The role of market-implied severity modeling for credit VaR

En este trabajo proponemos el uso de mixturas de distribciones beta para modelizar la severidad impícita en el mercado. En nuestro análisis extraemos las tasas de recuperación de la cotización de los credit default swaps (CDS) en lugar de utilizar bonos que han impagado. La principal ventaja de obtener la estructura temporal implícita de tasas de recuperación de los CDS en lugar de utilizar los bonos impagados es que nos permite identificar tasas de recuperación para empresas con baja probabilidad de impago. Del análisis empírico se obtienen resultados que no permiten aceptar que una única distribución beta sea capaz de representar las tasas de recuperación implícitas mientras que la propuesta basada en mixturas de distribuciones beta si que es aceptada. Además, hay que destacar la importancia de utilizar esta metodología de ajuste por su importancia para una correcta estimación del Valor en Riesgo de crédito.In this paper we propose to use beta-component mixtures to model the market-implied severity. In our analysis we extract and identify recovery rates from credit default swaps instead of using defaulted bonds. The main advantage of extracting implied, endogenous and dynamic functions of recovery rates from credit default swaps versus using defaulted bonds is that it allows to identify recovery rates of low probability of default companies. We carry out an empirical analysis and our results show that a single beta distribution is rejected as a correct specification for implied recovery rates while a beta-component mixture is accepted. Futhermore, we highlight the importance of this modeling approach by focusing on its role for credit VaR

Influence of family-centered goals on dividend policy in family firms: A socioemotional wealth approach

Socioemotional wealth (SEW) preservation is likely to be a key determinant for family firms to shape their dividend policy. This paper analyzes how family-centered goals captured by SEW influence on dividend policy in private family firms, exploring as well the moderating role on these relationships of family involvement in management, generational stage, and firm hazard. Results indicate a negative association between SEW preservation and both the likelihood of giving dividends and the amount of dividend paid. This negative relationship is stronger when the CEO is a family member, in early generational stages and when the firm faces greater performance hazard. The amount of dividend paid is also lower when there are family members in other top management positions beyond the CEO. Thus, the evidence provided suggests that the existing heterogeneity regarding dividend policy in the context of privately held family firms is strongly driven by differences in SEW priorities

Socioemotional wealth and financial decisions in private family SMEs

This study focuses on heterogeneity in family firms by analyzing whether the non-economic aspects that meet the family?s affective needs, or socioemotional wealth (SEW), influence debt financing. In the context of private family small and medium-sized enterprises (SMEs), our results indicate that family firms which are more concerned about preserving their SEW have lower debt levels (total and financial debt) and that CEO gender plays an important moderating role, with female CEOs strengthening the negative effect of SEW preservation on debt financing. Moreover, when family firms are managed by the first generation, the SEW effect on financial debt is even more negative. The findings are consistent with SEW being the point of reference in family SMEs? financial decisions, and highlight the importance of the CEO and family generation in charge of the firm as moderators of the relationship between SEW preservation and debt financing

Say-on-Pay voting dispersion in listed family and non-family firms: a panel data analysis

The study of Say-on-Pay (SOP) – a shareholder vote on executive compensation – is a key topic in the corporate governance field, despite which its influence in the context of family firms has not been studied until now. In response to this need, this paper pursues a twofold objective: first, to analyze differences in shareholder voting behavior between family and non-family firms; second, to explore the impact of increasing family ownership on voting dispersion among family firms, testing the related moderating effects of family involvement in management and governance on this relationship. Focusing on a sample of large UK listed companies from 2007–2017, our results show that the distinctive features of family firms lead to more concentrated voting positions regarding pay packages compared to non-family firms, with this voting concentration tending to be higher as family ownership increases. Moreover, while this relationship intensifies when the family is involved in management, we find partial support in the case of family involvement in governance

Variable selection for classification and forecasting of the family firm's socioemotional wealth

Socioemotional wealth (SEW) refers to those family-centered goals that are likely to have a major influence on the strategic decision-making process and performance of family firms. Many studies have used indirect indicators related to family involvement in ownership and management to measure SEW; meanwhile, others have developed scales to directly measure the level and importance of SEW in family firms. Limitations of both indirect and direct measures of SEW lead empirical research on SEW to be under threat. In the current study, we use random forests to identify the important indicators related to financial and economic decisions, as well as family-related measures, for explaining the family firms' SEW and to design a good prediction model using the smallest set of nonredundant indicators. Our results show that the model that exhibits the minimum out-of-bag sample (OOB) error rate includes variables that refer to the presence of family members in the firm's management positions, long-term nonfinancial debt, personnel expenditures, longterm financial investments, short-term financial debt, average storage period, and accounts receivables. For prediction, the model with a reasonably low estimated classification error includes only three variables, which refer to the presence of family members in the firm's management positions, long-term nonfinancial debt, and accounts receivables.Fundación Cajamurci

Impulso de la política industrial España 2030 a partir de los fondos Next Generation EU.

