Person:
González Urteaga, Ana

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González Urteaga

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Ana

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-8256-8518

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810168

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Now showing 1 - 2 of 2
  • PublicationOpen 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.
  • PublicationOpen 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.