Belén Nieto

El Modelo de Valoración Con Cartera de Mercado: Una Nueva Especificación del Coeficiente Beta

RESUMEN Este es un trabajo empírico que contrasta la validez de un modelo tan sencillo y tradicional como es el CAPM, es decir, un modelo de equilibrio que considera un único factor de riesgo: el mercado. Sin embargo, a diferencia de los tests habituales, en los que el riesgo beta se aproxima con la covarianza entre la rentabilidad de un activo y la de la cartera de mercado, proponemos una nueva forma de estimar este riesgo de mercado, considerando determinadas características de la empresa que influyen en su riesgo debido a la distinta situación en la que ésta se encuentra frente a los sucesos macroeconómicos. Los resultados del contraste de significatividad de la prima por riesgo del modelo son considerablemente mejores a los obtenidos con un CAPM estándar.

Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.

Further international evidence on durable consumption growth and long-run consumption risk

New perspectives on consumption-based asset pricing models have recently been argued to provide powerful insights for explaining the cross-sectional variation of expected returns. In this paper, we employ both Spanish and U.S. capital markets data to present further evidence on these new approaches. Relative to previous papers, we are able to compare among alternative model specifications considering the same time period and testing assets. We discuss different versions of the consumption asset pricing model, including preferences with non-separable durable and non-durable consumption, and different frequencies in data, considering the moment at which consumption is measured and including ultimate consumption risk. The results show the relevance of both durable and non-durable long-run consumption risk factors in explaining the Spanish stock market returns. The importance of long-run risk factors is also confirmed with U.S. data.

Analysing bank-issued option pricing

This paper investigates whether Spanish bank-issued options (warrants) trade under a fair price. The analysis is twofold. Price differences between traditional options and equivalent bank-issued options are analysed. The results show that bank-issued options are systematically overpriced with respect to options and that an important portion of such overpricing is related to market design. We also compare the prices of bank-issued options that have the same payoff functions but different issuers. Strikingly, relative price differences between bank-issued options are also found. Moreover, the analysis of the temporal evolution of the price differences between equivalent bank-issued options reveals that they are not decreasing over time.

Measuring Time-Varying Economic Fears with Consumption-Based Stochastic Discount Factors

This paper analyzes empirically the volatility of consumption-based stochastic discount factors as a measure of implicit economic fears by studying its relationship with future economic and stock market cycles. Time-varying economic fears seem to be well captured by the volatility of stochastic discount factors. In particular, the volatility of recursive utility-based stochastic discount factor with contemporaneous growth explains between 9 and 34 percent of future changes in industrial production at short and long horizons respectively. They also explain ex-ante uncertainty and risk aversion. However, future stock market cycles are better explained by a similar stochastic discount factor with long-run consumption growth. This specification of the stochastic discount factor presents higher volatility and lower pricing errors than the specification with contemporaneous consumption growth.

Screening Rules and Portfolio Performance

We analyze the use of alternative performance measures to rank and select assets. Previous literature centers on the effects of non-normality on rank correlations between orderings. Instead, we select the assets recommended by each performance measure (ordering) and analyze out-of-sample returns of the portfolio that contains them. The overall empirical findings show that performance measures are definitively relevant for subsequent portfolio returns. Assets selected by the Generalized Rachev ratio dominate other selections showing high cumulative returns after the 2008 downturn. The good performance is connected to the fact that these asset returns show high excess kurtosis but positive skewness and are insensitive to the momentum risk factor.