BUSCADOR RECOLECTA

This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp, Coinbase, itBit, Kraken, and Gemini) and using hourly closing prices and trading volumes in bitcoin and US dollars. Adapting the proposal of Chang, Cheng and Khorana (2000) (CCK) to test conditional herding, we obtain results that indicate that the herding effect is significant during the week before expiration. After expiration, the herding effect lasts for a few hours and disappears. Information overload originating, among other causes, from sophisticated investors’ strategies may generate this mimetic behaviour. The results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows, in general, anti-herding behaviour throughout the period of study.

This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related to bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is not homogeneous across exchanges and depends on the characteristics of the futures contract in question. Robustness tests are also applied to confirm the results. The increasing participation of institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors who could be interested in arbitrage or speculative processes.

Companies have been adapting their strategic decisions in order to align with Sustainable Development Goals since 2015. A motivation for companies to align their strategic decisions with Sustainable Development Goals is to gain legitimacy among supranational organizations, governments, and civil society. Some demonstrate the strength of their commitment to these goals by investing in innovations designed to boost their organizational performance; while others turn to greenwashing in a bid to maintain profits. Investing in sustainability innovations has become a key manifestation of firms’ commitment to Sustainable Development. This study aims to analyse the interaction between sustainability commitment, innovations for sustainability and organizational performance. A sample of 3,420 companies for the period 2015 to 2020 is used to test two working hypotheses. Despite the significant gains it brings in terms of sustainability performance, the results show that investing in innovation for sustainability carries the risk of short-term losses. This has several implications. Some companies may subscribe to Sustainable Development Goals in their pursuit of legitimacy rather than out of true commitment. However, actual engagement in innovation for sustainability can attract potential investors, and, in our view, should be encouraged by politicians and lawmakers.

Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasury markets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market., This study was funded by the Ministerio de Ciencia, Innovación y Universidades (PGC2018-095072-B-I00), the Conselleria d’Educació, Investigació, Cultura I Esports (Prometeo/2017/158), the Secretaría de Estado de Investigación, Desarrollo e Innovación (PID2019-104304-GB-I00), and the Universidad Pública de Navarra (Grant for Young Researchers, 2018).

The impact of a switch of management company on pension plan fees is analysed by comparing the effects on employer-sponsored versus individual defined-contribution private pension plans in Spain. This framework is ideal because the two types differ significantly both in plan governance structure and consequently in the degree of bargaining power held by the decision-maker. In addition, intense bank restructuring, which has greatly modified the Spanish pension plan map, provides an interesting analytical context for the identification of causal links, because it is a scenario that features shocks exogenous to the relationship under analysis. The results show that a switch of management company significantly reduces management fees for employer-sponsored plans when the management change is not due to the bank restructuring process, on the contrary a switch of management company increases fees for individual pension plans., Financial support from the Spanish Ministry of Economy and Competitiveness (ECO2016-77631-R), the Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039.501100011033), and Fundación Caja Navarra FUNCAN-07445 are gratefully acknowledged.

Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasury markets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market., This study was funded by the Ministerio de Ciencia, Innovación y Universidades (PGC2018-095072-B-I00), the Conselleria d'Educació, Investigació, Cultura I Esports (Prometeo/2017/158), the Secretaría de Estado de Investigación, Desarrollo e Innovación (PID2019-104304-GB-I00), and the Universidad Pública de Navarra (Grant for Young Researchers, 2018).

We study the impact of investor sentiment on bank credit and how changes in lending may affect bank stability. We analyze a sample of 2,673 banks from 127 developed and developing countries during the 1997–2016 period. Our results indicate that periods of high investor sentiment positively affect bank lending and encourage bank risk-taking through the increase in the amount of loans granted which, in fact, reduces bank stability. We find that the impact of investor sentiment on bank stability through changes in growth in bank loans is less negative in countries where creditor rights protection is greater, in terms of both collateral and bankruptcy. During systemic banking crises, the negative effect on bank stability was weaker since any increase in bank credit supply provoked by investor sentiment was counteracted by the crisis., Elena Cubillas acknowledges financial support from the Spanish Ministry of Science and Innovation (Proyect PID2019-108503RB-I00). Elena Ferrer acknowledges financial support from the Spanish Ministry of Science and Innovation (Proyect PID2019-104304GB-I00/AEI/10.13039/501100011033). Nuria Suárez acknowledges financial support from the Spanish Ministry of Economy and Competitiveness (Project ECO2017-85356-P).

