Persona:
González Sánchez, Mariano

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0000-0002-8255-9478
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González Sánchez
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Mariano
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2020 - 20224
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search.filters.applied.f.accessLevel: Atribución 4.0 Internacional × Autor: González Sánchez, Mariano ×

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Mostrando 1 - 4 de 4
  • Miniatura
    Publicación
    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.
  • Miniatura
    Publicación
    Greenhouse Gas Emissions Growth in Europe: A Comparative Analysis of Determinants
    (MDPI, 2020) Martín Ortega, Juan Luis; González Sánchez, Mariano
    Understanding the underlying reasons for greenhouse gas (GHG) emissions trends in dierent countries is fundamental for climate change mitigation. This paper identifies the main determinants that aect GHG emissions growth and assesses their impact and dierences among countries in Europe. Previous studies have produced inconclusive results and presented several limitations, such as the lack of quality of the data used, the reduced identification of determinants and the use of methods that did not enable hypothesis testing. Conversely, this research identifies an extended list of determinants of GHG emissions, performs an in-depth statistical analysis and contrasts the significance of determinants using panel data and multiple linear regression models for the period 1990–2017 for the main Eurozone countries. The study found that GDP and final energy intensity are the main drivers for the reduction of GHG emissions in Europe. Furthermore, energy prices are not significant and heterogeneous results are found for the renewable energy, fuel mix and carbon intensity determinants, pointing to a dierent behavior at the country level. The uneven impact of the main determinants of GHG emission growth suggest that a dierentiated application of European policies at country level will enhance the eciency of mitigation eorts in Europe.
  • Miniatura
    Publicación
    The Role of Assumptions in Ohlson Model Performance: Lessons for Improving Equity-Value Modeling
    (MDPI, 2021) Fullana, Olga; Toscano, David; González Sánchez, Mariano
    In this paper, we test whether the short-run econometric conditions for the basic assumptions of the Ohlson valuation model hold, and then we relate these results with the fulfillment of the short-run econometric conditions for this model to be effective. Better future modeling motivated us to analyze to what extent the assumptions involved in this seminal model are not good enough approximations to solve the firm valuation problem, causing poor model performance. The model is based on the well-known dividend discount model and the residual income valuation model, and it adds a linear information model, which is a time series model by nature. Therefore, we adopt the time series approach. In the presence of non-stationary variables, we focus our research on US-listed firms for which more than forty years of data with the required cointegration properties to use error correction models are available. The results show that the clean surplus relation assumption has no impact on model performance, while the unbiased accounting property assumption has an important effect on it. The results also emphasize the uselessness of forcing valuation models to match the value displacement property of dividends.
  • Miniatura
    Publicación
    Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector
    (MDPI, 2021) Morales de Vega, M. Encina; González Sánchez, Mariano
    A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measurements. This paper analyses whether the Bloomberg investor sentiment index has a causal relationship with the abnormal returns and volume shocks of major European Union (EU) financial companies through a sample of 85 financial institutions over 4 years (2014–2018) on a daily basis. The i.i.d. shocks are obtained from a factorial asset pricing model and ARMA-GARCH-type process; then we checked whether there is both individual and joint causality between the standardized residuals. The results show that the explanatory capacity of the shocks of the firm Bloomberg sentiment index is low, although there is empirical evidence that the effects correspond more to the situation of the financial subsector (banks, real estate, financial services and insurance) than to the company itself, with which we conclude that the sentiment index analyzed reflects a sectorial effect more than individual one.