Does the Annual General Meeting involve the release of relevant information in non-common law markets? Evidence from Spain / ¿Aportan información relevante las Juntas Generales de Accionistas en países de tradición legal distinta a la ley común? Resultados para el caso español

• Published in: Revista española de financiación y contabilidad 2012-04, Vol.41 (154), p.209-232
• Main Authors: Blandón, Josep García, Blasco, Mónica Martínez, Sabaté, Lucinio González
• Format: Article
• Language: English
• Subjects: Boards of directors; Civil law; Common law; Compensation plans; Corporate governance; Executive compensation; Information content; Information relevance; Investigations; Null hypothesis; Rates of return; Securities markets; Securities trading volume; Shareholders; Statistical significance; Stock markets; Stock prices; Stockholders; Studies; T tests; Volatility
• ISSN: 0210-2412; 2332-0753

Although the investigation of the effects of corporate events on stock prices is a well-established line of research in accounting and finance, only a limited attention has been devoted to one of the most important corporate events: the Annual General Meeting (AGM). The current empirical evidence is not only scarce, but is also limited to the US and the UK, countries whose legal tradition is based on the common law. In these countries the AGM has been found to involve the release of relevant information to the market. Nevertheless, since the influential paper by La Porta et al. (1998), evidence reported in common law countries cannot be automatically extrapolated to countries with a different legal tradition. In this paper, we have investigated the effects of AGM on stock returns, volatility and trading volumes, in the Spanish stock market. As expected, our results indicate that the information content of the AGM is lower in Spain than in common law countries. In fact, the AGM does not have any significant effect in any of the three indicators. After examining possible explanations, we conclude that no relevant information seems to be released to the market during AGM, thus having zero impact on returns, volatility and trading volumes. Nevertheless, the behaviour of cumulative returns and trading volumes suggests that market participants expect the release of relevant information during these meetings. Aunque el estudio de los efectos de eventos corporativos en los precios de las acciones es una línea de investigación bien establecida en contabilidad y finanzas, muy poca atención se ha dedicado a uno de los eventos corporativos más importantes: la Junta General de Accionistas (JGA). La evidencia empírica actual no sólo es escasa, sino que únicamente se limita a los Estados Unidos y al Reino Unido, países cuyo ordenamiento jurídico se basa en la ley común. En estos países, la JGA lleva asociada la comunicación de información relevante para el mercado. Sin embargo, La Porta et al. (1998) al enfatizar la importancia de la tradición legal del país, imposibilitan trasladar automáticamente al caso español los resultados obtenidos en países cuyo ordenamiento jurídico se basa en la ley común. En este trabajo se ha investigado los efectos de la JGA en la rentabilidad de las acciones, volatilidad y volumen de negociación, en el mercado español. Como era de esperar, nuestros resultados indican que el contenido informativo de la JGA es menor en España que en los paíse