La pandemia de la COVID-19 desencadenó una profunda crisis de carácter económico, social y sanitario, dejando una huella especialmente significativa en los países de la Unión Europea (UE) (Baixauli-Soler & Lozano-Reina, 2022). En términos económicos, la zona euro sufrió una drástica disminución del 15% en su Producto Interior Bruto (PIB) durante el segundo trimestre de 2020 en comparación con el mismo período del año anterior (Eurostat, 2020). La UE respondió adoptando una ambiciosa estrategia para garantizar la recuperación económica y el correcto funcionamiento de los mercados, que se materializó en la implementación de un nuevo marco presupuestario y financiero plurianual para el período 2021-2027, que otorgó plena capacidad al denominado Plan de Recuperación, Transformación y Resiliencia, conocido también como Next Generation EU (Comisión Europea, 2021

Retribución de la alta dirección, estructura del consejo de administración y resultados

Resultados empíricos previos muestran distintas contradicciones cuando se relaciona la retribución de los miembros del equipo de alta dirección, la estructura del consejo de administración y los resultados alcanzados por la empresa. Un menor número de consejeros y una mayor proporción de consejeros externos se asocian a una mayor supervisión, pero no hay consenso sobre el efecto en el nivel retributivo del equipo de alta dirección. Esta falta de consenso se agrava cuando se analiza el efecto sobre los resultados. En este trabajo ofrecemos un marco teórico y un estudio empírico basado en la metodología de datos de panel, que permite explicar por qué los análisis previos difieren. En el contexto del mercado español se confirman las perspectivas del procesamiento de la información, que vinculan la sobredimensión del consejo con una mayor retribución del equipo de alta dirección. Asimismo, la mayor proporción de consejeros externos reduce el nivel retributivo del equipo de alta dirección al aumentar la supervisión y reducir el poder de los internos. Por último, se obtiene una relación cuadrática entre los resultados de la empresa y la retribución del equipo de alta dirección. Esta relación permite explicar, conjuntamente, un efecto positivo, defendido desde la teoría de la agencia, sobre los resultados de la empresa a niveles bajos de retribución de los miembros del equipo alta dirección y un efecto negativo, como consecuencia de una mayor discreción de éstos a niveles altos.Previous empirical results reveal various contradictions when relating top management compensation, board structure and levels of performance. While fewer directors and more external directors is associated with better supervision, there is no agreement on the effect on top management compensation level. This lack of consensus is even more noticeable when analysing the effect performance. This paper offers a theoretical framework and a panel data methodology based empirical study to account for how earlier analyses have differed. Given the great board dimension in the Spanish market, information processing perspectives are confirmed which link positively board size with higher top management compensation. Similarly, a higher proportion of external directors reduces top management compensation level since it improves supervision and reduces insiders’ power. Finally, a quadratic relation is obtained between performance and top management compensation. This relation explains both a positive effect, supported by agency theory on performance at low levels of management compensation, and a negative effect as a consequence of higher managers’ discretion at high levels

Excess executive compensation and corporate governance in the United Kingdom and Spain: a comparative analysis

Literature on executive compensation has relatively neglected the impact of institutional governance contexts. Regarding filling this gap, this study examines the influence of governance mechanisms on excess executive compensation comparing a set of listed UK and Spanish firms on an 8-year panel data. Findings indicate that Spanish firms are characterized by higher excess executive compensation than UK firms because of the less effectiveness of ownership structure and board of directors. Differences in concentration and structure of ownership as well as in composition and size of boards result in more aligned executive compensation design in the UK firms.Ministerio de Ciencia, Innovación y Universidade

Executive directors' compensation and monitoring: the influence of gender diversity on Spanish boards

This study presents evidence of the influence of gender diversity on the pay system and the monitoring of executives in Spain. In this country/context, characterized by a few male dominant shareholders acting simultaneously as executives, there is an ongoing discussion regarding the enactment of laws to promote gender equality on the boards of directors of large listed companies. This paper presents several contributions. On the one hand, the scarce previous evidence on this topic is focused on US firms. On the other hand, this study includes the role of ownership structure as a factor that indirectly moderates the relationships between gender diversity on board and monitoring effectiveness in terms of executive directors’ compensation. Furthermore, this paper makes an important effort to control endogeneity. The sample examined includes 120 companies listed on the Spanish stock market during the period 2004–2011. The results show a positive and highly significant effect of the presence of women independent directors on the proportion of variable pay in the compensation of executive directors. Our findings also point out the negative moderating effect of ownership concentration: the more concentrated is ownership in the hands of internal majority shareholder, the less is the link between board diversity and pay-for-performance systems

El problema del free-rider en las tomas de control y la regulación de las opas

La existencia de un toehold influye en la aparición del problema de free-rider, pero su influencia esta condicionada por el régimen legislativo que regule las OPAs. Este artículo utiliza un modelo de un único comprador para analizar el problema de free-rider teniendo en cuenta el efecto de los parámetros que deben estar definidos en una ley de OPAs. Usamos el marco legislativo del mercado español para estudiar cómo la probabilidad de éxito en una OPA esta limitada o condicionada por el marco legislativo dentro del que se desarrolla. Finalmente, presentamos evidencia sobre el uso de toeholds y la probabilidad de OPA en el mercado español