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A comparison of market risk measures from a twofold perspective: accurate and loss function
(Elsevier, 2023-06-04) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
A cryptocurrency empirical study focused on evaluating their distribution functions
(Elsevier, 2022-02-14) López Martín, Carmen; Arguedas Sanz, Raquel; Benito Muela, Sonia
This paper thoroughly examines the statistical properties of cryptocurrency returns, particularly focusing on studying which is the best statistical distribution for fitting this type of data. The preliminary statistical study reveals (i) high volatility, (ii) an inverse leverage effect, (iii) skewed distributions and (iv) high kurtosis. To capture the nonnormal characteristics observed in cryptocurrency data, we verified the goodness of fit of a large set of distributions, both symmetric and skewed distributions such as skewed Student-t, skewed generalized t, skewed generalized error and the inverse hyperbolic sign distributions. The results show that the skewed distributions outperform normal and Student-t distributions in fitting cryptocurrency data, although there is no one skewed distribution that systematically better fits the data. In addition, we compare these distributions in terms of their ability to forecast the market risk of cryptocurrencies. In line with the results obtained in the statistical analysis, we find that the skewed distributions provide better risk estimates than the normal and Student-t distributions, both in short and long positions, with SGED being the distribution that provides better results.
A Rebato: Popular uprisings and the striking of the bells in eighteenth-century Castile
(2023-08-18) Hernández Benítez, Mauro
This paper delves into the dynamics of popular revolt in early modern Castile, taking as a viewpoint a revealing feature of these disturbances, the bell-ringing widely known as rebato, an equivalent to the French tocsin. While alarm bells have long been recognised as a prevalent element of popular revolt in Europe from medieval times, they have received limited specific scholarly attention. This study provides an overview of the historical significance of this distinctive sound and examines its material aspects. Subsequently, the paper investigates several instances of bell-ringing during Castilian riots, as reflected in archival sources, and analyses its meaning both for townspeople and the authorities. In attempting to elucidate the reasons behind the aversion this sound provoked among the privileged classes and the authorities, the study explores the political, ritual, and sonic dimensions of the rebato.
A study on the deployment of high-speed broadband networks in NUTS3 regions within the framework of digital agenda for Europe
(Elsevier, 2018) Feijóo González, Claudio; Armuña, Cristina; Arenal, Alberto; Ramos Villaverde, Sergio; Gómez Barroso, José Luis
This paper investigates the high-speed broadband situation in the EU and its prospects. It uses a deployment model to estimate the investment required to meet the Digital Agenda for Europe (DAE) broadband targets set by the European Commission in its Europe 2020 strategy at different stages: as of 2016, after expected operators’ deployment, after public subsidies and leveraged investment, and as expected in 2020. The model uses data at the NUTS3 level, which is the most granular level that has data available on the status of broadband deployment, to arrive at a coherent and comparable framework. From the different perspectives on the investment to meet DAE targets, the paper concludes on the need for an appropriate combination of incumbent and alternative operators investments, public subsidies and leveraged investments, and new investments, both public and private and non-existing as of 2016, examining their feasibility and the impact of different regulatory, technical, and policy strategies.
Academic Performance in Distance Education: Quizzes as a Moderator Variable and Students' Perception and Expectation through Linguistic Analysis
(The Online Learning Consortium, 2022) Parte Esteban, Laura; Mellado Bermejo, Lucía
This study sheds light on the relation between assessment modalities and student behavior through linguistics styles, and academic performance. First, we examine the effect of assessment modalities (self-evaluation quizzes and summative quizzes) on academic performance. Using two modalities of online quizzes, we mainly focus on the student participation, student behavior (the work pacing and time management), type of assessment, and student characteristics. Second, we analyze the student behavior through linguistic styles and third, we examine the levels of anxiety and the expectation of success during the course. Specifically, we compare the linguistic styles of high performing students and low performing students and changes in anxiety levels and expectation of success. Methodologically, this study includes a static and dynamic perspective and combines quantitative analysis with a qualitative approach. The participants are students enrolled in Managerial Accounting for Tourism course in the academic year 2019-2020. The results show that both quizzes modalities are positively associated with academic performance. The linguistic analysis shows differences in the language between high performing students and low performing students. Finally, a pattern of changes on the students' expectations of success and levels of anxiety are identified during the course.