Purpose – Using data from business reorganization processes under Act 1116 of 2006 in Colombia during the
period 2008 to 2018, a model for predicting the success of these processes is proposed. The paper aims to
validate the model in two different periods. The first one, in 2019, characterized by stability, and the second one,
in 2020, characterized by the uncertainty generated by the COVID-19 pandemic.
Design/methodology/approach – A set of five financial variables comprising indebtedness, profitability
and solvency proxies, firm age, macroeconomic conditions, and industry and regional dummies are used as
independent variables in a logit model to predict the failure of reorganization processes. In addition, an out-ofsample analysis is carried out for the 2019 and 2020 periods.
Findings – The results show a high predictive power of the estimated model. Even the results of the out-ofsample analysis are satisfactory during the unstable pandemic period. However, industry and regional effects
add no predictive power for 2020, probably due to subsidies for economic activity and the relaxation of
insolvency legislation in Colombia during that year.
Originality/value – In a context of global reform in insolvency laws, the consistent predictive ability shown
by the model, even during periods of uncertainty, can guide regulatory changes to ensure the survival of
companies entering into reorganization processes, and reduce the observed high failure rate., The authors gratefully acknowledge financial support from grant
funded by MCIN/AEI/10.13039/501100011033.

This paper studies the herding behaviour among different exchanges trading bitcoin. The analysis allows us to conclude that the size of the exchange is an influencing parameter. Since 2018, when the significant growth in the number of exchanges became a reality, smaller exchanges have shown strong herding behaviour, whereas large exchanges seem to respond to their own information and beliefs and lead the process of price definition. This result may originate some temporary profitable strategies in the process of evolution towards efficiency according to the Adaptive Markets Hypothesis., This work was supported by the Ministerio de Ciencia e Innovación [PID2019-104304GB-I00/AEI/10.13039/ 501100011033, RTI2018-093483-B-I00]; Government of Aragon [S11_20R: Cembe].

This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure and credit rating. In contrast, market-based credit-risk measures such as CDSs and the Black-Scholes-Merton model show no lag. This paper also analyzes the determinants of the lags found showing the importance of the informativeness of CDSs in reducing the lag for all types of default events, and a negative relationship between accounting manipulation and the lag of Altman’s Z for severe default events., We gratefully acknowledge financial support from the Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039/50110 0 011033). In addition, Ana González-Urteaga acknowledges financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072-B-I00.

Purpose: The purpose of this paper is to examine the effect of female CEO board members on listed family firms’ corporate default risk, integrating upper echelons theory with social role theory and the socio-emotional wealth approach and proxying default risk with the Black–Scholes–Merton model. It also searches for possible differences attributable to the type of female CEO.
Design/methodology/approach: This study is applied to a longitudinal sample of listed US family firms. After a preliminary analysis of the main descriptive, several models are estimated with the system GMM estimator, which is a panel data estimator. The models are dynamic, including the lagged value of the dependent variable. In addition, the model estimation is repeated with a different measure of default risk, for robustness.
Findings: This research findings show that default risk diminishes in the presence of a female CEO, whose reduction is even greater if she is a family member. The results are proven to be robust to the measure for proxying default risk.
Originality/value: This study primarily contributes to the existing literature by exploring a possible link between female CEOs, particularly those with a family affiliation, and a lower level of default risk in family firms. It also provides practical implications for policymakers, who would be advised to promote conditions enabling women to contribute towards family business viability. In addition, this study offers encouragement for family business owners to value the potential of their female family members in company succession processes., The authors acknowledge the financial support of the Spanish Ministry of Science and Innovation (Grants PID2019-104304GB-I00/AEI/10.13039/501100011033, PID2020-115018RB-C31, and TED2021-132446B-I00 funded by MCIN/AEI/10.13039/501100011033 and by European Union NextGenerationEU/PRTR), and the Ramón Areces Foundation.

