RIESGO DE CREDITO, RESTRUCTURACION BANCARIA Y SOSTENIBILIDAD: UNA PERSPECTIVA DESDE LOS MERCADOS FINANCIEROS

PID2019-104304GB-I00

Nombre agencia financiadora Agencia Estatal de Investigación
Acrónimo agencia financiadora AEI
Programa Programa Estatal de Generación de Conocimiento y Fortalecimiento Científico y Tecnológico del Sistema de I+D+i
Subprograma Subprograma Estatal de Generación de Conocimiento
Convocatoria Proyectos I+D
Año convocatoria 2019
Unidad de gestión Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020
Centro beneficiario UNIVERSIDAD PUBLICA DE NAVARRA
Identificador persistente http://dx.doi.org/10.13039/501100011033

Publicaciones

Found(s) 9 result(s)
Found(s) 1 page(s)

The witching week of herding on bitcoin exchanges

Zaguán. Repositorio Digital de la Universidad de Zaragoza
  • Blasco, N.
  • Corredor, P.
  • Satrústegui, N.
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.




Is there an expiration effect in the bitcoin market?

Zaguán. Repositorio Digital de la Universidad de Zaragoza
  • Blasco, N.
  • Corredor, P.
  • Satrústegui, N.
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.




Innovations for sustainability in the roll-out of the Sustainable Development Goals

Zaguán. Repositorio Digital de la Universidad de Zaragoza
  • Bellostas, Ana
  • del Río, Cristina
  • González-Álvarez, Karen
  • López-Arceiz, Francisco J.
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.




Spillover dynamics effects between risk-neutral equity and Treasury volatilities

RUA. Repositorio Institucional de la Universidad de Alicante
  • González-Urteaga, Ana
  • Nieto, Belén
  • Rubio Irigoyen, Gonzalo
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).




Performance of default-risk measures: the sample matters

Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
  • 0000-0002-4658-8677
  • 0000-0002-8256-8518
  • 0000-0003-0374-0226
  • 0000-0003-2039-7597
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.




The witching week of herding on bitcoin exchanges

Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
  • Blasco de las Heras, Natividad
  • 0000-0003-1739-0095
  • Satrústegui, N.
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.




Do sustainability disclosure mechanisms reduce market myopia? Evidence from European sustainability companies

Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
  • 0000-0002-0901-122X
  • 0000-0001-8790-3840
  • 0000-0003-0374-0226
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.




Duty calls: prediction of failure in reorganization processes

Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
  • 0000-0002-4658-8677
  • Bonilla Acosta, Harold
  • 0000-0003-0374-0226
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.




Is there an expiration effect in the bitcoin market?

Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
  • Blasco de las Heras, Natividad
  • 0000-0003-1739-0095
  • Satrústegui, N.
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.