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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
    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.
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    The influence of Google search index on stock markets: an analysis of causality in-mean and variance
    (Emerald Insight, 2021) González Sánchez, Mariano
    Purpose – 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 volume
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    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 Isabel
    The 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.
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    Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets
    (Routledge. Taylor & Francis Group, 2022) González Sánchez, Mariano
    The 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.
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    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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    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.
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    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 Isabel
    Most 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.
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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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    Comparison of the effects of earnings management on the financial cost between companies in developed and emerging European countries
    (Wiley Online Library, 2023-07) González Sánchez, Mariano; Segovia San Juan, Ana Isabel; Ibáñez Jiménez, Eva María
    Empirical studies found that earnings management (EM) explains firms’ cost of capital both in companies in emerging and developed countries, but until now, it has not been analyzed whether the effect of EM on the financial cost is different among emerging countries inside or outside an economic area (Eurozone). Our results show that the cost of debt and the idiosyncratic component of the cost of equity are related to discretionary accruals and abnormal values of operating cash-flows, that the emerging country effect is more relevant on the cost of debt, that there is a Eurozone effect that makes discretionary accruals more relevant than abnormal values of operating cash-flow and that firms in emerging countries inside the Eurozone benefit from a lower EM penalty on the cost of debt than firms in other emerging European countries.
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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.