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.
Open Access
Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
(AECA, 2014) González Urteaga, Ana; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
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 que aquellos títulos con mayor riesgo asimétrico proporcionan mayores rentabilidades durante el periodo considerado, en especial aquellos con valores positivos de la medida de coasimetría idiosincrática. Sin embargo, ni los factores de riesgo construidos en base a esta medida, ni el factor de riesgo de coasimetría proporcionan capacidad explicativa a las rentabilidades diferenciales de las carteras convencionales formadas por riesgo de insolvencia, siendo principalmente el factor tamaño (SMB) el que aporta explicación a dichas rentabilidades, tanto en periodos expansivos como durante el periodo de crisis financiera. Los factores de riesgo asimétrico únicamente presentan capacidad explicativa en el caso de carteras con riesgo de insolvencia más extremo y durante el periodo de crisis financiera internacional.
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
The effect of a switch of management company on pension plan fees
(Routledge, 2021) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
The impact of a switch of management company on pension plan fees is analysed by comparing the effects on employer-sponsored versus individual defined-contribution private pension plans in Spain. This framework is ideal because the two types differ significantly both in plan governance structure and consequently in the degree of bargaining power held by the decision-maker. In addition, intense bank restructuring, which has greatly modified the Spanish pension plan map, provides an interesting analytical context for the identification of causal links, because it is a scenario that features shocks exogenous to the relationship under analysis. The results show that a switch of management company significantly reduces management fees for employer-sponsored plans when the management change is not due to the bank restructuring process, on the contrary a switch of management company increases fees for individual pension plans.
Open Access
The role of investor type in the fee structures of pension plans
(Springer, 2016) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
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 fees between these two pension plans. We find evidence of market penetration strategies in individual plans but none in employer-sponsored plans. In these plans, the fees are negatively related to their financial groups’ market share, whereas in individual plans this relation is negative for management fees but positive for custodian fees. Further, except in the case of custodian fees in individual plans, we find that all fees diminish when the custodian and management firms belong to different financial groups.
Open Access
Duty calls: prediction of failure in reorganization processes
(Emerald, 2023) Abinzano Guillén, María Isabel; Bonilla Acosta, Harold; Muga Caperos, Luis Fernando; Institute for Advanced Research in Business and Economics - INARBE
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.
Open Access
In memoriam: Rafael Santamaría Aquilué
(Universidad de Zaragoza, 2018) Blasco de las Heras, Natividad; Muga Caperos, Luis Fernando; Gestión de Empresas; Enpresen Kudeaketa
Recorrido por la vida y obra del profesor e investigador Rafael Santamaría Aquilué
Open Access
Sports betting and the Black-Litterman model: a new portfolio-management perspective
(FiT Publishing, 2021) Abinzano Guillén, María Isabel; Campión Arrastia, María Jesús; Muga Caperos, Luis Fernando; Raventós Pujol, Armajac; Institute for Advanced Research in Business and Economics - INARBE
This paper transfers and adapts the Black-Litterman portfolio management model and its subsequent generalizations to the characteristics and specificities of assets quoted on sports betting markets. The results show that these assets are suitable for the application of portfolio management models with possible inclusion of investors' opinions. Information based on the variability of market prices and the attention received by NBA teams in Google Trends is successfully used to simulate the opinions expressed by a hypothetical portfolio manager. Furthermore, this makes these assets suitable for inclusion in portfolios in which managers are seeking returns uncorrelated with other assets.
Open Access
Performance of default-risk measures: the sample matters
(Elsevier, 2020) Abinzano Guillén, María Isabel; González Urteaga, Ana; Muga Caperos, Luis Fernando; Sánchez Alegría, Santiago; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa; Gobierno de Navarra / Nafarroako Gobernua, PI017-PI039 CORRAL
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.
Open Access
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
(SAGE, 2014) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
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 shown to yield significant economic returns. The impact of overconfidence bias on betting odds increases with trading volume, media coverage, and levels of disagreement between overconfident and Cumulative Prospect Theory bettors. Just as in traditional financial markets, arbitrage limits are shown to be a necessary condition for the impact of behavioural biases on prices.