Nuestros investigadores

Germán López Espinosa

Publicaciones científicas más recientes (desde 2010)

Autores: López-Espinosa, Germán; Mayordomo, Sergio; Moreno, Antonio;
Revista: JOURNAL OF FINANCIAL INTERMEDIATION
ISSN 1042-9573  Vol. 31  2017  págs. 16 - 29
This paper empirically characterizes relationship lending using data from more than 20,000 loans of a Spanish bank to small and medium enterprises (SMEs). The study analyzes the pricing determinants of loans to firms based on the entire previous bank-firm relationship, allowing for the identification of non-linear pricing patterns in the bank-firm relationship. We show that firms only start capitalizing the gains of relationship lending when the relationship extends beyond two years. This reduction in the loan rate spread charged is driven by the opaque firms, for which the acquisition of "soft" information is especially relevant. Finally, we find that relationship lending significantly mitigates the increased costs of refinancing loans along two dimensions: relationship duration and having additional contracts-other than loans-with the bank. (C) 2016 Elsevier Inc. All rights reserved.
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A.; et al.
Revista: JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN 0261-5606  Vol. 79  2017  págs. 174 - 188
We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. Results show that SCRE increases for countries with less fiscal space, higher interest rates, and financial stability concerns. Exposure sensitivity to public sector leverage is shown to increase non-linearly with public debt and to decrease with central banks' sovereign debt programs. Our results imply that good forward-looking macro-finance fundamentals, such as high expected GDP growth and low credit-to- GDP ratios protect countries against sovereign risk especially in times of global distress. (C) 2017 Elsevier Ltd. All rights reserved.
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A.; et al.
Revista: JOURNAL OF BANKING AND FINANCE
ISSN 0378-4266  Vol. 58  2015  págs. 471 - 485
Autores: López-Espinosa, Germán; Maddocks, J.; Polo Garrido, F.;
Revista: ACCOUNTING HORIZONS
ISSN 0888-7993  Vol. 26  Nº 4  2012  págs. 767 - 787
The IASB/FASB joint project on Financial Instruments with Characteristics of Equity (formerly Liabilities and Equity) has highlighted the complexity and the associated difficulty of drawing the line between liabilities and equity. While classification difficulties have been identified for investor-owned businesses (IOB), the inconsistency of the different approaches being considered is clearer when applied to classification of the financial instruments of co-operatives whose ownership characteristics differ from the IOB model. In co-operatives the existence of an upper limit on members' claims on the net assets while the co-operative is a going concern is a key ownership characteristic. We have examined the characteristics of co-operative member shares in six European countries as well as in the U. S. and in Canada, in order to analyze the application of the various classification approaches under discussion by the IASB and FASB. The results of this analysis indicate that classification criteria based on ownership must take account of the fact that ownership is multidimensional and contingent on the type of firm
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A; et al.
Revista: JOURNAL OF BANKING AND FINANCE
ISSN 0378-4266  Vol. 36  Nº 12  2012  págs. 3150 - 3162
We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee¿s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.
Autores: López-Espinosa, Germán; Moreno, Antonio; Pérez de Gracia, Fernando;
Revista: JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN 0261-5606  Vol. 30  Nº 6  2011  págs. 1214-1233
Autores: Gil, Luis Alberiko; Íñiguez Sánchez, Raúl; López-Espinosa, Germán;
Revista: REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
ISSN 0924-865X  Vol. 37  Nº 2  2011  págs. 245-265
The main purpose of this paper is to deal with the analysis of the scale effect in the value-relevance of accounting numbers. We examine the impacts of widely used deflators on the adjustment of scale effect. We find that most of the usual deflators employed in the literature generate endogeneity problems. In this paper we recommend the use of exogenous deflator such as the number of employees in market-based accounting research models. This alternative deflator produces, at least for the USA and Canada data, slightly better statistical results than other (endogenous) deflators such as the market value, the book value of equity, or the total assets.
Autores: De Peña Fariza, Francisco Javier; Forner Rodríguez, Carlos; López-Espinosa, Germán;
Revista: FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE
ISSN 0015-1920  Vol. 60  Nº 5  2010  págs. 426-446
The interpretation of the Fama and French SMB and HML factors (Fama and French, 1993) as risk factors is an unresolved question that has carried a lot of controversy in the asset-pricing literature and it is far from being solved The aim of this study is to contribute to the understanding of this issue by analyzing a rational pricing explanation of this model in the Spanish stock market. There is no empirical evidence concerning the relation between returns and fundamentals in this capital market, therefore it is necessary to study this relation in order to evaluate whether the use of this model is supported by a rational pricing explanation in non-U.S. markets. Following the Fama and French (1995) approach we analyze whether there are size and book-to-market factors in fundamentals similar to those observed in returns and whether these factors in fundamentals drive stock returns. Our results show that there are factors in fundamentals similar to those observed in returns. Secondly, when return on capital is used as a proxy for fundamentals, factors in fundamentals drive factors in returns. Therefore, return on capital is a useful fundamental variable used by investors in the Spanish stock market. These results give support to the use of this model in the Spanish capital market.
Autores: López-Espinosa, Germán;
Libro:  Encyclopedia of finance research
Vol. 2  2011  págs. 509 - 533