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Publication Publicidad y eficacia publicitaria: Influencia de la posición, repetición y estilos publicitarios en la eficacia de los anuncios televisivos entre los jóvenes(Universidad de Oviedo. Facultad de Economía y Empresa, 2000-01) Paz Aparicio, Carmen; Vazquez Casielles, Rodolfo; Santos Vijande, LeticiaActualmente es mucha la polémica que suscita el tema de la eficacia publicitaria dada la gran cantidad de mensajes a los que se ve expuesto el individuo diariamente. Este hecho lleva a los anunciantes a buscar nuevas estrategias que consigan mejorar, en la medida de lo posible, la eficacia de sus campañas, mediante la utilización de mecanismos de ayuda basados ya no en la propia estrategia creativa sino en la misma creatividad de la planificación de medios. Cada vez son más el número de estudios que, desde el punto de vista académico y práctico, tratan de desarrollar fórmulas que ayuden a conseguir dicha eficacia. A través de este trabajo pretendemos analizar las consecuencias que, desde el punto de vista cognitivo y afectivo, implica la utilización de anuncios en distinta posición, la repetición dentro de la pausa publicitaria, y el estilo publicitario de los mismos. A partir de un diseño experimental, y teniendo en cuenta estudios anteriores, hemos analizado el nivel de recuerdo y las actitudes generadas partiendo de una estudiada combinación de anuncios. Ello ha permitido obtener conclusiones que, en cierta medida, ayudan a una mejor toma de decisiones en términos de desarrollo de una campaña eficaz.Publication Board diversity in family firms(2015-04-22) Menozzi, Anna; Fraquelli, Giovanni; Novara, Jolanda deThe paper deals with diversity as a key factor to improve the board of directors’ decision process in family firms. The empirical literature about board diversity points at the positive impact of diversity on board functioning and firm performance. The paper uses a statistical diversity index to capture the heterogeneity of board of directors and put it in relation with firm performance, as measured by firm profitability. The empirical analysis is based on a newly collected panel of 327 family firms including data on their board of directors during the period 2003-2007. We find that firm performance is positively related to a global measure of board diversity. In particular, the presence of gender diversity and a good mix of executive and non-executive managers show the strongest econometric significance, suggesting that diversity is an important factor to improve board decisions.Publication Minimax strategies and duality with applications in financial mathematics(Universidad Rey Juan Carlos, 2011-01-20) Balbás, Alejandro; Balbás, Raquel; Universidad Rey Juan CarlosMany topics in Actuarial and Financial Mathematics lead to Minimax or Maximin problems (risk measures optimization, ambiguous setting, robust solutions, Bayesian credibility theory, interest rate risk, etc.). However, minimax problems are usually difficult to address, since they may involve complex vector (Banach) spaces or constraints. This paper presents an unified approach so as to deal with minimax convex problems. In particular, we will yield a dual problem providing necessary and sufficient optimality conditions that easily apply in practice. Both, duals and optimality conditions are significantly simplified by using a new Mean Value Theorem. Important applications in risk analysis are given.Publication Capital requirements, good deals and portfolio insurance with risk measures(Universidad Carlos III de Madrid, 2010-01) Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel; Universidad Carlos III de MadridGeneral risk functions are becoming very important for managers, regulators and supervisors. Many risk functions are interpreted as initial capital requirements that a manager must add and invest in a risk-free security in order to protect the wealth of his clients. This paper deals with a complete arbitrage free pricing model and a general expectation bounded risk measure, and it studies whether the investment of the capital requirements in the risk-free asset is optimal. It is shown that it is not optimal in many important cases. For instance, if the risk measure is the CV aR and we consider the assumptions of the Black and Scholes model. Furthermore, in this framework and under short selling restrictions, the explicit expression of the optimal strategy is provided, and it is composed of several put options. If the confidence level of the CV aR is close to 100% then the optimal strategy becomes a classical portfolio insurance. This theoretical result seems to be supported by some independent and recent empirical analyses. If there are no limits to sale the risk-free asset, i.e., if the manager can borrow as much money as desired, then the framework above leads to the existence of “good deals” (i.e., sequences of strategies whose V aR and CV aR tends to minus infinite and whose expected return tends to plus infinite). The explicit expression of the portfolio insurance strategy above has been used so as to construct effective good deals. Furthermore, it has been pointed out that the methodology allowing us to build portfolio insurance strategies and good deals also applies for pricing models beyond Black and Scholes, such as Heston and other stochastic volatility modelsPublication CAPM and APT like models with risk measures(Department of Mathematics and Statistics, Concordia University, 2009-06) Balbás, Alejandro; Balbás, Raquel; Balbás, Beatriz; Department of Mathematics and Statistics, Concordia UniversityThe paper deals with optimal portfolio choice problems when risk levels are given by coherent risk measures, expectation bounded risk measures or general deviations. Both static and dynamic pricing models may be involved. Unbounded problems are characterized by new notions such as compatibility and strong compatibility between pricing rules and risk measures. Surprisingly, it is pointed out that the lack