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Publicaciones científicas más recientes (desde 2010)

Autores: López-Espinosa, Germán; Mayordomo, Sergio; Moreno, Antonio;
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.
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: Barth M.; Gómez-Biscarri, J.; Kasznik, R.; et al.
ISSN 1380-6653  Vol. 22  Nº 4  2017  págs. 1761 - 1792
Based on a large sample of publicly listed and non-listed US commercial banks from 1996 to 2011, we find robust evidence consistent with banks using realized available for sale (AFS) securities gains and losses to smooth earnings and increase low regulatory capital. We also find that (i) banks with positive earnings smooth earnings, and banks with negative earnings generally take big baths; (ii) regulatory capital constrains big baths; (iii) banks with more negative earnings and more unrealized beginning-of-quarter losses (gains) take big baths (smooth earnings); and (iv) banks with low regulatory capital and more unrealized gains realize more gains. Also, banks with negative earnings take big baths (avoid or reduce the earnings loss) if their unrealized gains are insufficient (sufficient) to offset the negative earnings. Our inferences apply to listed and non-listed banks, which indicates that the earnings management incentives do not derive solely from public capital markets. Our findings reveal that the accounting for AFS securities gains and losses enables banks to manage regulatory capital and earnings in a variety of ways.
Autores: Balboa, M.; López-Espinosa, Germán; Rubia, A.;
ISSN 1544-6123  Vol. 15  2015  págs. 49 - 58
Building on the concept of Granger causality in risk in Hong et al. (2009), and focusing on an international sample of large-capitalization banks, we test for predictability in comovements in the left tails of returns of individual banks and the global system. The main results show that large individual shocks (defined as balance-sheet contractions exceeding the 1% VaR level) are a strong predictor of subsequent shocks in the global system. This evidence is particularly strong for US banks with large desks of proprietary trading. Similarly, we document strong evidence of financial vulnerabilities (exposures) to systemic shocks in US subprime creditors.
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A.; et al.
ISSN 0378-4266  Vol. 58  2015  págs. 471 - 485
Autores: Díaz-Mendoza, A.C.; López-Espinosa, Germán; Martínez-Sedano, M.A.;
ISSN 1354-7798  Vol. 20  Nº 4  2014  págs. 825 - 855
This paper compares the efficiency of mutual funds that charge management fees based totally or partially on returns (performance) with those that charge them exclusively on assets under management. We analyse Spanish risky mutual funds during 1999¿2009 for which both types of management fees are authorised. We find that performance¿based fee funds perform significantly better than the other risky funds considered. Moreover, a strongly positive performance¿expenses relation is found for such funds, and negative for the other. These results seem to indicate more efficient management in performance¿based fee funds, in contrast with their low presence in the fund industry.
Autores: Balboa, M.; López-Espinosa, Germán; Rubia, A.;
ISSN 0378-4266  Vol. 37  Nº 12  2013  págs. 5186 - 5207
Several studies have analyzed discretionary accruals to address earnings-smoothing behaviors in the banking industry. We argue that the characteristic link between accruals and earnings may be nonlinear, since both the incentives to manipulate income and the practical way to do so depend partially on the relative size of earnings. Given a sample of 15,268 US banks over the period 1996¿2011, the main results in this paper suggest that, depending on the size of earnings, bank managers tend to engage in earnings-decreasing strategies when earnings are negative (¿big-bath¿), use earnings-increasing strategies when earnings are positive, and use provisions as a smoothing device when earnings are positive and substantial (¿cookie-jar¿ accounting). This evidence, which cannot be explained by the earnings-smoothing hypothesis, is consistent with the compensation theory. Neglecting nonlinear patterns in the econometric modeling of these accruals may lead to misleading conclusions regarding the characteristic strategies used in earnings management.
Autores: López-Espinosa, Germán; Rubia, A.; Valderrama, L.; et al.
ISSN 1572-3089  Vol. 9  Nº 3  2013  págs. 287 - 299
We analyze a sample of large international banks in major advanced economies and examine the impact that bank-specific factors have on an institution's solvency risk and its contribution to systemic risk. We focus on the five categories that the Basel Committee on Banking Supervision has recently proposed as indicators of systemic importance. Our findings suggest that unstable funding is the main factor driving systemic risk. Furthermore, the combination of significant trading activities with global presence appears to exacerbate spillover risks to the global financial system. Interestingly, whereas trading activities contribute to the build-up of correlated or `wrong-way¿ risk they help to mitigate individual solvency risk. Conversely, a decentralized approach to liquidity management seems to alleviate individual solvency risk but amplifies the transmission of financial distress across the financial system. This suggests that a macro-prudential approach to financial regulation should focus not only on scaling up micro-prudential measures but also on enabling the efficient transfer of risk between financial institutions.
Autores: López-Espinosa, Germán; Maddocks, J.; Polo Garrido, F.;
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.
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;
ISSN 0261-5606  Vol. 30  Nº 6  2011  págs. 1214-1233
Autores: Gil, Luis Alberiko; Íñiguez Sánchez, Raúl; López-Espinosa, Germán;
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;
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