Teorías sobre coberturas con contratos de futuro

En este trabajo se presenta una revisión de las principales teorías sobre cobertura con contratos de futuro y de los distintos métodos de estimación utilizados para determinar el ratio de cobertura óptimo. La aproximación a la cobertura más utilizada en la literatura especializada es la basada en el modelo de la teoría de carteras. No obstante, debido a sus hipótesis relacionadas con la función de utilidad del inversor y con las propiedades de la función de distribución de los rendimientos, XI han surgido nuevas propuestas (por ejemplo, las construidas a partir del coeficiente de Gini y el concepto de Lower Partial Moments), que intentan reducir dichas restriccione

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period

The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. We introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. The consideration of this pooled analysis (temporal and cross-sectional) let us obtain a positive and significant relationship between return and risk supporting the doctrine of the mainstream in the field. This result is even more evident when the estimation is conditioned on the main crises periods highlighting that the estimated risk-aversion parameter is higher in boom periods than in recession periods, reflecting a procyclical risk aversion in the investor profile.This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. We introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. The consideration of this pooled analysis (temporal and cross-sectional) let us obtain a positive and significant relationship between return and risk supporting the doctrine of the mainstream in the field. This result is even more evident when the estimation is conditioned on the main crises periods highlighting that the estimated risk-aversion parameter is higher in boom periods than in recession periods, reflecting a procyclical risk aversion in the investor profile

Testing for Changes in the Unconditional Variance of Financial Time Series

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions for leptokurtic and platykurtic innovations. Moreover, the size distortions are more extreme for heteroskedastic conditional variance processes. These results invalidate in practice the use of the test for financial time series. To overcome these problems we propose new tests that explicitly consider the fourth moment properties of the disturbances and the conditional heteroskedasticity. Monte Carlo experiments show the good performance of these tests. The application of the new tests to the same series in Aggarwal, Inclan and Leal (1999) reveal that the changes in variance they detect are spurious.ICSS, Changes in Variance, Kurtosis, ARCH, IGARCH.

The distribution of index futures realised volatility under seasonality and microstructure noise

Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday data series, namely, the presence of seasonal intraday patterns and microstructure noise. Because many models are based on a normality assumption, this must be verified in order to validate the results. We find departures from normality due to the seasonal and noise components of intraday data, such that, after controlling for both features, the volatility estimates follow a log-normal distribution. Our results reveal that failing to account for these market imperfections can have important implications for analyses of volatility transmission and for investment and hedging decisions

The influence of intraday seasonality on volatility transmission patterns

Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission. Moreover, the impact of market microstructure noise seems negligible when using an optimal frequency of observations

Do investors in Spain react to news on sustainability and corporate social responsibility?

We analyse whether sustainability and corporate social responsibility-related news affects returns of stocks traded on the Spanish stock market. We used event methodology and an approach consistent with the active management of investment portfolios. Results show that in the short term, investors do not consider these news items to be relevant, and they therefore have no effect on the price of the stocks analysed. This result holds when the study is conditioned to the type of news (positive or negative) and whether or not the stocks belong to an index formed following socially responsible investment criteri

New insights on organosilane oligomerization mechanisms using ESI-MS and 29Si NMR

The use of electrospray ionization mass spectrometry (ESI-MS) in parallel with 29Si and 1H NMR to elucidate the aqueous speciation and temporal evolution of the organosilane methyldiethoxysilane (MDES) through hydrolysis and condensation processes is reported here. A suitable methodological approach for the monitoring of the oligomerization of MDES under different pH conditions has been developed revealing details on the particular oligomerization mechanism of this organosilan

Sin / Sense

Sexto desafío por la erradicación de la violencia contra las mujeres del Institut Universitari d’Estudis Feministes i de Gènere «Purificación Escribano» de la Universitat Jaume