Información en el Mercado de Capitales Chileno

Matías Braun

Universidad Adolfo Ibáñez

Seminario Superintendencia de Valores y Seguros (Chile) Octubre 11, 2007

Información, Uso de Información Privilegiada, Calidad de los Precios y Liquidez del Mercado: Un Modelo Simple

Inversionista Intermediario Emisor Output Input

Es arbitrado

consistentemente

por informados ->

No participa

Baja Liquidez

Problema de

Selección

Adversa -> Bajos

Precios -> No

participa

• Baja Calidad de

Información Base

• Bajo Costo de

Uso de Info Priv Alto Costo Bajo

Beneficio -> No

Genera Info ->

Mayor asimetría

de Info insiders vs

outsiders

Mayor ámbito

para utilizar Info

Privilegiada

Alta Calidad de

Precios

Menor Beneficio

de usar Info Priv Baja Calidad de

Precios

Menor Liquidez

(1)

(2) (2)

(3)

(3) (4)

(5)

(6)

(5) Costos Fijos ->

Mayor Costo de

Intermediación

(8)

(7)

Mayor Beneficio

de Generar Info

Baja en Liquidez

domina

(ret crecientes)

Baja Liquidez y Baja

Calidad de Precios

(9)

Economía

Política

El Equilibrio Múltiple y La Trampa del Subdesarrollo Financiero

M e r c a d o

D e s a r r o l l a d o

M e r c a d o

S u b d e s a r r o l l a d o

C a l i d a d In f o r m a c i ó n B a s e A l t a B a j a

P r o t e c c i ó n a l In v e r s i o n i s t a ( In f o P r i v ) A l t a B a j a

G e n e r a c i ó n d e In f o r m a c i ó n A l t a / d e C a l i d a d B a j a / B a j a C a l i d a d

D i s e m i n a c i ó n d e In f o ( U s o In f o P r i v ) I n s t a n t á n e a L e n t a

D e s a r r o l l o In t e r m e d i a r i o s A l t o / B a j o s C o s t o s B a j o / A l t o s C o s t o s

B a j a P a r t i c i p a c i ó n A l t a B a j a

L i q u i d e z A l t a B a j a

C a l i d a d d e P r e c i o s A l t a B a j a

• Teoría

• Evidencia

Trampa de Subdesarrollo: cambios marginales son de poca ayuda; se requiere un “Big Push” para saltar al buen equilibrio

• Los países se agrupan en torno a uno u otro equilibrio; casi no hay punto medio • El grado de desarrollo financiero es muy persistente (Braun

& Raddatz (2007))

• Consideraciones de Economía Política explican, en parte, los escasos tránsitos (Rajan & Zingales (2001), Braun & Raddatz (2007,

2008))

Origen 1: La Protección al Minoritario es Deficiente en la Práctica

La Protección Legal a los Minoritarios no es en la Letra mucho peor que en la OECD

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0.5

11.5

22.5

Sto

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et C

ap

to G

DP

199

5-2

00

4

0 2 4 6 8 10Shareholder Disclosure

Braun, Briones & Johnson (2007)

C h i l e A L a t i n a U S A

D i s c l o s u r e In d e x 7 4 . 2 7

D i r e c t o r L i a b i l i t y In d e x 6 5 9

S h a r e h o l d e r S u i t s In d e x 5 6 9

I n v e s t o r P r o t e c t i o n I n d e x 6 5 . 1 8 . 3

World Bank (2007)

O b s e r v a n c i a d e l o s P r i n c i p i o s d e G o b i e r n o C o r p o r a t i v o d e l a O E C D

R i g h t s o f S h a r e h o l d e r s L a r g e l y / P a r t i a l l y O b s e r v e d

E q u i t a b l e T r e a t m e n t L a r g e l y / P a r t i a l l y O b s e r v e d

R o l e o f S t a k e h o l d e r s L a r g e l y / P a r t i a l l y O b s e r v e d

D i s c l o s u r e a n d T r a n s p a r e n c y P a r t i a l l y O b s e r v e d

R e s p o n s a b i l i t i e s o f t h e B o a r d P a r t i a l l y O b s e r v e d

W o r l d B a n k a n d I M F R O S C

Su Escaso Cumplimiento parece ser el Problema

Origen 2: La Calidad de la Información Base es Baja

La Calidad de Información Entregada al Mercado es Baja y no Conforma (aún) a los Estándares Internacionales

•.