Affective and cognitive factors that hinder the banking relationships of economically vulnerable consumers
(Emerald, 2022-04-06) Fernández Olit, Beatriz; Cuesta González, Marta María de la; Orenes Casanova, Isabel; Paredes Gázquez, Juan Diego
El objetivo de este artículo es explorar los factores afectivos y cognitivos que condicionan las relaciones bancarias de los consumidores económicamente vulnerables y cómo estos factores contribuyen a aumentar las dificultades financieras y la exclusión. Esta investigación, realizada en un conjunto de grupos focales, basa sus hallazgos en una combinación de métodos experimentales y de análisis del discurso. Las decisiones financieras no son racionales y pueden estar sesgadas por factores afectivos y cognitivos. Las finanzas conductuales se han centrado muy poco en analizar cómo los sesgos del consumidor influyen en las relaciones con las instituciones bancarias. Adicionalmente, estas relaciones se ven afectadas por la digitalización y transformación del negocio bancario. Así, en el caso de consumidores económicamente vulnerables, que no son rentables para la cada vez más competitiva industria bancaria y carecen de capacidades financieras, su riesgo de exclusión financiera es cada vez mayor. Los resultados muestran que la desconfianza y la vergüenza conducen a dificultades financieras en consumidores económicamente vulnerables. La desconfianza genera problemas de acceso y autoexclusión, mientras que la vergüenza genera dificultades de uso. Esta falta de confianza les hace más racionales en el trato con las máquinas que con las personas, mostrando mayores dificultades bancarias para los consumidores con perfil “persona-sospechoso”. Este hallazgo puede ayudar a los reguladores a establecer límites en el comportamiento bancario, exigir a los bancos que incorporen factores afectivos y cognitivos en sus pruebas de conveniencia y detectar nuevas variables que puedan ayudarlos a mejorar sus índices de insolvencia y reputación.
An application of extreme value theory in estimating liquidity risk
(Elsevier, 2017-12) Benito Muela, Sonia; López Martín, Carmen; Arguedas Sanz, Raquel
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimations of market risk by adding the VaR of the spread to the risk price. The parametric model is the standard approach used to estimate liquidity risk. As this approach does not generate reliable VaR estimates, we propose estimating liquidity risk using more sophisticated models based on extreme value theory (EVT). We find that the approach based on conditional extreme value theory outperforms the standard approach in terms of accurate VaR estimates and the market risk capital requirements of the Basel Capital Accord.
Análisis de las necesidades de inversión en renovación de las infraestructuras del ciclo urbano del agua
(Universidad Nacional de Educación a Distancia (España). Editorial, 2019-10) Gracia de Rentería, Pilar; Ballesteros Olza, Mario; Pérez Foguet, Agustí; Ezbakhe, Fatine; Guerra Librero Castilla, Andrés; Pérez Zabaleta, Amelia
La preocupación por el envejecimiento de las infraestructuras de los servicios de abastecimiento y saneamiento se encuentra cada día más presente entre los distintos grupos de interés del sector del agua. Existe un consenso sobre la creciente necesidad de inversiones orientadas a cubrir los servicios actuales y los retos futuros. Muchas de las redes de abastecimiento se encuentran deterioradas y cercanas al fin de su ciclo de vida. El envejecimiento de las infraestructuras reduce la eficiencia de la capacidad instalada, aumentando los costes no solo financieros, sino también los ambientales, a través de las pérdidas de agua y/o vertidos no tratados, así como los costes sociales, debido al aumento del riesgo de fallos del sistema y de cese del servicio. La probabilidad y el impacto de los fallos en los servicios del ciclo urbano del agua se intensifican en los escenarios de cambio climático, caracterizados por el incremento de la intensidad y de la frecuencia de eventos extremos, así como por el crecimiento y concentración de población en zonas urbanas. Al mismo tiempo, se incide en la importancia de la inversión en nuevas infraestructuras que reduzcan el carácter intensivo de consumo energético de las dotaciones actuales. En el ámbito de la gestión del agua en nuestro país, se constata una falta de información detallada sobre la cuantificación, el estado y las necesidades de inversiones en el ciclo urbano del agua, entendido este como el conjunto de infraestructuras que dan servicio a la población y que distribuyen el recurso hidráulico desde las grandes infraestructuras de regulación, y que posteriormente son recogidas para su tratamiento antes del vertido. Para contribuir al avance de este ámbito de estudio, el 22 de marzo de 2018, la Cátedra AQUAE de Economía de Agua de la UNED y la Asociación Española de Abastecimientos de Agua y Saneamiento (AEAS) firmaron en Madrid un convenio de colaboración para llevar a cabo un proyecto sobre las necesidades de inversión en el ciclo urbano del agua en España.
