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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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2019 - 201912020 - 202421
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Mostrando 1 - 10 de 22
  • 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.
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    Market and Liquidity Risks Using Transaction-by-Transaction Information
    (MDPI, 2021-07) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana Isabel
    The 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.
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    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.
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    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.
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    Sectoral composition of GDP and greenhouse gas emissions: an empirical analysis in EU27
    (Springer, 2023) Martín Ortega, Juan Luis; González Sánchez, Mariano
    Understanding the relationship between economic growth and GHG emissions is crucial for achieving sustainable development and the Paris Agreement decarbonization goals. The objective of this paper is to analyse the long-term relationship between sectoral Gross Domestic Product (GDP) and greenhouse gas (GHG) emissions in the EU27 under the framework of the Environmental Kuznets Curve (EKC) theory. Previous research has yielded inconclusive results and presented various drawbacks, such as the omission of sectoral economic growth, poor data quality, and the use of methods that did not enable hypothesis testing. In contrast, this research applies the Autoregressive Distributed Lag (ARDL) method to assess the EKC in the long-term for the industrial, service, and agriculture components of GDP for EU27 countries from 1990 to 2018 using audited data from the United Nations Framework Convention on Climate Change. Despite a wide body of literature, this is the first research to investigate the EKC’s nature in sectoral GDP in the EU-27. The EKC theory has been confirmed statistically in only five countries. Nevertheless, the results imply that economic growth has a lowering impact on the environment in more than half of the EU-27, as the EKC theorizes. A high impact on GHG emissions is observed in the service sector of those countries that combined a high share of services in the national economy with weak energy efficiency performance in the transport and building sectors. Likewise, countries with major employment in carbon-intensive industry branches tend to show a long-term impact on GHG emissions.
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    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, Mariano
    How 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.
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    Is there a relationship between the time scaling property of asset returns and the outliers? Evidence from international financial markets
    (Elsevier, 2021) González Sánchez, Mariano
    Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outliers entails other stylized facts. Also, a methodology for identifying outliers is proposed and applied to both simulated series and 1300 market assets. Results indicate that all market returns have time scaling (between 2 and 28 days) and, in 95% of cases, daily outliers represent less than 6% of observations.
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    IFRS adoption and unconditional conservatism: an accrual-based analysis
    (Emerald, 2021) Fullana, Olga; Toscano, David; González Sánchez, Mariano
    Purpose In this paper we analyse the effect on unconditional conservatism of the mandatory adoption of International Financial Reporting Standards (IFRS) by the European listed firms in January 2005. Under the hypothesis that accounting regulation influences the accounting conservatism, we use a non-market-based measure of unconditional conservatism – the accrual-based measure proposed by Givoly and Hayn (2000) – to test this effect, controlling for the other determinants of the unconditional conservatism found in the accounting literature.
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    Causes of country-specific effect related to the value relevance of cash flows and earnings: evidence from France, Germany, Italy and Spain
    (Taylor & Francis, 2022-09) González Sánchez, Mariano; Ibáñez Jiménez, Eva María; Segovia San Juan, Ana Isabel
    Previous studies show that, in common-law countries, the explanatory power of stock returns is higher using cash flows than earnings and accruals, while the opposite is true in code-law countries. Moreover, the literature has shown the existence of a country-specific effect motivated by different causes (taxation, financial system, creditor protection, among others). Our aim is to analyze whether this country-specific effect exists among companies in the largest Eurozone countries (France, Germany, Italy and Spain) despite the common regulatory framework, and also to study the causes that explain this country effect. We find empirical evidence that French, Italian and Spanish firms are influenced by tax rules, while German companies are more affected by creditors protection; also, Spain presents a bank-oriented financial system. Besides, the transitory earnings effect, characteristic of code-law countries, is not a cause of the country-specific effect. Therefore, national regulations are more relevant than the general EU regulatory framework.
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    Liquidity measures for bonds selection to estimate the interest rate curve: Spanish Case
    (ASEPUMA, 2019) Rodríguez Sánchez, Sonia; García Centeno, María Carmen; González Sánchez, Mariano
    La Autoridad Europea de Seguros y Pensiones de Jubilación establece que la estimación de la curva de tipos de interés, utilizada para la valoraci´on de las operaciones de las compañías de seguros, debe considerar todos los bonos líquidos; en particular, para la zona Euro, recomienda usar bonos con vencimiento hasta 20 años como último punto líquido. La literatura financiera ha analizado los diferentes componentes de la liquidez (rigidez, inmediatez, amplitud, resistencia y profundidad) y ha encontrado una relación significativa entre el binomio de riesgo y rendimiento con la liquidez. Este documento busca los indicadores de liquidez correlacionados con el rendimiento y el riesgo de los bonos, para seleccionar el último punto líquido. En una muestra diaria de datos del mercado de Deuda Pública Española, encontramos que, hasta un mes, los indicadores de profundidad y amplitud son significativos, mientras que a largo plazo, los indicadores significativos son amplitud y resilencia. Finalmente, de acuerdo con estos indicadores, la relación riesgo-liquidez conduce a un punto líquido final de 7 años, mientras que en la relación rendimientoliquidez es de 5 años.