BackBrowsing Documentos de Trabajo e Informes Técnicos by Subject "FINANCIAL ECONOMICS"
Now showing items 1-20 of 28
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A factor model of seasonality in stock returns
Gardeazabal, Javier
; Regúlez Castillo, Marta (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Most empirical evidence on stock market seasonality is based on the Dummy Variable Approach (DVA). Typically, the DVA leaves too much variability of stock returns unexplained and inference usually leads to weak or null ... -
A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures
Chamorro Elosua, Arritokieta; Usategui Díaz de Otalora, José María (2013-09-30)
In this work we clarify the relationships between riskiness, risk acceptance and bankruptcy avoidance. We distinguish between the restriction on the current wealth required to make a gamble acceptable to the decision maker ... -
A Semiparametric Estimation of Liquidity Effects on Option Pricing
Ferreira García, María Eva; ; (1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ... -
An Alternative View of the US Price-Dividend Ratio Dynamics
; Regúlez Castillo, Marta; Vázquez Pérez, Jesús (2014-12)
As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide evidence of prices significantly drifting apart from ... -
An empirical comparison of the performance of alternative option pricing models
Rubio Irigoyen, Gonzalo; Ferreira García, María Eva; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ... -
Analysis of Length of Time Spent in Chapter 11 Bankruptcy
Orbe Lizundia, Jesús María; Ferreira García, María Eva ; Núñez Antón, Vicente Alfredo (2001-01)
This paper investigates original issuers of high yield bonds in Chapter 11 bankruptcy to determine which factors affect the length of time spent in Chapter 11. In order to do this analysis we propose a flexible new duration ... -
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market
Rubio Irigoyen, Gonzalo; Martínez Sedano, Miguel Ángel; Nieto, Belén (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this ... -
Autorregresive conditional volatility, skewness and kurtosis
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ... -
Conditional beta pricing models: A nonparametric approach
Ferreira García, María Eva; Gil Bazo, Javier; (2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ... -
Consumer Confidence and Yield Spreads in Europe
Ferreira García, María Eva; Martínez, María Isabel; Navarro, Eliseo; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-02)
This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business ... -
Consumption and portfolio rules whit stochastic hyperbolic discounting
(Departamento de Fundamentos del Análisis Económico I, 2013-09)We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce ... -
Income risk of EU coal-fired power plants after Kyoto
Abadie, Luis María; Chamorro Gómez, José Manuel (2008-10)
Coal-fired power plants may enjoy a significant advantage relative to gas plants in terms of cheaper fuel cost. Still, this advantage may erode or even turn into disadvantage depending on CO2 emission allowance price. This ... -
Monte Carlo Valuation of natural gas investments
Abadie, Luis María; Chamorro Gómez, José Manuel (2006-07)
This paper deals with the valuation of energy assets related to natural gas. In particular, we evaluate a baseload Natural Gas Combined Cycle (NGCC) power plant and an ancillary instalation, namely a Liquefied Natural Gas ... -
Nonparametric estimation betas in the Market Model
Esteban González, María Victoria; (2006)
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of ... -
Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-06)The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied ... -
Predicting Betas: Two new methods
Esteban González, María Victoria; Tusell Palmer, Fernando Jorge (2009)
Betas play a central role in modern finance. The estimation of betas from historical data and their extrapolation into the future is of considerable practical interest. We propose two new methods: the first is a direct ... -
Smiling under stochastic volatility
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ... -
Switching Equilibria: The Present Value Model for Stock Prices Revisited
Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (2002-07)
This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural ... -
Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)The main objective of this paper is to test whether the risk-neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes ... -
The Black Box of Mutual Fund Fees
Gil Bazo, Javier; Martínez Sedano, Miguel Ángel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2004)
This paper re-examines the determinants of mutual fund fees paid by mutual fund shareholders for management costs and other expenses. There are two novelties with respect to previous studies. First, each type of fee is ...