Essays on financial economics

This thesis consists of an introductory chapter, three main chapters, and a concluding chapter. In Chapter 2, my co-author and I provide new empirical evidencethat the distribution of liquidity has a strong in-sample and out-of-sample predictive power on intraday market volatility. To this end, we introduce a novel way of summarizing the relative depth provision in the whole limit order book. Our measure, global depth, considers the entire quoted depth and assigns weights decreasing with distance from the best quotes. We document that global depth outperforms alternative predictors of volatility, such as the bid-ask spread, standard depth variables, and measures of trading activity, in explaining the variations in market volatility. The third chapter, forthcoming in the Journal of Banking and Finance, investigates the effects of competition and signaling in a pure order driven market and examines the trading patterns of agents when walking through the book is not allowed. We show that the variables capturing the cost of a large market order are not informative for an impatient trader under this market mechanism. We also document that the competition effect is not present only at the top of the book but persistent beyond the best quotes. Moreover, we show that institutional investors’ order submission strategies are characterized by only a few pieces of the limit order book information. The fourth chapter provides evidence that implied correlation is a significant indicator of market-wide risk. From an aggregate perspective, I document that implied correlation explains an important fraction of the variation in market excess returns, with high implied correlation followed by an increase in subsequent market returns. The predictive power is stronger at a forecast of bimonthly, quarterly and semiannually return horizons and robust to the inclusion of standard predictors. Moreover, I show that the information content of the correlation risk premium on market returns is fully driven by the implied correlation. My findings indicate that periods of high market-wide correlation produce a deterioration of the investment opportunity set and, as a consequence, an increase in the equilibrium expected return

The efficient IPO market hypothesis: theory and evidence

We derive the optimal underwriting method and the quantitative initial public offering (IPO) pricing rule that this method implies in a market with informational frictions consisting of fully rational banks, issuers, and investors. In an efficient IPO market, an issuer's expected initial return will be determined entirely by the combination of this pricing rule and issuer fundamentals. Applying this rule, we find that we can explain the quantitative magnitude of the principal aspects of the time-series and cross-sectional variation in IPO average initial returns. We conclude that the IPO market is efficient

Low volatility makes a financial crisis more likely

Jon Danielsson, Marcela Valenzuela and Ilknur Zer provide empirical evidence of Minsky’s theory of instabilit

Learning from history: volatility and financial crises

We study the effects of stock market volatility on risk-taking and financial crises by constructing a cross-country database spanning up to 211 years and 60 countries. Prolonged periods of low volatility have strong in-sample and out-of-sample predictive power over the incidence of banking crises and can be used as a reliable crisis indicator, whereas volatility itself does not predict crises. Low volatility leads to excessive credit build-ups and balance sheet leverage in the financial system, indicating that agents take more risk in periods of low risk, supporting the dictum that "stability is destabilizing.

Financial volatility and economic growth, 1870-2016

We investigate the causal impact of financial risk on economic growth, using a panel spanning 150 years and 74 countries. Persistent low risk encourages risky investments that ultimately augment growth but at the cost of building up of vulnerabilities in the economy and thus has a boom-to-bust effect on growth: an initial increase followed by a reversal in two years. Persistent global low risk has a more pronounced effect on growth than local risk, highlighting the relative importance of the global risk environment. While the U.S. financial markets are important, their effects on risk appetite globally are still limited. The impact of low risk is the strongest after the Bretton Woods era, for developing countries, and for countries experiencing high credit growth. Finally, long-lasting low volatility affects growth amid its notable impact on capital flows, investment, and lending quality

Learning from history: volatility and financial crises

We study the effects of volatility on the probability of financial crises by constructing a cross-country database spanning 211 years. We find that volatility is not a significant predictor of crises whereas unexpected high and low volatilities are. Low volatility leads to banking crises and both high and low volatilities make stock market crises more likely, while volatility in any form has little impact on currency crises. The volatility-crisis relationship becomes stronger when financial markets are more prominent and less regulated. Finally, low-risk environments are conducive to greater buildup of risk-taking, providing empirical support for the Minsky hypothesis