of bounded optimal risk and/or return levels arises in practice for very important pricing models (for instance, the Black and Scholes model) and risk measures (V aR, CV aR, absolute deviation and downside semi-deviation, etc.). Bounded problems will present a Market Price of Risk and generate a pair of benchmarks. From these benchmarks we will introduce APT and CAPM like analyses, in the sense that the level of correlation between every available security and some economic factors will expalin the security expected return. On the contray, the risk level non correlated with these factors will have no influence on any return, despite we are dealing with very general risk functions that are beyond the standard deviation.Publication Extending pricing rules with general risk(Department of Mathematics and Statistics, Concordia University, 2008-04) Balbás, Alejandro; Balbás, Raquel; Garrido, JoséThe paper addresses pricing issues in imperfect and/or incomplete markets if the risk level of the hedging strategy is measured by a general risk function. Convex Optimization Theory is used in order to extend pricing rules for a wide family of risk functions, including Deviation Measures, Expectation Bounded Risk Measures and Coherent Measures of Risk. For imperfect markets the extended pricing rules reduce the bid-ask spread. The paper ends by particularizing the findings so as to study with more detail some concrete examples, including the Conditional Value at Risk and some properties of the Standard DeviationPublication Optimal reinsurance with general risk functions(Department of Mathematics and Statistics, Concordia University, 2008-03) Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio; Department of Mathematics and Statistics, Concordia UniversityThe paper studies the optimal reinsurance problem if the risk level is measured by a general risk function. Necessary and sufficient optimality conditions are given for a wide family of risk functions, including DeviationMeasures, Expectation Bounded Risk Measures and Coherent Measures of Risk. Then the optimality conditions are used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal regardless of the risk function to be used, and the paper ends by particularizing the findings so as to study in detail two deviation measures and the Conditional Value at Risk.Publication Liquidity Commonalities in the Corporate CDS Market around(SSRN, 2012-10) Mayordomo, Sergio; Peña, Juan Ignacio; Rodríguez-Moreno, MaríaThis study presents robust empírical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on finn's characteristics. The leve! of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financia! distress episodes such that the effect of market 1iquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to altemative liquidity measures.Publication On the Role of Industry-Level Structural Constraints and the Timing of Accounting Reports in Bankruptcy Predictions(SSRN, 2011-07) Chiu, Wan-Chien; Peña, Juan Ignacio; Wang, Chih-WeiThis study uses a hazard model with data on 3392 corporate bankruptcies by U.S. public companies during 1983–2008 to determine the effect of industry-based structural constraints on bankruptcy predictions. The probability of bankruptcy is significantly higher for firms in highly concentrated industries and with relatively stronger customer dependency. Most bankruptcy predictions reflect the variation of a firm’s characteristics relative to its industry, but industry-specific characteristics have negligible impacts. The investigation also includes a comparison of the relative performance of accounting and market-based variables, in terms of both in-sample fit and out-of-sample forecasting accuracy. For yearly data, the best model includes both accounting and market-based variables. However, for monthly market data and quarterly accounting reports, the best model features only market data. The usefulness of accounting measures in bankruptcy prediction models thus may be contingent on sampling frequency.Publication Bank regulations and loan contracts(SSRN, 2011-10-15) Magalhaes, Rômulo; Tribo Gine, José AntonioThis study examines empirically how bank regulations adopted in lender countries influence the characteristics of loan contracts, using a sample of 46,453 loans made by 278 large commercial banks around 39 countries, to borrowers in 83 countries, in the period from 1998 to 2006. Our findings indicate that the stringency of capital regulations have an inverse U-shaped relationship with priced risk characteristics (spread and maturity) of loan contracts. In addition, more powerful official supervision is associated with riskier loan contracts. Both official supervisory power and private monitoring work as substitutes to capital regulation to reduce the (priced) risk measures of loan contracts when capital stringency is low. For higher capital stringency, supervision and private monitoring complement capital regulation in reducing loan contracts risk measures. Finally, we found that a country’s degrees of legal enforcement and bank industry competition complement capital and private monitoring regulations to improve risk characteristics of loan contracts. The evidence highlights the importance of how bank lending practices are affected by bank regulations and their interactions with themselves and other institutional country factors.Publication Ownership structure, costumer satisfaction and brand equity(Universidad Pompeu Fabra, Departamento de Economía y Empresa, 2007-06) Torres Lacomba, Anna; Tribo Gine, José AntonioThis paper studies the interaction between ownership structure, taken as a proxy for shareholders’ commitment, and customer satisfaction - the main driver of consumer loyalty - and their impact on a firm’s brand equity. The results show that customer satisfaction has a positive direct effect on brand equity but an indirect negative one because of reductions in ownership concentration. This latter effect emerges when managers are mainly customer-oriented. Such result gives