Existing evidence indicates that (i) average returns of purchased delta-hedged options are negative, implying options are expensive, and (ii) volatility is the most important extra risk that is factored into option prices. Therefore, a natural extension is to explain the cross-section of average...

Consider a non-spanned security C_T in an incomplete market. We study the risk/return trade-offs generated if this security is sold for an arbitrage-free price 'c0' and then hedged. We consider recursive one-period optimal self-financing hedging strategies, a simple but tractable criterion. For...

We study a firm's debt-maturity policy. The firm, keeping book leverage constant, rolls over expiring debt by newly issuing short- or long-term bonds, which pay different coupons. In equilibrium, we always find two balanced issuance regimes, which are associated with one type of debt: In bad...

In this paper we present the estimation results of a dynamic panel data model that explains the dynamic behaviour of default ratios in Spain for loans extended to the household sector. We estimate the models for two alternative definitions of default and for two different loan categories. The...

In the present research we investigate possible predictors of the presence of women in Spanish online newspapers using an automatic content analysis over a three-month period. Results of the analysis reveal that Spanish online newspapers continue depicting women in a stereotyped manner. Women...

Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...

Much attention has been paid in recent years to the study of the order of integration of a time series, i.e. the number of differences that are necessary to transform it into a stationary series. The relevance of the subject arises because most of time series analysis in economics and finance...

In periods of market stress, portfolio reallocations in bond markets reflect both safety and liquidity concerns. Using sovereign and national agency bonds, we construct indicators of liquidity premia in major euro area bond markets; we document the weakening of the correlation between core and...

Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...

In macroeconomics and finance, it is extremely useful to have knowledge of the Term Structure of Interest Rates (TSIR) and to be able to interpret the related data. However, independently of its latest particular application, the TSIR is not observable directly in the market and a previous...