• Medidas de-facto de la calidad de la información contable (suavizamiento de utilidades y discrecionalidad) indican que la calidad en Chile es relativamente baja y que ha caído en el tiempo.

Calidad de la Contabilidad (Suavizamiento de Utilidades)

0.40

0.50

0.60

0.70

0.80

0.90

1.00

Chile Estados Unidos Promedio

1995-19992000-2005

Calidad de la Contabilidad (Discrecionalidad)

0.30

0.35

0.40

0.45

0.50

0.55

Chile Estados Unidos Promedio

1995-19992000-2005

Verriest (2007)

Battacharya et al (2003)

C a l i d a d d e l a s E s t i m a c i o n e s d e R e s u l t a d o s d e E m p r e s a s ( 2 T 2 0 0 7 )

C h i l e E E U U C h i l e / U S A

S u m a e r r o r c u a d r a d o p r o m e d io * 0 . 9 3 3 0 . 0 6 2 1 5 . 0

D is p e r s ió n d e la s o r p r e s a 4 2 . 3 4 % 2 4 . 3 9 % 1 . 7

* N o r m a l i z a d o a l n ú m e r o d e e m p r e s a s c o n s e g u i m i e n t o

Mecanismo 1: El Nivel de Generación de

Información es Bajo El Nivel de Generación de Información es Bajo Su Calidad es también Baja

• El grado de ajuste de las estimaciones de utilidades es bastante menor que en Estados Unidos. Además, la dispersión del ajuste entre las distintas compañías es mucho mayor.

• La información generada por el mercado es escasa: sólo unas pocas compañías tienen seguimiento y no hay una clara mejora en el tiempo. • Sólo 30% de las acciones del IPSA tienen estimación de resultados en Bloomberg vs. 100% del DowJones.

0

5

10

15

20

25

30

35

40

2000 2001 2002 2003 2004 2005 2006 2007*

Em

pre

sas

es

tud

iad

as

Año

Total Principal Depto. …

• De hecho, más bajas relativamente que las estimaciones de variables económicas clave.

IM Trust (2007)

C a l i d a d d e l a s E s t i m a c i o n e s d e I P C ( 8 / 2 0 0 0 - 8 / 2 0 0 7 )

C h i l e E E U U C h i l e / U S A

S u m a e r r o r c u a d r a d o p r o m e d io 0 . 0 3 0 . 0 2 1 . 5

IM Trust (2007)

Maul (2007)

Mecanismo 2: La Información se Disemina

Gradualmente

Existe Impacto Pequeño en el Momento de la Publicación y Diseminación Gradual de Nueva Información

• El efecto de las recomendaciones de los bancos de inversión el día en que se publican es menor en Chile que en Estados Unidos. • La información se disemina lentamente durante los días anteriores. El efecto acumulado al día del evento es más similar al de impacto en Estados Unidos. • Y los precios se ajustan, aunque en forma relativamente lenta.

Maul (2007)

Rentabilidad Acumulada de Acciones alrededor de Publicaciones de Informes de Recomendación

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-15

-14

-13

-12

-11

-10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25

Recomendaciones Positivas

Efecto Pre 0.4%

Efecto Impacto 0.8%

Efecto Post 1.2%

P o s i t i v a N e g a t i v a

1 . 4 9 -

( 1 . 8 6 )

1 . 9 1 - 0 . 5 6

( 2 . 3 9 ) ( 1 . 4 0 )

0 . 8 5 - 1 . 1 4

( 1 . 0 6 ) ( 2 . 8 5 )

C h i l e 0 . 8 - 0 . 4

* R e t o r n o s a n o r m a l e s a c u m u l a d o s a l f i n a l d e l d ía d e l e v e n t o

( ) : Im p a c t o ( v e c e s ) r e l a t i v o a l o b s e r v a d o e n e l m e r c a d o c h i l e n o

B j e r r i n g e t a l ( 1 9 8 3 )

E l t o n e t a l ( 1 9 8 6 )

F r a n c i s a n d S o f f e r ( 1 9 9 7 ) *

IM Trust (2007)

Mecanismo 3: Bajo Desarrollo de Intermediarios

y Baja Participación Existe Escasa Participación de Emisores y Baja Proporción de los Instrumentos Administrados por Intermediarios

C h i l e B r a s i l U S A

C a p i t a l L e v a n t a d o / M k t C a p 0 . 4 6 % 1 . 1 0 % 0 . 7 0 %

C a p i t a l L e v a n t a d o IP O s / M k t C a p 0 . 2 4 % 0 . 4 7 % 0 . 2 2 %

