Suchergebnisse

Un análisis del European Union Emissions Trading Scheme (EU ETS) es importante para tres tipos de agentes: instituciones públicas (consideran este mercado como pieza clave de la política climática de la UE), empresas (deben acudir a este mercado con el fin de cumplir con sus restricciones ambientales) e inversores (ven este mercado como una nueva oportunidad de inversión). Basándonos en las necesidades particulares de cada uno de estos tres grupos de interés, la tesis está integrada por tres capítulos empíricos que tienen como objetivo analizar la performance económica, con vistas a obtener cada uno, implicaciones adaptadas a las necesidades de cada uno de los citados grupos. El primero, tiene como objetivo analizar la relación existente entre la performance económica y la medioambiental de la totalidad de empresas españolas pertenecientes al EU ETS con el fin de proporcionar más información a las instituciones encargadas de elaborar políticas relacionadas con el EU ETS nacional, teniendo en cuenta la importancia de conseguir un balance entre las metas económicas y medioambientales. El objetivo del segundo es doble. En primer lugar, calculamos la eficiencia técnica y medioambiental de cada una de las empresas del sector energético español pertenecientes al EU ETS. En segundo lugar, examinamos hasta qué punto la eficiencia medioambiental determina el número de derechos de emisión que una empresa debe comprar o se puede permitir vender, y por tanto, los gastos o ingresos derivados de un bajo o alto grado de eficiencia. Esta investigación es considerablemente relevante para el management empresarial ya que permite conocer hasta qué punto mejoras en la eficiencia medioambiental influyen en el dinero que una empresa debe gastar en el EU ETS. En el tercer capítulo empírico, tomamos el punto de vista del inversor. Teniendo en cuenta que la mayor parte de las emisiones del EU ETS proceden del sector energético, nuestro objetivo es analizar la relación existente entre los derechos de emisión (EUAs) y los títulos bursátiles de empresas del sector energético, en concreto empresas del sector del petróleo & gas y de energías limpias.

This study offers an exploratory statistical analysis of the persistence of annual abnormal returns across a sample of firms from different European Union countries. To this end, a hierarchical Bayesian dynamic model has been used that enables the annual behaviour of those profits to be broken down into a permanent structural component and a transitory component, while also distinguishing between general effects affecting the industry as a whole and specific effects impacting on each firm in particular. This breakdown of the behaviour of profits allows for a more accurate assessment of the relative importance of these fundamental components by country and sector. Furthermore, through the Bayesian approach, it is possible to test different hypotheses about the homogeneity of the dynamic behaviour of the aforementioned components with respect to the sector and the country where the firm develops its activity. We find that although both the industry and firm effects are significant, the latter are more important to explain the dynamic evolution of abnormal returns. Specifically, firm effects account for 68% of total variation of the abnormal returns and display a lower degree of persistence with adjustment speeds oscillating at around 34%, while industry effects only account for 9% and have adjustment speeds oscillating between 7% and 8%. However, this pattern is not homogeneous and depends on the sector and country in which the firm carries out its activity. These results highlight the need to take into account both aspects simultaneously in order to analyse the dynamic behaviour of abnormal returns.

This study offers a statistical analysis of the persistence of annual profits across a sample of firms from different European Union (EU) countries. To this end, a Bayesian dynamic model has been used which enables the annual behaviour of those profits to be broken down into a permanent structural component on the one hand and a transitory component on the other, while also distinguishing between general effects affecting the industry as a whole to which each firm belongs and specific effects affecting each firm in particular. This break down enables the relative importance of those fundamental components to be evaluated. The data analysed come from a sample of 23,293 firms in EU countries selected from the AMADEUS data-base. The period analysed ran from 1999 to 2007 and 21 sectors were analysed, chosen in such a way that there was a sufficiently large number of firms in each country*sector combination for the industry effects to be estimated accurately enough for meaningful comparisons to be made by sector and country. The analysis has been conducted by sector and by country from a Bayesian perspective, thus making the study more flexible and realistic since the estimates obtained do not depend on asymptotic results. In general terms, the study finds that, although the industry effects are significant, more important are the specific effects. That importance varies depending on the sector or the country in which the firm carries out its activity. The influence of firm effects accounts for more than 90% of total variation and display a significantly lower degree of persistence, with adjustment speeds oscillating around 51.1%. However, this pattern is not homogeneous but depends on the sector and country analysed. Industry effects have a more marginal importance, being significantly more persistent, with adjustment speeds oscillating around 10% with this degree of persistence being more homogeneous at both country and sector levels.