out a warning signal that highlights the perverse effect of implementing policies, focused excessively on satisfying customers at the expense of shareholders, on a firm’s brand equity. The empirical analysis uses an incomplete panel data comprising 69 firms from 11 nations, for the period 2002-2005.Publication Banks' ownership structure, risk and performance(SSRN, 2010-05-05) Gutiérrez Urtiaga, María; Tribo Gine, José Antonio; Magalhaes, RômuloThis paper studies empirically the effect of ownership concentration on the risk and performance of commercial banks, controlling for shareholders protection laws, bank regulations, and other country and bank specific traits. The sample used comprises 795 banks of 47 countries, in the period from 1997 to 2007. Our main finding is the existence of a cubic relationship between ownership concentration and bank performance. Such evidence is supportive of theoretical hypotheses of effective monitoring at low levels of ownership concentration, expropriation or losses connected to managerial discretion at moderate ownership concentration, and high costs of expropriation at high levels of ownership concentration. We also find that ownership concentration is more important to increase the performance of banks with low concentrated ownership structures, when legal protection of shareholders is low, and that capital regulations stringency is effective in simultaneously reducing risk and improving performance of banks. Regarding bank risk, we find a U-shape relationship between ownership concentration and earnings volatility, supporting that shareholder’s incentive to take risk prevails when her equity stake is above a threshold.Publication Deregularization, insider trading and tender offers(SSRN, 2002-06) Camino Blasco, David; López Gómez, Miguel ÁngelThis paper examines insider trading operations and the transmission of information to markets, during the merger and firm acquisition process, that followed the deregulation and restructuring of the Spanish electrical sector, who began in 1993 and is still under way in many countries of the European Union (Green Paper, 2001). In particular, we will study the events surrounding the 1996 acquisition of FECSA and Sevillana de Electricidad, two of the Spanish biggest electricity suppliers and distributors, by ENDESA, a formerly state owned company and the nation’s largest power supplier We use public trading records around the announcement date of the event to track abnormal returns, market volumes and spreads and to isolate individual transaction records by broker, from the flow of background trading, permitting the analysis of the market ’s reaction to the onset of informed trading. Because the insider information was not revealed to other market participants until the event, and even rumors of the acquisition were publicly and officially denied, this case presents a unique laboratory for studying the dissemination and incorporation of private inside information into market prices. Unlike earlier studies that make use of daily transactions and concentrates on how informed trading affects stock prices, this paper also analyzes individual insider purchases within the trading day. We examine excess returns on the days of illegal insider trading and how this trading is conducted in terms of average trade volume, frequency of transactions, average spread and brokerage firm. The findings reported in the paper shed some light in the process by which the market incorporates and infers information from insider trading in a case of industry restructuring. The relationship between insiders’ purchases can be documented on a day-by-day basis, by trade, firm and broker, but we can’t go beyond that information (i.e., naming the insiders) except in the few cases where a preliminary penalty file was opened and concluded, by the CNMV. Nevertheless, our results have a number of implications for models of market microstructure, as the reaction of prices to insider operations prior to the announcement day, the way insiders operate on average, with large and frequent limit and market orders and quick sales after the run-ups.Publication Towards a common European monetary union risk free rate(National Bureau of Economic Research, 2009-09) Mayordomo, Sergio; Peña, Juan Ignacio; Schwartz, Eduardo S.A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved.Publication Are all credit default swap databases equal?(National Bureau of Economic Research, 2010-12) Mayordomo, Sergio; Peña, Juan Ignacio; Schwartz, Eduardo S.The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research. In this study we compare the six major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid single name 5-year CDS of the components of the leading market indexes, iTraxx (European firms) and CDX (US firms) for the period from 2004 to 2010. We find systematic differences between the data sets implying that deviations from the common trend among prices in the different databases are not purely random but are explained by idiosyncratic factors as well as liquidity, global risk and other trading factors. The lower is the amount of transaction prices available the higher is the deviation among databases. Our results suggest that the CMA database quotes lead the price discovery process in comparison with the quotes provided by other databases. Several robustness tests confirm these results.Publication An empirical analysis of the dynamic dependences in the European Corporate credit markets : bonds vs. credit derivatives(Social Science Research Network, 2012-02) Mayordomo, Sergio; Peña, Juan IgnacioIn this paper we provide new evidence on the determinants of credit spread returns and their dynamic dependences in three European corporate credit markets: the Bond market (cash market), the Credit Default Swap (CDS) market (derivatives market), and the Asset Swap Package (ASP) market (with properties of both derivatives and cash markets). Using daily data from 2005 to 2009, we find that credit spread returns are primarily