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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Publicación Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity(Elsevier, 2020) Nave Pineda, Juan M.; Rubio Irigoyen, Gonzalo; González Sánchez, MarianoHow do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling decomposition of the sensitivity of factor returns to real activity into high- and lowfrequency components. We find a positive and significant relation between uncertainty and risk aversion for the low-frequency component of the sensitivity of factor returns to economic activity. More importantly, risk aversion significantly amplifies the effects of uncertainty on real activity exposure. The quality-based factor is an important exception to these findings.Publicación The influence of Google search index on stock markets: an analysis of causality in-mean and variance(Emerald Insight, 2021) González Sánchez, MarianoPurpose – This empirical work studies the influence of investors’ Internet searches on financial markets. Design/methodology/approach – In this study, an asset pricing model with six factors is used, and autoregression, heteroscedasticity and moving average are taken into account to extract the independent shocks of each variable. Subsequently, a causality in-mean and in-variance analysis is performed to test the influence of Google searches on financial market variables, specifically, to test whether there is an influence on the idiosyncratic returns of financial assets. Findings – Unlike most of the literature, the results show that Google searches on the name of listed companies have little influence on the trend and volatility of asset returns. On the contrary, these searches are shown to have a significant influence on trading volumes in the following week. Practical implications –When analyzing specific effects, such as the influence of Internet searches, on financial markets, it is necessary that the model must include financial properties (asset valuation models) and statistical characteristics (stylized facts); otherwise, the empirical results could be inconsistent, since, among other issues, statistical findingsmaynot be robust given autocorrelation and heteroscedasticity, and if an asset valuationmodel is not considered, the specific effect analyzed could simply be an indirect effect of a risk factor excluded from the model. Originality/value – The empirical evidence shows that individual investors using Google have a significant influence on volume only so that institutional investors using other sources of information drive market prices. This means that potential investors should only be interested in the Internet searches index if their interest is focused on trading volumePublicación Factorial asset pricing models using statistical anomalies(Elsevier, 2022) González Sánchez, MarianoAlthough up to seven factors market, size, earnings, profitability, investment, momentum, and quality are used to explain asset returns mainly due to anomalies, there is no consensus in the financial literature on the suitability of the factors to include in asset pricing models. Empirical research has found that investors’ responses to market movements up and down are not symmetric. We show a new type of anomaly, statistical anomalies, resulting from decomposing asset returns into three independent time series: positive outliers (the good), negative outliers (the bad), and the remainder or Gaussian returns (the usual). Using a sample consisting of 49 equalweighted US industrial portfolios with daily and monthly frequencies from 1969 to 2020, we find evidence that the good-usual-bad factor model exhibits fewer anomalies, better explanatory power, and greater robustness than the “magnificent seven” factors model. Our results are relevant to investors trading at less than monthly frequencies.Publicación Market and model risks: a feasible joint estimate methodology(Springer Link, 2022-03-01) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana IsabelThe increasing complexity of stochastic models used to describe the behavior of asset returns along with the practical difficulty of defining suitable hedging strategies are relevant factors that compromise the soundness and quality of risk measurement models. In this paper we define the risk model as the mispricing a consequence of using an inadequate model to describe asset behavior and we develop a least-squares Monte Carlo methodology to estimate market and model risk simultaneously. The results show that at different confidence levels and time horizons the proposed methodology to estimate the market and model risks has a greater joint explanatory power than the isolated estimate of market risk.Publicación Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets(Routledge. Taylor & Francis Group, 2022) González Sánchez, MarianoThe aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain a term structure for risk factor premiums. The results show that only the market risk factor (for both types of markets) and the conservative minus aggressive factor (only for developed markets) show a term structure for risk premiums.Publicación Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement(Elsevier, 2023) Nave Pineda, Juan M.; González Sánchez, MarianoEstimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative outliers and uses the latter to estimate this cutoff point. Additionally, from this decomposition, we estimate extreme dependence correlation matrix which is used in the measurement of portfolio risk. For a sample consisting of six assets (Bitcoin, Gold, Brent, Standard&Poor-500, Nasdaq and Real Estate index), we find that our methodology presents better results, in terms of normality and volatility of the tail index, than the Kolmogorov–Smirnov distance, and its unnecessary capital consumption is lower. Also, in the measurement of the risk of a portfolio, the results of our proposal improve those of a t-Student copula and allow us to estimate the extreme dependence and the corresponding indexes avoiding the implicit restrictions of the elliptic and Archimedean copulas.Publicación Board of Directors’ Remuneration, Employee Costs, and Layoffs: Evidence from Spain(MDPI, 2021-07) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana IsabelMost of the empirical studies on board remuneration have focused on finding explanatory performance measures. There are studies that analyze if the compensation contracts of directors reward managers in such a way that they strive to maximize firm performance and shareholders’ wealth; however, there are few studies on the social aspect of corporate governance, or agent–employee and principal–employee relationships. Thus, in this study, our aim is to test whether there is a causal relationship between the remuneration of the board of directors of listed companies and the personnel policies of the companies, expressed through the cost of personnel and layoffs. For that, we used a sample of Spanish listed companies, and we found that two performance measures (return on equity and earnings per share on market price) have a greater effect on the growth rate of board remuneration when layoffs occur. Additionally, we found that the sales revenue and cash flow on total assets subsequently influenced personnel management.Publicación Market and Liquidity Risks Using Transaction-by-Transaction Information(MDPI, 2021-07) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana IsabelThe usual measures of market risk are based on the axiom of positive homogeneity while neglecting an important element of market information—liquidity. To analyze the effects of this omission, in the present study, we define the behavior of prices and volume via stochastic processes subordinated to the time elapsing between two consecutive transactions in the market. Using simulated data and market data from companies of different sizes and capitalization levels, we compare the results of measuring risk using prices compared to using both prices and volumes. The results indicate that traditional measures of market risk behave inversely to the degree of liquidity of the asset, thereby underestimating the risk of liquid assets and overestimating the risk of less liquid assets.Publicación Comparative analysis of interest rate term structures in the Solvency II environment(Emerald Group, 2021-06-08) Rodríguez Sánchez, Sonia; González Sánchez, MarianoPurpose – Solvency-II is the current regulatory framework of insurance companies in the European Union. Under this standard, European Insurance and Occupational Pension Authority (EIOPA), as a regulatory board, has established that the Smith–Wilson (SW) model can be used as the model to estimate interest rate curve. This paper aims to analyze whether this model adjusts to the market curve better than Nelson–Siegel (NS) and whether the values set for the parameters are adequate. Design/methodology/approach – This empirical study analyzes whether the SW interest rate curve shows lower root mean squared errors than the NS curve for a sample of daily prices of Spanish Government bonds between 2014 and 2019. Findings – The results indicate that NS adjusts the market data better, the parameters recommended by the EIOPA correspond to the maximum values observed in the sample period and the current recommended curve for insurance companies underestimates company operations. Originality/value – This paper verifies that the criterion of the last liquid point does not allow for selecting an optimal sample to adjust the curve and criteria based on prices without arbitrage opportunities are more appropriate.Publicación Audit quality and fees: Evidence from Spain(Taylor & Francis, 2021) Guzmán Raja, Isidoro; Rúa Alonso De Corralesc, Enrique; Sánchez García, Juan Francisco; González Sánchez, MarianoThis 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.