This paper investigates the effect of firms’ working capital management, measured
by the cash conversion cycle (CCC) on exports, on both the intensive and extensive
margins. By using Heckman’s two-stage model for the treatment of sample selection
bias, we find that the longer the CCC, the lower firms’ likelihood of exporting and the
lower the volume of their exports. This phenomenon is economically more relevant
for financially constrained firms than for unconstrained firms. The results are robust to
the propensity score matching, the transition sample and the placebo analyses. Finally,
these results can be extrapolated in the context of the COVID-19 crisis because of the
decline in trading conditions and firms’ shortage of liquidity., José Manuel Mansilla-Fernández gratefully acknowledges financial support from Grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033. Juliette Milgram thanks the financial support from the following Projects: PGC2018-093506-B-I00 from Ministerio de Ciencia, Innovación y Universidades (Spain), P20_00029 (Junta de Andalucía) and B-SEJ-206-UGR20 (FEDER ANDALUCÍA 2014–2020). The authors acknowledge financial support from the “Programa de ayudas de la Facultad de Ciencias Económicas y Empresariales de la Universidad de Granada para la revisión de textos científicos”.

This paper investigates the direct effect of sovereign debt holding on banks’ credit risk. Using individual Eurozone listed banks’ information, we find that holding sovereign debt improves the level of banks’ credit risk, but this effect is reversed when the credit risk associated with such debt is taken into account. For this purpose, we consider three alternative sovereign debt holding proxies and two types of banks’ credit-risk measures, both forward- and backward-looking. We find that the transmission of credit risk from sovereign debt holdings to banks’ credit risk is only captured when forward-looking credit-risk measures, based on market data, are used., We gratefully acknowledge financial support from grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033.

This paper studies the monthly expiration effect in the bitcoin markets. The emergence of trading in bitcoin futures in regulated markets is an ideal occasion to test this effect on an asset with singular characteristics. Our results with intraday data show that around the time of maturity there are significant changes in the trading volume, volatility and return of bitcoin, an asset that is traded in many exchanges simultaneously. Therefore, there is a clear expiration effect related to bitcoin futures. The closer to the expiration time (shortly beforehand or afterwards), the more intense these effects are. However, in spite of these general results, the expiration effect is not homogeneous across exchanges and depends on the characteristics of the futures contract in question. Robustness tests are also applied to confirm the results. The increasing participation of institutional investors is consistent with our findings, particularly in relation to the expiration effects of cash-settled futures, as these contracts are more appealing for sophisticated investors who could be interested in arbitrage or speculative processes., Grant PID2019-104304GB-I00 funded by MCIN/AEI /10.13039/501100011033 https://doi.org/10.13039/501100011033 ; Grant RTI2018-093483-B-I00 funded by MCIN/AEI /10.13039/501100011033 https://doi.org/10.13039/501100011033 and by ERDF A way of making Europe; Grant S11_20R: Cembe funded by the Government of Aragon and ERDF.

This research addresses the importance of gender in the pricing process of the sports betting industry. Specifically, we investigate the impact of gender in the prices that bookmakers offer for tennis matches. Despite widespread evidence of gender bias both in the practice of the sport and its media coverage, tennis is one of the sports that has done most to achieve equality. The analysis of 51,881 tennis matches reveals that betting firms quote higher prices for women's matches than for men's, even when considering uncertainty due to the surprise factor and the media attention. The separate analysis of two bookmakers strengthens the evidence for the role of media attention as a source of gender-related information asymmetry., The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: Grant PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033.

Purpose – The aim of this paper is to provide an overview of the impact of the implementation of Colombian
Corporate Insolvency Act 1116 of 2006 in the period 2008–2018 and to assess the relevance of a broad set of
financial predictors, as well as variables related to the economic context or the characteristics of the process
itself, in explaining the failure of reorganization processes.
Design/methodology/approach – Both logit and probit models are estimated, starting from a large number
of variables proposed in the literature which are then narrowed down to a final selection based on their
individual significance and machine learning.
Findings – The results show the prevalence of a limited number of financial variables related to equity,
indebtedness, profits and liquidity as predictors of the failure of reorganization processes. The use of financial
information from the year prior to the completion of the reorganization improves predictive accuracy and
reliability. The debt-to-equity indicator provides no significant explanatory power, while voluntary entry into a
reorganization process favors its success.
Originality/value – While financial and accounting information is used across the literature to predict
insolvency events, it is used here to predict success or failure in reorganization processes under the conditions
imposed by a specific legislative act in a Latin American context., Proposito – Proporcionar una panorámica de la implementación de la Ley 1116 de 2006 a partir de las empresas que suscribieron acuerdos de reorganización en Colombia en el periodo 2008–2018 y evaluar la relevancia de un conjunto amplio de predictores financieros, así como variables relacionadas con el entorno económico o de características del propio proceso, para explicar el fracaso de la reorganización.
Diseño/Metodología/Aproximación– Se han estimado tanto modelos logit como probit, partiendo de un amplio número de variables propuestas en la literatura, que luego se reducen a una selección final basada en su significancia individual y una metodología de machine learning. Hallazgos – Un número reducido de variables relacionadas con los fondos propios, el endeudamiento, los beneficios y la liquidez prevalecen como predictores financieros del fracaso de los procesos de reorganización. El uso de información del ano anterior al cierre del acuerdo mejora la precisión de las predicciones realizadas. El indicador de conversión de deuda en capital no ofrece capacidad explicativa significativa, mientras que la entrada voluntaria a la reorganización favorece su éxito. Originalidad/Valor – Muchos trabajos han usado información financiera y contable para predecir eventos de insolvencia. En nuestro caso se usa esta información para predecir el éxito o fracaso de los procesos de reorganización bajo una ley específica en el contexto latinoamericano., The authors gratefully acknowledge financial support from Grant PID2019-104304GB-I00 funded by MCIN/AEI/10.13039/501100011033.

