Open Access
If the bitcoin market grows, size matters
(Taylor & Francis, 2021) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE
This paper studies the herding behaviour among different exchanges trading bitcoin. The analysis allows us to conclude that the size of the exchange is an influencing parameter. Since 2018, when the significant growth in the number of exchanges became a reality, smaller exchanges have shown strong herding behaviour, whereas large exchanges seem to respond to their own information and beliefs and lead the process of price definition. This result may originate some temporary profitable strategies in the process of evolution towards efficiency according to the Adaptive Markets Hypothesis.
Open Access
Can agents sensitive to cultural, organizational and environmental issues avoid herding?
(Elsevier, 2017) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
Our findings indicate that herding behavior is affected not only by the cultural variables already discussed in the literature but also by other variables associated with organizational and environmental issues such as governance, technology, education and training, business style and conditions, and the development of equity and non-equity markets. Some of these act as catalysts, for example governance and technology. Others may have a corrective effect, such as the development of financial markets, business style, and education and training. If corrective factors are sufficiently developed, intentional herding practices could be reduced in the future.
Open Access
Market sentiment: a key factor of investors' imitative behaviour
(Wiley, 2012) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa; Gobierno de Navarra / Nafarroako Gobernua
The aim of this paper is to explore herding behavior among investors in order to determine its rational and emotional component factors and identify relationships among them. We apply causality tests to evaluate the impact of return and market sentiment on herding intensity. The herding intensity is quantified using the measure developed by Patterson and Sharma (2006). The research was conducted during the period 1997-2003 in the Spanish stock market, where the presence of herding has been confirmed. The results reveal that the herding intensity depends on past returns and sentiment or subjective assessments and confirm the presence of both a rational and an emotional factor.
Open Access
El sentimiento del inversor y las rentabilidades de las acciones. El caso español
(AECA, 2013) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
El presente trabajo analiza el efecto del sentimiento en las rentabilidades de los activos del mercado español. Los resultados muestran un efecto significativo del índice de sentimiento local sobre las rentabilidades de los activos del propio mercado, tanto sobre el mercado en su conjunto como en carteras de activos más sensibles por su dificultad de valoración o de arbitraje. También se ha mostrado la existencia de un efecto del sentimiento en dos esferas diferentes, una de ámbito más global y otra de ámbito local independiente de la anterior, probablemente ligada a aspectos institucionales o culturales del mercado. Si bien el primero causa al segundo, no se encuentra evidencia de que el mecanismo de transmisión esté relacionado con la actividad real asociada con los flujos de capitales entre mercados. El análisis del efecto del sentimiento durante la última crisis financiera robustece los resultados. No obstante, el sentimiento global absorbe todo el efecto del sentimiento local lo que deja intuir el carácter global de la crisis actual.
Open Access
Sovereign debt holdings and banks’ credit risk: evidence from the Eurozone
(Elsevier, 2021) Abinzano Guillén, María Isabel; Corredor Casado, María Pilar; Mansilla Fernández, José Manuel; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
This paper investigates the direct effect of sovereign debt holding on banks’ credit risk. Using individual Eurozone listed banks’ information, we find that holding sovereign debt improves the level of banks’ credit risk, but this effect is reversed when the credit risk associated with such debt is taken into account. For this purpose, we consider three alternative sovereign debt holding proxies and two types of banks’ credit-risk measures, both forward- and backward-looking. We find that the transmission of credit risk from sovereign debt holdings to banks’ credit risk is only captured when forward-looking credit-risk measures, based on market data, are used.
Open Access
Does family ownership always reduce default risk?
(Wiley, 2021) Abinzano Guillén, María Isabel; Corredor Casado, María Pilar; Martínez García, Beatriz; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
This paper analyses the effect of family ownership on the outcome of the firm’s risk‐taking activities, measured by the company’s default risk. We show that family ownership reduces the probability of default, which is proxied by the Black–Scholes–Merton (BSM) model. Our study goes further than the initial approach by taking into account certain factors conditioning the aforementioned relationship. We find that the expected negative relationship between family ownership and default risk is modified when there is a significant participation of institutional investors, whose positive moderating influence intensifies if they are stable and long‐term oriented and/or during adverse financial circumstances.
Open Access
Intentional herding in stock markets: an alternative approach in an international context
(Edward Elgar, 2010) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gobierno de Navarra / Nafarroako Gobernua
One of the issues of greatest concern in the world of finance is trying to understand how investors make decisions. The classic theoretical explanations are based on conditions of investor rationality and the perfection of markets, and the use of information available in the market as a decisive tool. In recent years the branch of behavioural finance has emerged strongly in the field to try to expand this vision of investor behaviour. Factors associated with the psychological and sociological behaviour of individuals have been introduced as significant elements that go some way to explain investor decisions. Thaler (1991) and Shefrin (2000), among others, have incorporated an emotional component into the classic models considering both visions as compatible and complementary. A survey of the history and contributions in this field of finance in recent years can be found in Sewell (2007).
Open Access
Does the betting industry price gender? Evidence from professional tennis
(SAGE Publications, 2021) Barrutiabengoa Ortubai, Joxe Maria; Corredor Casado, María Pilar; Muga Caperos, Luis Fernando; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
This research addresses the importance of gender in the pricing process of the sports betting industry. Specifically, we investigate the impact of gender in the prices that bookmakers offer for tennis matches. Despite widespread evidence of gender bias both in the practice of the sport and its media coverage, tennis is one of the sports that has done most to achieve equality. The analysis of 51,881 tennis matches reveals that betting firms quote higher prices for women's matches than for men's, even when considering uncertainty due to the surprise factor and the media attention. The separate analysis of two bookmakers strengthens the evidence for the role of media attention as a source of gender-related information asymmetry.
Open Access
The role of sentiment and stock characteristics in the translation of analysts’ forecasts into recommendations
(Elsevier, 2019) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
The purpose of this paper is to further understanding of the determinants of analysts’ translational effectiveness and, specifically, the role of stock characteristics in the impact of sentiment in the translation of analysts’ forecasts into recommendations. We construct a proxy of intrinsic value of a stock based on that of Ohlson (1995), which incorporates all the information contained in the analysts’ earnings forecasts. Our results show that, although analysts do translate their earnings forecast valuations into recommendations, the effectiveness of this process is reduced by investor sentiment only in highly sentiment-sensitive stocks. This suggests the degree of analyst coverage as a potential conditioner of the observable results in a market. While not totally eliminating this observed effect, the Market Abuse Directive regulation does contribute to reduce the skew between analysts’ earnings forecasts and their recommendations. Finally, analysis of this effect reveals that this kind of skew enables investment strategies yielding positive risk-adjusted returns in highly sentiment-sensitive stocks, during periods of high market sentiment.
Open Access
Sentiment-prone investors and volatility dynamics between spot and futures markets
(Elsevier, 2015) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock market indexes in different countries: the S&P500 for the US, and a representative set of European indexes (CAC40, DAX30, FTSE100, IBEX35 and Eurostoxx50). Consistent with expectations, we have shown that the correlation is not stable with the level of investor sentiment. More specifically, the correlation between the two markets diminishes significantly during periods of high investor sentiment. Moreover, volatility shocks in either market are also found to have less impact during these periods. These results are compatible with behavioural finance theories suggesting that high investor sentiment leads to an increase in noise trading and a decline in arbitrage activity due to institutional investors’ attempts to limit their risk exposure.