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La Calidad Y Su Impacto Sobre La Rentabilidad Y La Volatilidad

Author

Listed:
  • Juan Luis Nicolau

    (Universidad de Alicante)

  • Ricardo Sellers

    (Universidad de Alicante)

Abstract

The purpose of this paper consists in analyzing the impact of obtaining a quality certification (ISO 9000) on firms¿ market value, and to examine its influence on volatility. The sample used contains all the firms that, while trading in the Spanish stock market, have ever obtained a quality certification based on ISO 9000 norms between 1993 and 1999. To estimate the stock market reaction, we have estimated the mean ¿abnormal¿ change in the stock prices of the firms obtaining this certification. To estimate the variation in volatility, we have used four tests, two parametric, one non-parametric and a proposal of a semi-parametric one. The results show that the stock market reacts positively to the obtaining of a quality certification, increasing also volatility. El objetivo del presente estudio consiste en analizar el impacto que la publicación de la noticia de obtención de un certificado de calidad (ISO 9000) tiene sobre el valor de mercado de la empresa y sobre la volatilidad del precio de cotización de las acciones. La muestra utilizada incluye todas las empresas que, habiendo obtenido un certificado de calidad, han cotizado en el mercado secundario de valores español entre los años 1993 y 1999. Para medir el impacto de la obtención un certificado de calidad sobre los resultados se ha analizado los excesos de rentabilidad, mientras para medir la variación en la volatilidad se han realizado cuatro test, dos paramétricos, uno no paramétrico y una propuesta de test semiparamétrico. Los resultados indican que el mercado de capitales reacciona positivamente a la obtención de este certificado, provocando además un incremento en la volatilidad de los precios de cotización.

Suggested Citation

  • Juan Luis Nicolau & Ricardo Sellers, 2001. "La Calidad Y Su Impacto Sobre La Rentabilidad Y La Volatilidad," Working Papers. Serie EC 2001-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:2001-18
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2001-18.pdf
    File Function: Fisrt version / Primera version, 2001
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