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Performance of default-risk measures: the sample matters
(Elsevier, 2020)
info:eu-repo/semantics/article,
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 ...
The effect of US holidays on European markets: when the cat's away...
(Wiley, 2013)
Artículo / Artikulua,
This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect ...
Momentum and default risk. Some results using the jump component
(Elsevier, 2015)
Artículo / Artikulua,
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
The role of investor type in the fee structures of pension plans
(Springer, 2016)
Artículo / Artikulua,
We examine the role of the investor type in the fee structure of pension plans. Our examination uses a data set of employer-sponsored and individual private pension funds in Spain. We find different determinants of the ...
Is default risk the hidden factor in momentum returns? Some empirical results
(Wiley, 2014)
Artículo / Artikulua,
This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, ...
Game, set and match: the favorite long-shot bias in tennis betting exchanges
(Taylor & Francis, 2016)
Artículo / Artikulua,
We test for the existence of Favorite-Longshot Bias (FLB) in tennis betting exchanges. Despite these being order-driven markets, with no direct participation from bookmakers, we have found very similar results to those ...
Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
(AECATaylor & Francis, 2014)
Artículo / Artikulua,
En el presente trabajo se analiza la relación entre el riesgo asimétrico, aproximado por las medidas de coasimetría y coasimetría idiosincrática, y el riesgo de insolvencia en el mercado de valores español. Se ha encontrado ...
Enhancing learning in the finance classroom
(Universidad Politécnica de Valencia., 2022)
Contribución a congreso / Biltzarrerako ekarpena,
This paper aims to describe a teaching-learning experience based on ProjectBased Learning (PBL). This experience is part of an educational innovation
project devoted to transforming finance classes in various facets of ...
In memoriam: Rafael Santamaría Aquilué
(Universidad de Zaragoza, 2018)
Otros / Bestelakoak,
Recorrido por la vida y obra del profesor e investigador Rafael Santamaría Aquilué
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
(SAGE, 2014)
Artículo / Artikulua,
This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are ...