Diverticulosis y relación con el consumo de fibra en pacientes del Hospital Universitario de la Samaritana

Introducción: La diverticulosis es la condición más frecuentemente encontrada en la colonoscopia, condición asintomática, con un alto costo para el sistema de salud. Diversos factores han demostrado estar en relación con la aparición de la enfermedad. En nuestra población, esta información se desconoce; el objetivo del estudio es la caracterización de la población con diverticulosis y su relación con la frecuencia de la ingesta de fibra. Materiales y Métodos: Estudio observacional prospectivo de corte transversal con componente analítico. Realizado a todas las personas que asistieron al HUS a realización de colonoscopia entre Noviembre de 2015 y Abril de 2016. Se recolectaron datos de la frecuencia de fibra ingerida a través de entrevistas basadas. Resultados: Se estudiaron 278 personas, 55.7% mujeres. La prevalencia de diverticulosis fue de 21.58%, siendo más frecuente en mujeres ( 66,7%), 31% entre los 71-80 años, 2,16% tenían antecedente familiar de diverticulosis; principal sitio de afectación fue colon sigmoide en las mujeres y el colon descendente en los hombres. En las personas con diverticulosis el consumo de harina de trigo fue mayor (91,67% vs 86,7%), mientras el consumo de frutas fue mayor en las personas que no presentaron diverticulosis (83,49% vs 78,33%). Conclusiones: La prevalencia de diverticulosis es similar a lo reportado en la literatura. Así mismo se encontró un mayor consumo de fibra en la población sin divertículos lo que hace pensar que a pesar de que esta condición es multifactorial , el consumo de mayores cantidades de fibra puede prevenir la aparición de la mismaIntroduction: Diverticulosis is the condition most often found on colonoscopy, It`s an asymptomatic condition, with a high cost to the health system. Several factors have shown to be related to the onset of disease. In our population, this information is unknown; the aim of the study is the characterization of people with diverticulosis and its relationship with the frequency of fiber intake. Materials and Methods: Prospective observational cross-sectional study with an analytical component. It was made to everyone who attended the HUS for colonoscopy between November 2015 to April 2016 the frequency data of fiber ingested was obteined through interviews. Results: 278 people were studied, 55. 7% were women. The prevalence of diverticulosis was 21. 58%, being more frequent in women (66. 7%), 31% between 71-80 years, 2. 16% had a family history of diverticulosis; the sigmoid colon was the main site of involvement in women and descending colon in men. In people with diverticulosis the consumption of wheat flour was higher (91. 67% vs 86. 7%), while fruit consumption was higher in people who did not have diverticulosis (83. 49% vs 78. 33%) . Conclusions: The prevalence of diverticulosis is similar to that reported in the literature. Also higher intake of fiber was found in the population without diverticula which suggests that even though this condition is multifactorial, consuming higher amounts of fiber can prevent the occurrence of the sam

Relative liquidity and future volatility

The main contribution of this paper is to identify the strong predictive power of the relative, rather than the absolute, volume of orders over volatility. To this end, we propose a new measure, relative liquidity, which accounts for how quoted depth is distributed in a limit order book and captures the level of consensus on a security's trading price. Higher liquidity provision farther away from the best quotes, relative to the rest of the book, is associated with a disagreement on the current price and followed by high volatility. The relationship is robust to the inclusion of several alternative measures

La experiencia escolar como dimensión generadora de interés por la profesión docente