This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance of the quality minus junk factor, our paper analyzes a leverage constraint explanation within a rational risk-based framework. The quality factor is multidimensional in nature, which suggests that a combination of risk, frictions, and behavioral biases is a reasonable explanation. Once we incorporate margin requirements and liquidity restrictions, we find that tighter conditions result in a higher intercept and a lower slope for the empirically implemented capital asset pricing model when using 10 quality-sorted portfolios. Our paper shows that, indeed, not only behavioral biases explain quality, but also market frictions account for its performance., The authors acknowledge financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072B-I00. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valencia grant Prometeo/2017/158, and Ana González Urteaga acknowledges financial support from the Ministry of Science and Innovation through grant PID2019-104304-GB-I00/AEI/10.13039/501100011033 and UPNA Research Grant for Young Researchers, Edition 2018.

Desde el año 2015, las empresas han ido adaptando sus decisiones estratégicas para alinearse con los Objetivos de Desarrollo Sostenible. Esta adaptación vendría justificada por la búsqueda de legitimidad ante la presión que ejercen los
gobiernos, la sociedad civil, las organizaciones supranacionales y los mercados. Algunas empresas demuestran su compromiso con estos objetivos invirtiendo en innovaciones diseñadas para impulsar su desempeño organizacional; mientras que otras recurren a procesos de “green washing” en un intento por mantener sus niveles de rentabilidad. Invertir en
innovaciones para la sostenibilidad se ha convertido en una manifestación clave del compromiso de las empresas con el
desarrollo sostenible. Este estudio tiene como objetivo analizar la interacción entre el compromiso con los Objetivos de
Desarrollo Sostenible, las innovaciones para la sostenibilidad y el desempeño organizacional. Para analizar esta interacción, se ha obtenido una muestra de 3.420 empresas para el período 2015 a 2020. A pesar de las mejoras significativas
que las innovaciones asociadas al compromiso con los Objetivos de Desarrollo Sostenible suponen en términos de
desempeño sostenible, los resultados muestran que invertir en este tipo de innovación conlleva cierto riesgo de perdidas
a corto plazo. Este resultado tiene varias implicaciones. Algunas empresas pueden suscribir los Objetivos de Desarrollo
Sostenible como una forma de ganar legitimidad y no por un verdadero compromiso. Por otra parte, el compromiso
real con la innovación para la sostenibilidad puede atraer a inversores potenciales, siendo éste, en nuestra opinión, un
fenómeno que decisores públicos y legisladores deberían potenciar., Companies have been adapting their strategic decisions in order to align with Sustainable Development Goals since 2015. A motivation for companies to align their strategic decisions with Sustainable Development Goals is to gain legitimacy among supranational organizations, governments, and civil society. Some demonstrate the strength of their commitment to these goals by investing in innovations designed to boost their organizational performance; while others turn to greenwashing in a bid to maintain profits. Investing in sustainability innovations has become a key manifestation of firms’ commitment to Sustainable Development. This study aims to analyse the interaction between sustainability commitment, innovations for sustainability and organizational performance. A sample of 3,420 companies for the period 2015 to 2020 is used to test two working hypotheses. Despite the significant gains it brings in terms of sustainability performance, the results show that investing in innovation for sustainability carries the risk of short-term losses. This has several implications. Some companies may subscribe to Sustainable Development Goals in their pursuit of legitimacy rather than out of true commitment. However, actual engagement in innovation for sustainability can attract potential investors, and, in our view, should be encouraged by politicians and lawmakers., This research has been supported by projects PID2019-104304GB-I00 and PID2019-107822RB-I00 funded by MCIN/
AEI/10.13039/ 501100011033.

