Open Access
When is environmental performance most valued?: international evidence from the CDS market
(Elsevier, 2025-03-17) Ballester Miquel, Laura; González Urteaga, Ana; Martínez García, Beatriz; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
Using a sample of 516 firms with CDS data from 37 countries for the period 2010-2022, this study finds that companies with higher environmental performance, particularly in emissions reduction and product innovation, exhibit a reduction in credit risk, supporting the risk mitigation perspective. Our results also highlight the importance of considering both internal and external factors when assessing the financial impact of sustainability initiatives. Firms with initially lower environmental performance, less exposure to the environmental sector, and higher credit ratings experience a more significant reduction in credit risk as they improve their environmental performance. In addition, the CDS market places a higher value on environmental efforts for firms located in countries with lower environmental scores, credit ratings and GDP growth. Conversely, out findings support the overinvestment view for firms in sectors with high environmental risk exposure or in countries with poor climate change performance. Overall, the effect of a firm's environmental performance on credit risk is heterogeneous rather than uniform.
Open Access
Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities
(MDPI, 2020) Ballester Miquel, Laura; González Urteaga, Ana; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.
Open Access
The joint cross-sectional variation of equity returns and volatilities
(Elsevier, 2017) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is negative and statistically significant. However, both risk factors are priced economically and statistically differently in the volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of volatility risk premium portfolios, but only 65% of the variability of equity return portfolios.
Open Access
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
(Elsevier, 2016) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries.
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
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
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
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
Bank fragility and contagion: evidence from the bank CDS market
(Elsevier, 2016) Ballester Miquel, Laura; Casu, Barbara; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Our measure of systematic contagion is always greater than the idiosyncratic component, thus highlighting the importance of common factors in the propagation of risk spillovers. This indicates that international linkages among banking markets are central to the transmission of shocks.
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.