Análisis de los modelos de integración de la información financiera y no financiera en los grupos cotizados del IBEX 35
(Universidade de Santiago de Compostela, 2021-06-09) Ibáñez Jiménez, Eva María
Desde 2018, la obligación de elaborar el estado de información no financiera (EINF) está revolucionando la forma en que las grandes compañías españolas estructuran toda su información corporativa. Nuestra investigación tiene como objetivo identi-ficar los nuevos modelos de integración de la información financiera y no financiera en la praxis de los grupos cotizados del IBEX 35. Se han analizado los informes referidos al ejercicio 2018: financieros en sentido estricto, esto es, cuentas anuales consolidadas e informes de gestión –incluido el EINF– y no financieros, es decir, informes integrados y/o memorias de sos-tenibilidad. Los resultados obtenidos evidencian un alto nivel de dispersión informativa. Se han identificado tres modelos bá-sicos y hasta siete subcategorías alternativas. Otros resultados muestran el auge del informe integrado en detrimento del in-forme de sostenibilidad, la transformación de estos informes no financieros o voluntarios en informes legales o parcialmente legales, o las limitaciones del alcance de la verificabilidad del EINF.
Un análisis del comportamiento de la sociedad española con respecto a la protección de la privacidad en internet
(Federación Española de Sociología, 2020) Feijóo González, Claudio; Gómez Barroso, José Luis
La privacidad es un fenómeno social cuya descripción no ha recibido la atención que merece dada la creciente revelación y uso de información personal en relaciones privadas y públicas. A partir de una encuesta completada por 1.650 individuos, este artículo investiga las variables que definen a quienes muestran una mayor preocupación por la privacidad en internet y a aquellos que siguen unos hábitos que permiten un mejor control de los datos que ceden. Tener antecedentes de problemas con la seguridad o de irritación por la invasión de la esfera privada es en ambos casos la variable más significativa. Está acompañada por otros factores relacionados con la actividad en internet y experiencia en su uso; las variables socioeconómicas o demográficas juegan un papel secundario.
Analysis of brand influence in the rockets and feathers effect using disaggregated data
(Elsevier, 2020-04-01) Palencia González, Francisco Javier; Navío Marco, Julio; Juberías Cáceres, Gema
This paper studies price asymmetries (the ‘rockets and feathers effect’) at the firm level using an approach that fundamentally differs from the previous literature. The research analyses the Spanish oil market, using more than 11 million daily price records from December, 23, 2014, to December 31, 2017. We apply the most common econometric approach to investigate asymmetry, the error correction model, and find asymmetries for all brands, either classic brands or low-cost flag brands. Classic brands make price adjustments in shorter periods, whereas supermarket brands, as well as independent and low-cost brands, correct prices only slowly. This research makes an original contribution to the study of the rockets and feathers phenomenon using brands as the units of analysis. The speed of price adjustments is especially relevant to understanding oil market price dynamics.
