BUSCADOR RECOLECTA

This paper analyses four key markets within the European context. In this context, where the level of analyst coverage is lower than in the US setting, we aim to ascertain whether the origin of optimism in analyst forecasts in these markets is mainly strategic or whether it also contains an element of cognitive bias. Despite the fact that forecast errors lack the explanatory power to account for a significant percentage of the relationship between market sentiment and future stock returns, our new tests based on selection bias (SB1 and SB2), in conjunction with an analysis of abnormal trading volume, confirm the presence of both cognitive bias and strategic behaviour in analyst forecasts. This shows that, although regulation can reduce analyst optimism bias, the benefits are constrained by the fact that optimism bias is partly associated with cognitive bias., This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819) and from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01). Elena Ferrer would also like to thank the Scientific Research Grant from Fundación Banco Herrero 2012.

This is an accepted manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 2014/12/7, available online: http://dx.doi.org/10.2753/REE1540-496X490504., We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and BTM market variables. Although we find no size effect in any of the markets considered, the BTM effect is very strong in all of them, and our results reveal a consistent relationship, analogous to that found in more developed markets, between default probability and the size and book-to-market variables., This paper has received financial supp
ort from the Spanish Ministry of Science
and Innovation (ECO2009-12819) and the Ministry of Economy and Competitiveness
(ECO2012-35946-C02-01). Isabel Abinzano particularly acknowledges the financial support
of the Andalusian Regional Government (P09-SEJ-4467).

This is the peer reviewed version of the following article: Blasco, N., Corredor, P. and Ferreruela, S. (2012), Market sentiment: a key factor of investors’ imitative behaviour. Accounting & Finance, 52: 663–689, which has been published in final form at doi: 10.1111/j.1467-629X.2011.00412.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving., The aim of this paper is to explore herding behavior among investors in order to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity. The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997-2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor., The authors acknowledge the financial support of the Spanish Ministry of Science and Innovation (ECO2009-12819), ERDF funds, the Caja de Ahorros of the Inmaculada (Europe XXI Programme), the Government of Aragon and the Government of Navarra.

This is an accepted manuscript of an article published by Taylor & Francis in Spanish Journal of Finance
and Accounting / Revista Española de Financiación y Contabilidad in 2013, available online: http://dx.doi.org/10.1080/02102412.2013.10779746, El presente trabajo analiza el efecto del sentimiento en las rentabilidades de los activos del
mercado español. Los resultados muestran un efecto significativo del índice de sentimiento local sobre
las rentabilidades de los activos del propio mercado, tanto sobre el mercado en su conjunto como en
carteras de activos más sensibles por su dificultad de valoración o de arbitraje. También se ha mostrado
la existencia de un efecto del sentimiento en dos esferas diferentes, una de ámbito más global
y otra de ámbito local independiente de la anterior, probablemente ligada a aspectos institucionales
o culturales del mercado. Si bien el primero causa al segundo, no se encuentra evidencia de que el
mecanismo de transmisión esté relacionado con la actividad real asociada con los flujos de capitales
entre mercados. El análisis del efecto del sentimiento durante la última crisis financiera robustece los
resultados. No obstante, el sentimiento global absorbe todo el efecto del sentimiento local lo que deja
intuir el carácter global de la crisis actual., This paper analyzes the investor sentiment effect in the Spanish stock returns. The findings
show that local sentiment has a significant influence on their own future returns, not only on the
market as a whole but also on stocks that are hard to value and more costly and risky to arbitrage. We
also find that both global and local sentiment have a significant infl uence on returns, the latter probably
linked to country cultural or institutional characteristics. Although the causality runs from global
sentiment to local sentiment, we do not find evidence that private capital flows are one mechanism by
which sentiment spreads across markets. The analysis of the sentiment effect during the latest fi nancial
crisis increases the robustness of our results. However, global sentiment absorbs the effect of local
sentiment, which indicates the global character of the crisis., Los autores agradecen la ayuda financiera del proyecto ECO2009-12819 del Ministerio Español de
Ciencia e Innovación y del Ministerio de Economía y Competetividad ECO2012-35946.

