Deep prediction of investor interest: A supervised clustering approach

We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given time frame. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a synthetic scenario inspired by real data and then apply it to two real-world databases, a publicly available dataset about the position of investors in Spanish stock market and proprietary data from BNP Paribas Corporate and Institutional Banking.1,2

Transmisión entre mercados bursátiles y crisis financiera: El caso de España

The paper analyses if the interrelation between Spanish stock market and stock markets of USA, UK, German and France has been affected, and how, by subprime crisis. For that, a bivariate VAR-GARCH model has been estimated, over the period January 2000 to June 2012. A measure of integration degree, as the conditional correlation coefficient, is obtained from the estimated model. Analysing this measure leads to conclude that subprime crisis had a contagion effect. Moreover, the empirical evidence allows concluding that in poscrisis period the interrelation between Spanish market and French market has increased, while the interrelation with British market has reduced. On the other hand, the interrelation of Spanish stock market with German and USA stock markets have gone back to the level before subprime crisis.

Effect of the Disclosure of Corporate Social Responsibility on Business Profitability. A Dimensional Analysis in the Spanish Stock Market

In recent decades, the novel fact of considering corporate social responsibility (CSR) as part of the corporate strategy of companies has resulted in interest groups demanding the disclosure of such information. Likewise, considering their importance of transparency and governance today, it is necessary to make an approximation on the study of the divulgation of CSR information on companies listed on the Spanish stock market. The aim of this work is to determine whether the disclosure of the measures taken by the companies on CSR influences business profitability. Applying PLS-SEM on the information extracted from the sustainability reports of 103 companies listed on the Spanish continuous market, it is found that the disclosure of CSR measures improves business profitability in its social and economic dimensions, with no effect being found between the disclosure CSR in its environmental dimension on business profitability.

The value of financial information to make investment decisions in the Spanish stock market

This article studies the correlation between companies listed on the Spanish continuous market and a set of ratios and financial economic variables used to measure business performance. The goal is to explain the behavior of the prices of the shares of the Spanish continuous market and design a model that optimizes long-term investments. The returns are compared with those of the Ibex 35 and the Ibex Total Return and it is concluded that some ratios have more influence than others in the evolution of the price and that it is not possible to beat the market significantly.

An empirical analysis of the relationship between the information quality of CSR reporting and reputation among publicly traded companies in Spain

Purpose Supported by the principles of the legitimacy theory, the purpose of this paper is to explore the relationship that exists between the information quality of the corporate social responsibility (CSR) reporting provided by the most liquid companies operating in the Spanish Stock Market and their corporate reputation. Design/methodology/approach Three regression models are tested with panel data collected for a sample of the 35 most liquid companies operating in the Spanish Stock Market between 2004 and 2014. Findings The findings show that two axes of information quality (i.e. content and management systems) should be necessarily controlled by companies in order to improve their corporate reputation through their CSR reporting. The content axis refers to the compliance of CSR reports with the provision of qualitative, quantitative, and evaluative information concerning the impacts of the CSR of the company on society and the environment. The management systems axis refers to the compliance of CSR reports with the disclosure of details about the policies, plans, and actions that companies implement to assure an effective management of CSR initiatives. Originality/value Previous literature exploring the relationship between corporate reporting and reputation has frequently focused on either the impact of the quantity of financial and CSR information reported by companies and the role of information quality, but only in reference to a number of specific themes (environment, customers) and not to the full range of information covered by CSR reports. The authors of this paper extend on previous academic literature by empirically evaluating the relationship between two dimensions of the information quality of CSR reporting (content and management systems) and the corporate reputation of companies operating in the Spanish Stock Market.