Listar por autor UPNA "Muga Caperos, Luis Fernando"
Mostrando ítems 1-20 de 20
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Bad company. The indirect effect of differences in corporate governance in the pension plan industry
This paper analyses the role played by pension plan governance structure and how it impacts on plan fees and plan performance. The results clearly show that fees decrease significantly and performance improves when pension ... -
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
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 ... -
Coasimetría idiosincrática y riesgo de insolvencia en el mercado de valores español
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 ... -
Do sustainability disclosure mechanisms reduce market myopia? Evidence from European sustainability companies
Market myopia is a behavioural bias that causes investors to overvalue short-term earnings and undervalue long-term profits. This anomaly should not be compatible with sustainability disclosure mechanisms, the set of tools ... -
Does default probability matter in Latin American emerging markets?
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 ... -
Does the betting industry price gender? Evidence from professional tennis
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 ... -
Duty calls: prediction of failure in reorganization processes
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 effect of a switch of management company on pension plan fees
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 ... -
The effect of US holidays on European markets: when the cat's away...
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 ... -
Enhancing learning in the finance classroom
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 ... -
Game, set and match: the favorite long-shot bias in tennis betting exchanges
We test for the existence of Favorite-Longshot Bias (FLB) in tennis betting exchanges. Despite these being order-driven markets, with no direct participation from bookmakers, we have found very similar results to those ... -
Hidden power of trading activity: the FLB in tennis betting exchanges
This paper examines the impact of trading activity on the Favourite-Longshot Bias (FLB) in tennis Betting Exchanges, using direct measures such as betting volume, average bet and standard deviation of the odds. According ... -
In memoriam: Rafael Santamaría Aquilué
Recorrido por la vida y obra del profesor e investigador Rafael Santamaría Aquilué -
Is default risk the hidden factor in momentum returns? Some empirical results
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, ... -
Lagged accuracy in credit-risk measures
(Elsevier, 2022) Artículo / ArtikuluaThis 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 ... -
Momentum and default risk. Some results using the jump component
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 ... -
Performance of default-risk measures: the sample matters
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 ... -
Prediction of failure in reorganization agreements under Colombia's Corporate Insolvency Act
Purpose – The aim of this paper is to provide an overview of the impact of the implementation of Colombian Corporate Insolvency Act 1116 of 2006 in the period 2008–2018 and to assess the relevance of a broad set of financial ... -
The role of investor type in the fee structures of pension plans
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 ... -
The role of small bettors in price formation in betting exchanges
The presence of small bettors in betting exchanges generates mispricing, which can lead to exploitation by informed traders or result in permanent price deviations. This paper shows that mispricing from this source is also ...