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Santamaría Aquilué, Rafael

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Santamaría Aquilué

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Rafael

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Gestión de Empresas

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0000-0001-7656-6412

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525

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2014 - 20153
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Author: Santamaría Aquilué, Rafael × Subject: Default risk ×

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Now showing 1 - 3 of 3
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    PublicationOpen 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.
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    PublicationOpen 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.
  • Thumbnail Image
    PublicationOpen Access
    Is default risk the hidden factor in momentum returns? Some empirical results
    (Wiley, 2014) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
    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, we show that it is not the hidden factor behind this effect. While the loser portfolio is characterized by high default risk, small size, high BTM and illiquidity, characterization of the winner portfolio is somewhat more complex. Given that the momentum strategy is the return differential between the winners and the losers, factors such as the stock market cycle or the evolution of momentum portfolios against their reference point make momentum profits difficult to forecast.