The collaboration of private companies in the fulfillment of the Sustainable Development
Goals (SDGs) is key to address global challenges of climate change, social inequality and environmental
degradation. This collaboration can also boost their own organizational performance. However, the
research on the relationship between SDG commitment and organizational performance remains
inconclusive. The diversity of findings could stem from cross-cultural differences in corporate
environments. The aim of this study, therefore, was to analyze the interaction between SDG commitment
and organizational performance and to examine how this interaction is influenced by cultural factors.
Using simultaneous equation modeling on a sample of 3,420 companies from 30 countries for the period
2015 to 2020, our results show that engagement with SDGs has an impact on organizational performance
levels which is further enhanced by the catalytic effect of certain cultural factors., Grant PID2019-104304GB-I00, grant
PID2019-104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033 and grant TED2021-
131216B-I00 funded by MCIN/AEI/10.13039/501100011033 and European Union
“NextGenerationEU”/PRTR.

This paper transfers and adapts the Black-Litterman portfolio management model and its subsequent generalizations to the characteristics and specificities of assets quoted on sports betting markets. The results show that these assets are suitable for the application of portfolio management models with possible inclusion of investors' opinions. Information based on the variability of market prices and the attention received by NBA teams in Google Trends is successfully used to simulate the opinions expressed by a hypothetical portfolio manager. Furthermore, this makes these assets suitable for inclusion in portfolios in which managers are seeking returns uncorrelated with other assets., Financial support from the Spanish Ministry of Economy and Competitiveness, (ECO 2015-65031-R and ECO2016-77631-R); Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039/501100011033) and Fundación Caja Navarra FUNCAN-07445 are gratefully acknowledged.

This paper examines the relationship between the presence of female board members and firms' corporate default risk. We find an inverted “U-shaped” relationship for a sample of 917 firms in 19 emerging markets for the period 2005–2019. We also show that, consistent with critical mass theory, boards need to have three or more female directors to significantly reduce default risk. Furthermore, having female directors with an independent role on the board in countries with less familial dominance, or having female directors with a leadership position, significantly reduces default risk. Finally, we find a positive effect of the interaction between a country's gender inequality and board gender diversity on default risk., This work was supported by MCIN/AEI/10.13039/501100011033 (grant PID2019-104304GB-I00), the Ramón Areces Foundation (CISP17A5891), and the UPNA Research Grant for Young Researchers, Edition 2023. Open access funding provided by Universidad Pública de Navarra.

This paper examines the predictive power of the main default-risk measures used by both academics and practitioners, including accounting measures, market-price-based measures and the credit rating. Given that some measures are unavailable for some firm types, pair wise comparisons are made between the various measures, using same-size samples in every case. The results show the superiority of market-based measures, although their accuracy depends on the prediction horizon and the type of default events considered. Furthermore, examination shows that the effect of within-sample firm characteristics varies across measures. The overall finding is of poorer goodness of fit for accurate default prediction in samples characterised by high book-to-market ratios and/or high asset intangibility, both of which suggest pricing difficulty. In the case of large-firm samples, goodness of fit is in general negatively related to size, possibly because of the 'too-big-to-fail' effect., This paper has been possible thanks to the SANFI Research Grant for Young Researchers Edition 2015, the financial support from the Spanish Ministry of Economy, Industry and Competitiveness (ECO2016-77631-R (AEI/FEDER, UE)) and the Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039/501100011033). Ana González Urteaga particularly acknowledges financial support from the Spanish Ministry of Science, Innovation and Universities through grant PGC2018-095072-B-I00.

This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, mainly in Europe and during the sovereign debt crisis. This transmission dynamic breaks down during the COVID-19 period, where there are high bidirectional relationships between the two markets., The authors acknowledge the financial support from the Fundación Ramón Areces and PGC2018-095072-B-I00. In addition, Laura Ballester acknowledges the financial support from the Spanish Ministry of Science, Innovation, and Universities and the FEDER project, PGC2018-093645-B-I00, and Ana González-Urteaga acknowledges the financial support from the Ministry of Economics and Competitiveness through grant ECO2016-77631-R (AEI/FEDER.UE), from the Ministry of Science and Innovation through grant PID2019-104304GB-I00/AEI/10.13039/501100011033, and a UPNA Research Grant for Young Researchers, Edition 2018.