N ú m e r o IP O s / F i r m a s L i s t a d a s 0 . 4 % 1 . 8 % 4 . 3 %

F i r m a s L i s t a d a s / P o b l a c i ó n ( M i l l H a b ) 1 8 . 8 3 . 2 1 7 . 1 5

F r e e F l o a t / M k t C a p 3 8 . 0 % 5 3 . 0 % 9 2 . 2 %

C o s t o s d e T r a n s a c c i ó n 4 . 1 % 5 . 9 % 1 . 3 %

* 2 0 0 5 , W o r l d B a n k ( 2 0 0 7 ) .

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

% de los Activos Administrados por Industria de FFMM

Khorana et al (2005) * Circa 2001

Chile

Resultado 1: La Liquidez en el Mercado Capitales Chileno es Baja

La Liquidez en el Mercado Chileno es extremadamente Baja

Y aunque ha aumentado últimamente, aún está muy lejos de lo esperable para un mercado de este tamaño

• El turnover del mercado accionario de 15% (2005, 19% en 2006) es un décimo del de los mercados desarrollados • Un 55% del de América Latina • Comparable al de Zimbabwe, Nigeria, Georgia y Lituania.

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Resultado 2: La Calidad de los Precios en el Mercado Capitales Chileno es baja

Los Precios Accionarios Reflejan Poco los Fundamentos

La Volatilidad de los Precios Proviene en Mayor Medida de la parte No-Fundamental

• La sensibilidad de los precios accionarios a sus fundamentos es relativamente baja, tanto en series de tiempo como en cross-section • La calidad de los precios es mucho menor a lo esperable

•En Chile los fundamentos explican alrededor de 1/3 de la varianza de los precios. • En Estados Unidos, éstos dan cuenta de 2/3 de la varianza.

1,1,1, thtdthv

Descomposición de Campbell

Fundamentos Futuros y

Precios Accionarios

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Sincronicidad de Retornos

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Desarrollo Financiero

Braun & Johnson (2006)

Valdivieso (2007)

Efectos sobre la Economía: El Mercado Chileno no es una Fuente Importante de Financiamiento y Los Precios no son Utilizados en la Toma de Decisiones

• Los precios se vuelven más informativos a medida que el mercado se desarrolla.

• Los agentes parecen darse cuenta de que los precios son poco informativos en mercados menos desarrollados y no los utilizan para sus decisiones de inversión.

Source of Financing for Investment

Internal/Family BanksLeasing/Trade

CreditEquity Other

Chile 44.3% - 37.1% - 9.0% - 0.3% - 9.4%

1st Quartile Raw per capita GDP Growth 56.5% ** 15.1% *** 7.1% 7.1% *** 14.1%

1st Quartile pc GDP Growth controlling for Initial pc GDP 56.1% ** 16.0% *** 7.2% 6.6% ** 14.0%

1st Quartile Raw per worker GDP Growth controlling for Initial pw GDP 59.8% *** 16.4% *** 8.0% 7.6% *** 8.2%

High Growth Countries (union of the three above) 56.0% ** 16.3% *** 7.2% 7.0% *** 13.5%

Latin America & Caribbean 47.5% 25.9% *** 11.5% *** 3.2% *** 11.9%

Rich OECD Countries 41.4% 18.4% *** 8.1% 8.5% *** 23.6%

All Countries 55.7% *** 17.7% *** 8.6% 4.7% *** 13.2%

* 10%, **5%, ***1%. Significance levels of test of whether the Chilean figure is different than the one for each group of countries.

• El escaso financiamiento via Equity es suplido por crédito bancario.

Braun, Briones & Johnson (2007)

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Braun & Johnson (2006)

¿Qué hacer al respecto?

• El “Big Push” del Enforcement en Protección e Información Base

• Utilización de los Intermediarios e Institucionales como Monitores

• El Rol de la Economía Política

Conclusión

• El Equilibrio Múltiple y La Trampa del Bajo Desarrollo Financiero

• Causas: Escasa Protección al Inversionista y Baja Calidad de Información Base

• Mecanismos: Escasa Generación de Información, Diseminación Lenta de la Información, Baja Participación y Bajo Desarrollo de los Intermediarios

• Consecuencias: Escasa Liquidez y Baja Calidad de los Precios