driven by innovations and to a lower extent by changes in the expected loss component, the risk premium component, the liquidity premium component and the inertial component whose relative importance changes over time. The intra-market dependence during the current crisis decreases for bonds and ASP innovations but increases slightly for CDS. ASP and bond innovations are closely related, suggesting that the cash component dominates the ASP innovations’ behavior. On the other hand CDS’s innovations are unrelated with both the bonds’ and the ASP’s innovations, suggesting that the derivatives element in the ASP contract (due to the implicit interest rate swap) is essentially unrelated with the innovations in the pure credit derivative contract (CDS).Publication Consistent estimation of conditional conservatism(Social Science Research Network, 2011-03) Cano Rodríguez, Manuel; Núñez-Nickel, ManuelIn this paper, we demonstrate analytically that Basu model estimates are affected by two biases, except if very restrictive conditions are met: an aggregation bias produced by the absence of the book-to-market ratio in Basu model, and (2) an aggregation problem produced by the use of total market returns instead of separating the good news and bad news of the period. To solve this problem, we propose an alternative econometric model that is robust to both biases. The empirical results obtained using archival data demonstrate the advantages of robustness of our alternative econometric model compared to Basu model: it controls the omitted variable bias, is robust to the aggregation effect, its estimates are less influenced by the extreme values of market returns, and it presents a higher explanatory power.Publication Why do banks promise to pay par on demand?(Federal Reserve Bank of Atlanta, 2006) Dwyer, Gerald P.; Samartín, MargaritaWe survey the theories of why banks promise to pay par on demand and examine evidence about the conditions under which banks have promised to pay the par value of deposits and banknotes on demand when holding only fractional reserves. The theoretical literature can be broadly divided into four strands: liquidity provision, asymmetric information, legal restrictions, and a medium of exchange. We assume that it is not zero cost to make a promise to redeem a liability at par value on demand. If so, then the conditions in the theories that result in par redemption are possible explanations of why banks promise to pay par on demand. If the explanation based on customers’ demand for liquidity is correct, payment of deposits at par will be promised when banks hold assets that are illiquid in the short run. If the asymmetric-information explanation based on the difficulty of valuing assets is correct, the marketability of banks’ assets determines whether banks promise to pay par. If the legal restrictions explanation of par redemption is correct, banks will not promise to pay par if they are not required to do so. If the transaction explanation is correct, banks will promise to pay par value only if the deposits are used in transactions. After the survey of the theoretical literature, we examine the history of banking in several countries in different eras: fourth-century Athens, medieval Italy, Japan, and free banking and money market mutual funds in the United States. We find that all of the theories can explain some of the observed banking arrangements, and none explain all of them.Publication Board reputation, CEO pay, camouflaged compensation(Social Science Research Network, 2011-03-08) Ruiz-Verdú, Pablo; Singh, RaviReputational concerns are arguably the single most powerful incentive for board directors to act in the interest of shareholders. We propose a model to investigate the impact of boards' reputational concerns on the level and structure of executive compensation, the use of camou aged pay, and the relation between board independence and compensation decisions. We show that, in order to be perceived as independent, boards lower managers' pay, but may also pay managers in hidden ways or structure compensation ine ciently. Interestingly, independent boards, not manager-friendly boards, are more likely to make use of hidden compensation. We apply our model to study the costs and bene ts of greater pay transparency and of measures, such as say-on-pay initiatives, that increase boards' accountability to shareholders.Publication Executive pay with observable decisions(Fundación de Estudios de Economía Aplicada, 2010) Celentani, Marco; Loveira, Rosa; Ruiz-Verdú, PabloWe propose a model of delegated expertise designed to analyze executive compensation. An expert has to pick one of two possible decisions. By exerting effort the expert can obtain private information on these decisions. The expert’s decision and its ultimate performance realization are publicly observed, but the expert’s information is not. In other words, the principal observes the expert’s decision and its realization, but does not know whether the expert expended effort to obtain information and whether he made an efficient decision conditional on the information he received. We characterize the optimal compensation contract among those that give the expert incentives to obtain information to determine the efficient decision and to make the decision that is efficient contingent on the obtained information. We show that: 1) It is generically optimal to make pay contingent on the decision made by the expert, not only on performance; 2) The expert is often rewarded for choosing alternatives that are ex-ante inefficient. 3) When decisions differ in their complexity, optimal pay-performance may be zero if the expert chooses the complex alternative. Our model highlights novel factors that should be considered in the design of executive compensation contracts, sheds light on existing compensation practices, such as rewarding executives for acquisitions, and suggests mechanisms to promote managerial innovation.
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