This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and robust relationship between the guarantees required and the spillover or total connectedness effects among nine financial assets in the Spanish, United States, and German capital markets. Bad economic times also had a significant incremental effect on the relationship between guarantees and connectedness. These findings are robust across central clearing corporations and futures contracts in the IBEX 35, DAX 30, and EURO STOXX 50. In addition, an event study indicated that global spillover effects tend to increase before central counterparty institutions raise their guarantees. The implication of the findings is that European clearing institutions react to rather than cause bad economic times., The authors acknowledge financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072-B-I00. In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valencia grant Prometeo/2017/158 and Ana González-Urteaga acknowledges financial support through grant PID2019-104304GBI00 funded by MCIN/AEI/10.13039/501100011033, and UPNA Research Grant for Young Researchers, Edition 2018.

As a result of policies to reduce public deficit, nonprofit organizations have been forced to turn to charitable donations in order to diversify their revenue structure and thus reduce their levels of financial distress. Public administrations have supported this process through tax mechanisms designed to provide a legal framework that will encourage private philanthropy. Our aim is to analyse the role of nonprofit tax regulations in moderating the influence of revenue diversification on insolvency risk. To this end, we drew a sample of 406 nonprofit organizations located in Aragon and Navarre, two European regions with different tax regulations, for the period 2008-2018. Our results reveal that some tax regime requirements, such as the organizational purpose, minimum initial endowment, engagement in commercial activity, and accountability and monitoring standards, have a positive impact on revenue diversification and the reduction of financial distress and vulnerability. However, we also detect differences between regions which suggest that tax harmonization for nonprofit organizations remains a challenge., Universidad Nacional de Educación a Distancia, Grant/AwardNumbers: P/15/19/PID2019-104304GB-I00, and PID2019-107822RB-I00, funded by MCIN/AEI/10.13039/501100011033

Market myopia is a behavioural bias that causes investors to overvalue short-term earnings and undervalue long-term profits. This anomaly should not be compatible with sustainability disclosure mechanisms, the set of tools which firms use for reporting on their sustainable practices, and which contribute towards long-term performance improvements. Our aim is to study whether market myopia, as a symptom of market inefficiency, decreases with the implementation of sustainability disclosure mechanisms. We test for the presence of market myopia in a sample of firms listed on the S&P Europe 350 Index. For this purpose, we propose to use an adaptation of the valuation model for residual income under linear information dynamics developed by Felthan and Ohlson. Using the rating provided by RobecoSAM Sustainability Yearbook, we find market myopia to be less prevalent in companies classified as high sustainability reporters. An association is also found between persistent enforcement of sustainability disclosure mechanisms and a reduction of the market myopia effect., Grant PID2019- 104304GB-I00 funded by MCIN/AEI/ 10.13039/501100011033 and grant TED2021-131216B-I00 funded by MCIN/AEI/10.130 39/501100011033 and European Union “NextGenerationEU”/PRTR. Open access funding provided by Universidad Pública de Navarra.

This paper analyses the herding behaviour among exchanges around the expiration of bitcoin futures traded on the Chicago Mercantile Exchange (CME). The database extends from December 2017 to October 2020, taking as a reference the main exchanges that trade bitcoin (Binance, Bitfinex, Bitstamp, Coinbase, itBit, Kraken, and Gemini) and using hourly closing prices and trading volumes in bitcoin and US dollars. Adapting the proposal of Chang, Cheng and Khorana (2000) (CCK) to test conditional herding, we obtain results that indicate that the herding effect is significant during the week before expiration. After expiration, the herding effect lasts for a few hours and disappears. Information overload originating, among other causes, from sophisticated investors¿ strategies may generate this mimetic behaviour. The results show the relevance of intraday data applied to specific events such as expiration since the unconditional analysis shows, in general, anti-herding behaviour throughout the period of study., Grant PID2019-104304GB-I00 funded by MCIN/AEI/10.13039/501100011033
https://doi.org/10.13039/501100011033. Grant RTI2018-093483-B-I00 funded by MCIN/AEI/10.13039/501100011033
https://doi.org/10.13039/501100011033 and by ERDF A way of making Europe. Grant S11_20R: Cembe funded by the
Government of Aragon and ERDF.