CUNEF Universidad Finance Professors Receive Awards in Recognition of their Research

In the latest edition of the Finance Forum, held in July by the Spanish Finance Association (AEFIN), CUNEF Professors Iván Blanco, José María Martín Flores and Álvaro Remesal received an award from INVERCO for the BEST PAPER ON ASSET MANAGEMENT, and an article co-authored by Professor Miguel de Jesús was awarded the BEST PAPER ON STOCK MARKET by BMEX. Both awards were a recognition of the quality of the research papers published internationally in SSRN.

With these awards, both institutions recognise the research carried out by CUNEF Universidad Finance and Accounting Professors and confirm the outstanding scientific work of the Teaching and Research staff at CUNEF Universidad, focused on advancement and transfer of knowledge to society.

INVERCO Award: Best Paper on Asset Management

CUNEF Professors Iván Blanco, José M. Martin Flores and Álvaro Remesal

Paper: Stock Price Informativeness and the Propagation of Idiosyncratic Shocks by Institutional Investors

In this paper, the authors provide new evidence on the effects of the actions of institutional investors (including investment funds, hedge funds, pension funds, etc.) in terms of the informativeness of the stocks in their portfolio and their activities in secondary markets. Specifically, they show that when a natural disaster takes place and hits some of the stocks in an investor’s portfolio, the price informativeness of stocks that have not been directly impacted decreases. This decrease is explained more by systematic market or industry factors than by fundamental reasons, but it has a very real impact, since the decrease in stock price informativeness affects the ability of business leaders to incorporate market expectations into their decisions.


BME Award: Best Paper on Stock Markets

CUNEF Professor Miguel de Jesús and ESADE Professor Ariadna Dumitrescu

Paper: Attention, Distraction, and the Speed of Information Transmission

Investors’ capacity to compile and interpret all the information available in the market is not infinite. This paper delves into how this limitation affects an essential aspect of financial markets: the incorporation of information into prices. The authors show how investor attention to the reports filed by US companies with the SEC (Securities and Exchange Commission) accelerates the incorporation of the information they contain into prices. They quantify by analysing the activity on the SEC’s EDGAR (Electronic Data Gathering and Retrieval system) server, concluding that the count of IP addresses that visit a filing is positively related to the speed of the price response. They also find that the amount of attention attracted by disclosures from other industries has the opposite effect. This attention indicates the level of investor distraction, since it seems to reduce the time and effort they put into interpreting the news on their investment. The authors confirm that the effectiveness of this measure of distraction, even when considering the attention paid, relies on the two-step process followed by investors to get information. They provide evidence for the first time of the fact that, due to human limitations, investors pay attention only to subgroups of the many news available, and then divide their ability to process information between the news contained in this subgroup.

Miguel Karlo de Jesús:


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