Analysis of renewal investment needs of the urban water cycle in Spain
(Universidad Nacional de Educación a Distancia (España). Editorial, 2020-09) Gracia de Rentería, Pilar; Ballesteros Olza, Mario; Pérez Foguet, Agustí; Ezbakhe, Fatine; Guerra Librero Castilla, Andrés; Pérez Zabaleta, Amelia
Analysis of the adoption of customer facing in-store technologies in retail SMEs
(Elsevier, 2020-11) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Brick and mortar stores are suffering the dramatic revolution of the retail sector. Customer facing in-store technologies (CFIST) are a key component of the inevitable transformation of retail stores; yet the reasons to adopt such technologies by business owners may be little known. Based on a TOE and TAM inspired framework, this study analyses the drivers of such decision by small and medium size enterprises using a survey methodology. The results show that the attitude towards technology is the strongest predictor of the intention to adopt CFIST, highlighting the role of the top management in technology decisions. This conclusion has important implications for practitioners. This research is the first to address the adoption of CFIST by SMEs and therefore set the path for further studies about the impact and adoption of in-store technology in SMEs.
Analysis of the Influence of the Moment the Internationalization Process Begins on the Internationalization Intensity of Family and Nonfamily Businesses: An Approach Using a Tobit Model
(MDPI, 2022-10-10) Varas Fuente, Oscar Javier; Arguedas Sanz, Raquel; Rodrigo Moya, Beatriz
The specific characteristics of family businesses as well as the internationalization path followed can influence the intensity of the internationalization process. Many studies have analyzed how family character can influence the internationalization process of family businesses, and the results obtained have not been conclusive. Nevertheless, previous research has not sufficiently addressed the influence that the moment of initiation of the internationalization process has on the levels of internationalization achieved. Based on the behavioral agency model, the unique set of business resources (familiness), and the socioemotional wealth (SEW) perspective, this study examines, the internationalization intensity of family and nonfamily businesses in two defined groups (early internationalization and internationalization from the local market). Likewise, the effect that the entry of the second generation has on the internationalization of these companies is analyzed. To perform this analysis, Tobit regression models are estimated from a data set of panel data from the Spanish Survey on Business Strategies for small and medium-sized Spanish family businesses from 2005 to 2016, finding that family ownership and management have a negative influence on the intensity of exports, regardless of the path of internationalization followed, and that the entry of new generations has a positive relationship with the level of internationalization of these businesses. Finally, implications of the findings for research and management are discussed.
Analyzing disability in socially responsible companies
(Springer Link, 2017-01-01) Saavedra Robledo, Irene; Segovia San Juan, Ana Isabel; Fernández de Tejada Muñoz, Victoria
The incorporation of People with Disability (PWD) in organizations is a subject taken up by international organizations, such as the European Union and the United Nations, which has had subsequent consequences in Spain with the development of legislation and specific initiatives. In this paper we have considered the concept of disability as part of diversity and, above all, as a fundamental subject of human rights and justice, which has allowed us to include the collective of PWD among the stakeholders of companies. The research on the incorporation of disability as an integral part of the policies of Corporate Social Responsibility (CSR) in companies is very recent, although the term Corporate Social Responsibility and Disability is already used. The main objective of this paper is to analyze the commitment with PWD of Spanish companies considered socially responsible by the sustainability indices used. We have included in four large dimensions (Stakeholders, Visibility, Human Resources and Accessibility) the indicators that have allowed us to analyze the information on PWD published by these companies in their sustainability reports or similar documents accessible through their websites. The results suggest that the companies are more concerned about improving their image towards the exterior than for the commitment with their own employees, which is consistent with the dimension Visibility being where the companies carry out more actions in favor of PWD.