El interés por conocer las características de estudiantes idóneos para la conformación de los cuadros docentes, ha generado interés en la investigación educativa orientada a descubrir potenciales rasgos conforme al perfil profesional pedagógico. Un aspecto relevante en el descubrimiento del interés por la profesión docente, está dado en las experiencias escolares que van configurando dentro de la trayectoria académica del estudiante un ámbito generador de simpatía y gusto por la carrera pedagógica y el rol profesional. El estudio presenta resultados en base a la temática propuesta. Asimismo, la investigación ha sido realizada en el marco de un programa de acceso especial a carreras de pedagogía, implementado en una universidad estatal de la región de Ñuble, en la que participaron estudiantes pertenecientes a este programa. El objetivo de la investigación busca identificar las experiencias generadoras de interés por la profesión, para ello la metodología considera la estructura cualitativa, con un enfoque fenomenológico, que busca indagar en las significaciones de los participantes, yendo a la búsqueda de sus principales motivos. El análisis de datos ha permitido la emergencia de categorías que dan respuesta al objetivo propuesto en la investigación y que considera la experiencia escolar como una previsible dimensión generadora de interés.The interest in knowing the characteristics of suitable students for the conformation of teaching teams has generated interest in educational research focused on identifying potential traits according to the pedagogical professional profile. A relevant aspect in the identification of interest in the teaching profession are the school experiences that promote, within the students’ academic trajectory, a generating environment of sympathy and taste for the teaching career and its professional role. This study presents results based on the proposed topic. Additionally, the research has been carried out within the framework of a program of special access to teaching programs, implemented in a state university in the Ñuble region in Chile, and in which students who belong to this program participated. The objective of the research is to identify the experiences that generate interest in the profession; therefore the methodology considers a qualitative structure, with a phenomenological approach, which seeks to investigate the meanings participants make regarding their main reasons. The data analysis has allowed the emergence of categories that respond to the objective proposed in the research and that considers the school experience as a foreseeable generating dimension of interest

Expressões de violência epistêmica na formação inicial de professores

This following reflexive sort of article develops an argumentative line based on the theoretical-analytical confrontation of the educational episteme in the field of initial teaching training. The categories presented show three types of expressions of epistemic violence derived from the coloniality of knowledge established in the university academy as a space of privilege and power, configuring relationships given in the teaching binary of inclusion and exclusion. The approach presented allows us to rethink the educational phenomenon based on the practical understanding of academic work, especially when some of these categorical expressions seem to be ignored, made invisible, or naturalized within pedagogical studies, an act that leads to their entrenchment in educational praxis and therefore, its incidence in the delegitimization of the other/epistemic subject, as a legitimate bearer of knowledge and knowledge of value, is not noticed.El presente artículo de carácter reflexivo desarrolla una línea argumentativa con base a la confrontación teórica-analítica de la episteme educativa en el ámbito de la formación inicial docente. Las categorías presentadas ponen en evidencia tres tipos de expresiones de violencia epistémica derivadas de la colonialidad frente a algunos conocimientos asentados en la academia universitaria como espacio de privilegio y poder, configurando relaciones dadas en el binario pedagógico de inclusión y exclusión. El enfoque presentado permite repensar el fenómeno educativo con base a la comprensión práctica del quehacer académico, especialmente cuando algunas de estas expresiones categoriales parecieran ser ignoradas, invisibilizadas o naturalizadas dentro de los estudios pedagógicos, acto que conlleva a su enquistamiento en la praxis educativa y, por tanto, no es advertida su incidencia en la deslegitimación del otro/sujeto epistémico, como un portador legítimo de saberes y conocimientos de valor.O presente artigo reflexivo, desenvolve uma linha argumentativa a partir do confronto teórico-analítico da episteme educacional no campo da formação inicial de professores. As categorias apresentadas mostram três tipos de expressões de violência epistêmica derivadas da colonialidade na frente de alguns conhecimentos instituídos na academia universitária como espaço de privilégio e poder, configurando relações dadas no binário pedagógico de inclusão e exclusão. A abordagem apresentada, permite repensar o fenômeno educacional a partir da compreensão prática do trabalho acadêmico, especialmente quando algumas dessas expressões categóricas parecem ser ignoradas, tornadas invisíveis ou naturalizadas nos estudos pedagógicos, ato que leva ao seu enraizamento na práxis educacional e, portanto, não se percebe a sua incidência na deslegitimação do outro/ sujeito epistêmico, como legítimo portador de saberes e conhecimentos de valor