abstract:
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Nombre del Artículo: Liquidity Holdings and Conglomerates: Evidence from an Emerging Market
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Autor(es): Paulina Rojas Schmidt, Eduardo Walker
Idioma: Inglés
Resumen: Artículo sobre liquidez de holdings y conglomerados, usando evidencia de un mercado emergente.
Abstract:
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The authors study the determinants of liquidity holdings by firms and relate it with affiliation to conglomerates or groups. Optimizing liquidity management at the group level should be more efficient than doing so at the individual firm level, which implies lower average liquidity holdings. Furthermore, the Internal Capital Markets (ICM) hypothesis explains groups as ways of mitigating the transaction costs of operating in imperfect capital markets, which exist due to capital market underdevelopment and/or to other imperfections, such as taxes. They consider a sample of Chilean firms during a period of local capital market development, so ICMs should reduce their relative importance through time. However, important imperfections remain, which still favor conglomerate affiliation. They find that group -affiliated firms hold significantly less cash and that their cash holdings are less sensitive to certain firm-level variables. There is no evidence of a reduction in the relative importance of ICMs. Also, average cash balances have not decreased, but they are low by international standards.
Nombre del Artículo: Stock Market Development and Cross-Country Differences in Relative Prices
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Autor(es): Borja Larraín
Idioma: Inglés
Resumen: Artículo sobre el desarrollo del mercado accionario y diferencias entre países en precios relativos.
Abstract:
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The author documents a positive correlation between stock market capitalization and price levels (wages) within the group of countries with poorly developed stock markets and a negative correlation between these two variables within the group of countries with more developed stock markets. This paper argues that there is a causal relationship behind these correlations. Stock markets initially stimulate growth, pushing the demand for nontradables and increasing prices and wages. Stock markets also promote a shift toward more capital-intensive technologies in the tradable sector, increasing the migration of workers to services and eventually putting downward pressure on wages and prices.