Are retailers leveraging in-store analytics? An exploratory study
(Emerald, 2022-05-03) Lorente Martínez, Javier; Navío Marco, Julio; Rodrigo Moya, Beatriz
Purpose The purpose of this study is to analyse the level of adoption of in-store analytics by brick-and-mortar retailers. Web analytics technology has been widely adopted by online retailers, and the technology to gather similar information in physical stores is already available. This study explores how such technology is valued and adopted by retailers. Design/methodology/approach This study is based on interviews and a focus group of 21 retail executives using a semi-structured interview methodology. An in-store analytics service was defined, along with specific key performance indicators (KPIs) and use cases to structure respondents' feedback. Findings Although noteworthy differences have been found in the value of KPIs and use cases by type of business, the main finding is that none of the respondents reached the stage of a brick-and-mortar data-driven company. In-store analytics services are in the early stages of Rogers' (1983) model of diffusion of innovations. Three main reasons are presented: lack of technology knowledge, budget priority and a data culture inside the companies. Practical implications The results should encourage scholars to further investigate the drivers accelerating the adoption of these technologies. Practitioners and solution providers should strive for improvement in the simplicity of their solutions. Originality/value This study is the first to analyse the level of adoption of in-store analytics from the perspective of retailers.
Are social and financial exclusion two sides of the same coin? An analysis of the financial integration of vulnerable people
(Springer, 2018) Fernández Olit, Beatriz; Paredes Gázquez, Juan Diego; Cuesta González, Marta María de la
The economic crisis has increased the inequality and heterogeneity of people at risk of social exclusion, and thus their financial vulnerability. This article reviews the literature on the determinants of unbanking and underbanking and proposes a model linking financial and social exclusion. We aimed to determine if people at risk of poverty and social exclusion are integrated -and to what extent- in the financial system. To answer this question, we identified the demographic and the social exclusion factors that determine both the status of financial vulnerability and the use of banking services. We used multivariate analysis methods to analyze the information from the survey on social vulnerability conducted by the Red Cross Spain in 2015. Our results show a negative relationship between the risk of social exclusion and the intensity of use of banking services. This leads to financial vulnerability and exclusion in the most extreme situations. We suggest that underbanking is the most relevant - but not previously studied- situation of financial vulnerability in Europe and discuss its implications for policymakers. This paper contributes to the measurement of the link between financial and social exclusion, and is the first quantitative study on the use of banking products by vulnerable people in a European context.
Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
(Elsevier, 2022) González Sánchez, Mariano
The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging equity markets, we find that the information portfolio built from the stochastic discount factor shows better goodness of fit of emerging market and, only the factor that accounts value stocks versus growth stocks is relevant to emerging equity markets, specifically, it is a sensitivity measure at risk.
Audit quality and fees: Evidence from Spain
(Taylor & Francis, 2021) Guzmán Raja, Isidoro; Rúa Alonso De Corralesc, Enrique; Sánchez García, Juan Francisco; González Sánchez, Mariano
This empirical research uses panel data methodology to find the main factors determining Spanish audit quality. on a sample with more than 60,000 audited companies from 2013 to 2018. Prior to analysing the quality of the audit, we have adjusted the best possible model to the audit fees behaviour in order to extract the abnormal fees. Our dynamic model shows that audited company’s size, the previous year’s audit fees, the years with the same audit firm, the auditor’s opinion, the auditor rotation, the concentration or dedication to the client and the client sector are explanatory factors of audit fees. Further, we find evidence that audit quality improves with number of hours billed for audit work and decreases with sector concentration of auditor and, a novel multiplicative effect, the auditor size by abnormal audit fees, in such a way that the surcharge (abnormal fees) of the big audit firms contribute negatively to improve the audit quality.
Banking system resilience and stability: constructing a composite indicator for developed countries
(Emerald, 2019-10-14) Ruza Paz-Curbera, Cristina; Cuesta González, Marta María de la; Paredes Gázquez, Juan Diego
The aim of this paper is to empirically appraise the health of banking systems by applying a new theoretical framework based on complex system theories. For doing so we propose a composite indicator for analysing the resilience and stability of banking systems for a group of advanced economies including the group of G7 countries, Spain and Portugal. The empirical results reveal quite different patterns in the aftermath of the financial crises. While some countries have improved its relative position within the ranking, we find others evolving just in the opposite direction. The main purpose of the indicator is not to make predictions of future banks’ behaviour, but rather to use it as an early warning system for policymakers and supervisors in identifying signs of weakness, as well as a useful tool to identify the best practices.

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