Now showing items 1-12 of 12

    • Bad company. The indirect effect of differences in corporate governance in the pension plan industry 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      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 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (SAGE, 2014)   Artículo / Artikulua  OpenAccess
      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 

      González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (AECATaylor & Francis, 2014)   Artículo / Artikulua  OpenAccess
      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 ...
    • Does default probability matter in Latin American emerging markets? 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Taylor & Francis, 2013)   Artículo / Artikulua  OpenAccess
      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 ...
    • The effect of US holidays on European markets: when the cat's away... 

      Casado, Jorge Upna; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Wiley, 2013)   Artículo / Artikulua  OpenAccess
      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 ...
    • Game, set and match: the favorite long-shot bias in tennis betting exchanges 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Taylor & Francis, 2016)   Artículo / Artikulua  OpenAccess
      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 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (SAGE Publications, 2017)   Artículo / Artikulua  OpenAccess
      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 ...
    • Is default risk the hidden factor in momentum returns? Some empirical results 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Wiley, 2014)   Artículo / Artikulua  OpenAccess
      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, ...
    • Momentum and default risk. Some results using the jump component 

      González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Elsevier, 2015)   Artículo / Artikulua  OpenAccess
      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 

      Abinzano Guillén, María Isabel Upna Orcid; González Urteaga, Ana Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Sánchez Alegría, Santiago Upna Orcid (Elsevier, 2020)   Artículo / Artikulua
      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 ...
    • The role of investor type in the fee structures of pension plans 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Springer, 2016)   Artículo / Artikulua  OpenAccess
      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 

      Abinzano Guillén, María Isabel Upna Orcid; Muga Caperos, Luis Fernando Upna Orcid; Santamaría Aquilué, Rafael Upna Orcid (Routledge, 2020)   Artículo / Artikulua  OpenAccess
      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 ...