Resumen: La teoría de precios por arbitraje establece que el retorno esperado de un portafolio de activos está relacionado con factores que caracterizan la economía y se puede asociar a variables macroeconómicas. En este estudio se realiza una contrastación empírica de la teoría de...

Resumen: Se presenta una metodología reciente para la detección del contagio financiero basada en coeficientes de dependencia asintótica. Este enfoque, sin alejarse de las condiciones teóricas del problema, logra sortear las críticas estadísticas a las que frecuentemente están expuestas...

The pace of biodiversity loss requires drastic shifts in conservation efforts that carry substantial costs. We investigate how the financial market prices such conservation costs exploiting the "Green Shield Action," a major regulatory initiative launched by the Chinese central government in...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

We evaluate the performance of the Conditional Autoencoder (CAE) model by Gu et al. (2021) in an international context and under economic constraints, such as the exclusion of microcap and illiquid firms, and accounting for transaction costs. The CAE model leverages latent factors and factor...

We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of...

This paper examines the impact of transition and physical climate risk on stock markets using, for the first time in this context, the annual CCPI index calculated by Germanwatch as well as its components (in addition to a wide range of other indices) for 48 countries from 2007 to 2023....

This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

This study examines whether application of IFRS by non-US firms results in accounting amounts comparable to those resulting from application of US GAAP by US firms. IFRS firms have greater accounting system and value relevance comparability with US firms when IFRS firms apply IFRS than when they...

Starting from the Merton framework for firm defaults we provide the analytics and robustness of the relationship between default probabilities and default correlations. We then derive the implication of these results for the impact of macroeconomic shocks on credit portfolios, for the pricing of...