Open Access
The effect of US holidays on European markets: when the cat's away...
(Wiley, 2013) Casado Sorozabal, Jorge; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly can not be explained by seasonal effects, such as the day of the week effect, the January effect or the pre-holiday effect, nor is it consistent with behavioral finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation.
Open Access
Progress in the removal of pharmaceutical compounds from aqueous solution using layered double hydroxides as adsorbents: a review
(Elsevier, 2020) Santamaría Aquilué, Rafael; Vicente, Miguel Ángel; Korili, Sophia A.; Gil Bravo, Antonio; Zientziak; Institute for Advanced Materials and Mathematics - INAMAT2; Ciencias; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa
Emerging contaminants and, among them, pharmaceutical compounds, have a significant impact on water ecosystems. Layered Double Hydroxides (LDH), being easy to synthesize and cheap materials, have recently gained attention as adsorbents in aqueous solutions. This work describes the latest research performed in the adsorption capacity of LDH towards both antibiotics and Non-Steroidal Anti-Inflammatory Drugs (NSAID) describing and analyzing the synthesis conditions (Me2+:Me3+ molar ratio, calcination temperature, choice of metals for the memory effect), kinetics and isotherm models used, use of support (more practical in a 3D over a 2D form), temperature effect and several techniques for the recovery of the adsorbents. LDH exhibited great performance and potential as clean adsorbents for these emerging contaminants.
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
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
Does default probability matter in Latin American emerging markets?
(Taylor & Francis, 2013) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
We analyse the impact of default probability in four leading Latin American stock markets (Argentina, Brazil, Chile and Mexico). We find no positive default risk premium except in the case of Brazil, and in fact find a negative risk premium for Argentina and Mexico. The latter effect tends to fade when the analysis accounts for size and BTM market variables. Although we find no size effect in any of the markets considered, the BTM effect is very strong in all of them, and our results reveal a consistent relationship, analogous to that found in more developed markets, between default probability and the size and book-to-market variables.
Open Access
Sustainability for European investors: evidence from a sustainable ranking
(EDITUM-Universidad de Murcia, 2020) López Arceiz, Francisco José; Santamaría Aquilué, Rafael; Río Solano, María Cristina del; Institute for Advanced Research in Business and Economics - INARBE
La sostenibilidad corporativa implica una amplia perspectiva que sugiere la creación de valor para los stakeholders y requiere desarrollar algunos compromisos a nivel económico, social, ambiental y de gobierno. La medición de los niveles de sostenibilidad corporativa tiene lugar a través de diferentes herramientas, siendo los rankings de sostenibilidad uno de los instrumentos más populares. Sin embargo, el impacto de estos indicadores en el valor de mercado es controvertido. Consecuentemente, nuestro objetivo es analizar la influencia del nivel de sostenibilidad sobre el valor de mercado de un conjunto de empresas. Para ello, aislamos el impacto del factor sostenibilidad de otra serie de efectos relacionados con la evolución general de los mercados financieros. Hemos utilizado información contenida en un ranking sostenible: el medallero elaborado por RobecoSAM. Nuestros resultados revelan que los inversores no valorar por igual los diferentes movimientos y calificaciones derivadas de la participación en un ranking sostenible.
Open Access
Influence of IPO characteristics on liquidity
(AECA, 2011) Acedo Ramírez, Miguel Ángel; Ruiz Cabestre, Francisco Javier; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
Este estudio examina la relación existente entre las características que definen las Ofertas Públicas de Venta Iniciales (OPIs) y la liquidez de las acciones en circulación tras la ejecución de estas operaciones. Se argumenta que a mayor infravaloración, tamaño relativo y composición minorista de las ofertas, mayor será la liquidez de las acciones tras la admisión a cotización. Los resultados procedentes de una muestra de OPIs del mercado bursátil español revelan que la liquidez, tras la ejecución de estas operaciones, puede ser explicada por las características que las definen. Además, éstos permanecen robustos tras excluir el efecto del mercado e incluir otras características adicionales de las OPIs tales comos compromisos de estabilización, restricciones lockup y reputación de coordinadores, aseguradores y auditores.
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
The impact of investor sentiment on stock returns in emerging markets. The case of Central European markets
(Taylor & Francis, 2015) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks traded on these markets and its impact is stronger here than in more developed European markets. This effect is linked to stock characteristics, particularly those considered to make stocks more prone to the influences of investor sentiment. The evidence shows that the effect is not uniform across countries, since higher levels are found for Poland and the Czech Republic, thus confirming the role of country-specific factors in the impact of investor sentiment on stock prices. The results also confirm that sentiment is a twofold (global and local) phenomenon, in which the global dimension has much greater impact than the local dimension, at least in the markets considered. Finally, the paper has shown that sentiment does not spread, at least to any significant degree, through the movement of capital between markets. This strengthens the argument that sentiment is transmitted through a behavioral mechanism. If this argument proves correct, there is little likelihood of local regulatory action being very effective in limiting the perverse impact of asset bubbles.
Open Access
Does analyst information influence the cost of debt? Some international evidence
(Elsevier, 2019) Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Suárez Suárez, Nuria; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Gestión de Empresas
We examine the contribution of analyst forecasting accuracy in reducing the average total cost of debt to firms. Our results reinforce the importance of analyst accuracy as a mechanism for reducing information asymmetries in the market, which is important to increase firms' access to available investment funding. A significant level of institutional and bank-held ownership serves as a substitution mechanism which mitigates the capacity of analyst accuracy to reduce information risk. External governance mechanisms also moderate the role played by analyst accuracy in the reduction of the cost of corporate debt. Our empirical findings are robust to different model specifications including the potential effect of the legal origin, to the consideration of an alternative proxy for the total cost of debt, to the inclusion of additional analyst-characteristics and stock-level characteristics.