Person:
González Urteaga, Ana

person.page.identifierURI

https://academica-e.unavarra.es/handle/2454/49191

Last Name

González Urteaga

First Name

Ana

person.page.departamento

Gestión de Empresas

person.page.instituteName

INARBE. Institute for Advanced Research in Business and Economics

ORCID

0000-0002-8256-8518

person.page.upna

810168

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Now showing 1 - 10 of 28

Open Access
Transmisión del riesgo de crédito en el sector bancario Europeo: crisis subprime y deuda soberana
(Taylor & Francis, 2014) Ballester Miquel, Laura; González Urteaga, Ana; Tudela Ferrándiz, David; Gestión de Empresas; Enpresen Kudeaketa
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia de transmisión del riesgo de crédito entre las entidades financieras europeas de la Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y (iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras? Los resultados indican un cambio significativo en la transmisión del riesgo de crédito con el estallido de la crisis subprime, con un efecto notable proveniente de los bancos de la Eurozona hacia los que no pertenecen a dicha zona.
Open Access
A forecasting analysis of risk‐neutral equity and Treasury volatilities
(Wiley, 2019) González Urteaga, Ana; Nieto, Belén; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
This paper employs equity (VIX) and Treasury (MOVE) risk‐neutral volatilities to assess their relative forecasting performance with respect to future real activity, stock and Treasury excess returns, and aggregate risk factors. The in‐sample evidence suggests that the square of VIX tends to dominate the square of MOVE. Out‐of‐sample predictive analysis, performed as a horse race between equity and Treasury risk‐neutral volatilities, shows that, contrary to earlier results, the square of VIX and MOVE tend to complement each other.
Open Access
An empirical investigation of the effect of credit ratings on sovereign credit risk
(Universidad de Castilla La Mancha, 2015) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of change in contagion, which we quantify using the novel GVAR methodology. We find that CDS of boarding markets anticipate both positive and to a greater extent negative events that occurs in a given country. Alternatively, only upgrades display a significant spillover effect the days after the event. Therefore, CDS already reflect the information before the positive or negative rating announcement occurs. However, only upgrades contain new information that have a significant impact on the CDS markets of other sovereigns.
Open Access
Enhancing learning in the finance classroom
(Universidad Politécnica de Valencia., 2022) Abinzano Guillén, María Isabel; Corredor Casado, María Pilar; Río Solano, María Cristina del; Ferrer Zubiate, Elena; González Urteaga, Ana; Mansilla Fernández, José Manuel; Martínez García, Beatriz; Muga Caperos, Luis Fernando; Gestión de Empresas; Enpresen Kudeaketa
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 financial advice. Specifically, the article focuses on the transformation process of a subject that studies financial markets and the assets traded in them. Based on this experience, the classroom becomes a financial consulting firm that advises investors on how to invest their capital. The results show us a remarkable active dedication of the students to the course, improved knowledge, and marks. In addition, the development of skills and values such as teamwork, autonomy, solidarity, equality, and professional skills are elements that encourage us to continue along this line.
Open Access
Volatility risk premia betas
(Universidad de Zaragoza, 2016) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
This paper analyzes the cross-sectional and time-series behavior of thevolatility risk premia betas at the portfolio level. These betas show a monotonic relation with respect to the magnitude of the volatility risk premium payoffs. Moreover, portfolio conditional volatility risk premia betas increase significantly in recessions. In particular, these betas tend to increase significantly with default premium, market betas and the HML and SMB Fama-French risk factors. On the other hand, conditional betas tend to decrease when industrial production growth, consumption growth, the market excess return, and the momentum factor increase.
Open Access
Momentum and default risk. Some results using the jump component
(Elsevier, 2015) González Urteaga, Ana; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
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 results from the US market to the Spanish stock market, which, despite being a developed market, presents several differences in terms of stock characteristics, financial system, investor typology and cultural dimensions. The results show that the jump component has significant explanatory power for the premium of three characteristics (size, book-to-market and illiquidity), which is at odds with risk-based explanations. Using the same testing strategy, we try to shed some light on an important controversy concerning the relationship between default risk and momentum. The results suggest that default risk is not the source of momentum returns.
Open Access
The quality premium with leverage and liquidity constraints
(Elsevier, 2021) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
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.
Open Access
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on the recursive preference-based stochastic discount factor. Hence, a dynamic econometric strategy of an asset pricing model with the market portfolio return and the leverage growth of financial intermediaries allows for a sensible economic estimate of the elasticity of intertemporal substitution. On the contrary, the same framework with alternative measures of consumption produces extremely poor economic results.
Open Access
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
(Routledge, 2020) González Urteaga, Ana; Nieto, Belén; Rubio Irigoyen, Gonzalo; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
This paper analyzes the factor structure and cross-sectional variability of a set of expected excess returns extracted from option prices and a non-parametric and out-of-sample stochastic discount factor. We argue that the existing potential segmentation between the equity and option markets makes it advisable to avoid using only option prices to extract expected equity risk premia. This set of expected risk premia significantly forecasts future realized returns, and the first two principal components explain 94.1% of the variability of expected returns. A multi-factor model with the market, quality, funding illiquidity, the default premium and the market-wide variance risk premium as factors significantly explains the cross-sectional variability of expected excess returns. The (asymptotically) different from zero adjusted cross-sectional R-squared statistic is 83.6%.
Open Access
Lagged accuracy in credit-risk measures
(Elsevier, 2022) Abinzano Guillén, María Isabel; González Urteaga, Ana; Muga Caperos, Luis Fernando; Sánchez Alegría, Santiago; Institute for Advanced Research in Business and Economics - INARBE
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.