This is an accepted manuscript of an article published by Taylor & Francis in Quantitative Finance on February 2012, available online: http://dx.doi.org/10.1080/14697688.2010.516766, According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyze the impact of herding, which may be interpreted as one of the components of uninformed trading, on the volatility of the Spanish stock market. Herding is examined at the intraday level, considered the most reliable sampling frequency for detecting this type of investor behavior, and measured using the Patterson and Sharma (2006) herding intensity measure. Different volatility measures (historical, realized and implied) are employed. The results confirm that herding has a direct linear impact on volatility for all of the volatility measures considered although the corresponding intensity is not always the same. In fact, herding variables seem to be useful in volatility forecasting and therefore in decision making when volatility is considered a key factor., Natividad Blasco and Sandra Ferreruela wish to acknowledge the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03-03/ECON), the Spanish Ministry of Science and Innovation (ECO2009-12819-C03-02), ERDF funds, the Caja de Ahorros de la Inmaculada (Europe XXI Programme) and the Government of Aragon. Pilar Corredor is grateful for the financial support of the Spanish Ministry of Education and Science (SEJ2006-14809-C03-01), the Spanish Ministry of Science and Innovation (ECO2009-12819-C03-01), ERDF funds and the Government of Navarra.

This is the peer reviewed version of the following article: Casado, J., Muga, L. and Santamaria, R. (2013), The effect of US holidays on the European markets: when the cat’s away…. Accounting & Finance, 53: 111–136, which has been published in final form at doi: 10.1111/j.1467-629X.2011.00460.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving., This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly can not be explained by seasonal effects, such as the day of the week effect, the January effect or the pre-holiday effect, nor is it consistent with behavioral finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation., This paper has received financial support from the Spanish Ministry of Science and Innovation
(ECO2009-12819).

This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a representative set of European indexes (CAC40, DAX30, FTSE100, IBEX35 and Eurostoxx50). Consistent with expectations, we have shown that the correlation is not stable with the level of investor sentiment. More specifically, the correlation between the two markets diminishes significantly during periods of high investor sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results are compatible with behavioural finance theories suggesting that high investor sentiment leads to an increase in noise trading and a decline in arbitrage activity due to institutional investors’ attempts to limit their risk exposure., This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819) and from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01).

This is an accepted manuscript of an article published by Taylor & Francis in Journal of Behavioral Finance on July 2013, available online: http://dx.doi.org/10.1080/15427560.2013.819805, This paper studies the effect of investor sentiment on analysts' consensus recommendations. Our results show that the optimistic bias of analysts in the issuing of recommendations is affected by investor sentiment: the greater the investor sentiment, the more optimistically biased the analysts’ consensus recommendations. This bias is larger in stocks whose characteristics make them hard to value or to arbitrage. We also show that investor sentiment can help in the design of profitable strategies, particularly when taking the short position in portfolios with high sentiment sensitivity stocks., This paper has received financial support from the Spanish Ministry of Science and
Innovation (ECO2009-12819).

This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears to involve both stock characteristics and cross-country cultural or institutional differences. The results also show sensitivity to the choice of sentiment proxy., This paper has received financial support from the Spanish Ministry of Science and Innovation (ECO2009-12819) and from the
Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01).

This is the peer reviewed version of the following article: Abinzano, I., Muga, L. and Santamaria, R. (2014), Is default risk the hidden factor in momentum returns? Some empirical results. Account Finance, 54: 671–698, which has been published in final form at doi:10.1111/acfi.12021. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving., This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, we show that it is not the hidden factor behind this effect. While the loser portfolio is characterized by high default risk, small size, high BTM and illiquidity, characterization of the winner portfolio is somewhat more complex. Given that the momentum strategy is the return differential between the winners and the losers, factors such as the stock market cycle or the evolution of momentum portfolios against their reference point make momentum profits difficult to forecast., This paper has received financial support from the Spanish Ministry of Science and
Innovation (ECO2009-12819) and the Ministry of Economy and Competitiveness
(ECO2012-35946-C02-01). Isabel Abinzano particularly acknowledges the financial
support of the Andalusian Regional Government (P09-SEJ-4467).

The aim of this paper is to explore herding behaviour among investors to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity. The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997–2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor.

According to rational expectation models, uninformed or liquidity trading make market price volatility rise. This paper sets out to analyse the impact of herding, which may be interpreted as one of the components of uninformed trading, on the volatility of the Spanish stock market. Herding is examined at the intraday level, considered the most reliable sampling frequency for detecting this type of investor behavior, and measured using the Patterson and Sharma (Working Paper, University of Michigan–Dearborn, 2006) herding intensity measure. Different volatility measures (historical, realized and implied) are employed. The results confirm that herding has a direct linear impact on volatility for all of the volatility measures considered, although the corresponding intensity is not always the same. In fact, herding variables seem to be useful in volatility forecasting and therefore in decision making when volatility is considered a key factor.