
Fernando Muñoz Sánchez- PhD in Finance
- University of Zaragoza
Fernando Muñoz Sánchez
- PhD in Finance
- University of Zaragoza
About
51
Publications
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Introduction
Current institution
Publications
Publications (51)
The World Bank's database on private participation in infrastructure (PPI) projects provides detailed information on these initiatives. However, the original dataset includes imputed macro-level data for the countries that is outdated, lacks assigned ISO country codes, and is not linked to other standard country-level variables necessary for proper...
In this article, we present a methodological approach to address spatial disparity in global data representation, introducing an algorithm called Flexible Mapping to Understand Spatial Analysis (FLEMUSA). We utilize world maps to depict various data points across countries, revealing substantial variation among them. However, conventional choroplet...
The growing prominence of public–private partnerships featuring concessions has become a focal point in themanagement realm. Concession agreements, often spanning numerous years, imbue projects with continuity andstability. Through the theory of neo-institutionalism, we analyse the influence of formal and informal institutionson the duration of the...
In this research, we analyse the impact of the inclusion of ethical expressions in the prospectuses of socially responsible (SR) mutual funds on money flows. We contribute to the existing literature by proposing a text‐based measure that integrates three attributes that are relevant to whether clients are attracted: exclusiveness, intensity and lex...
This research studies the factors that favour the establishment of high-investment infrastructure public-private partnership (PPP) projects. We analyse 9121 PPPs, hosted in 107 developing countries, in the period 1997–2017. We find that PPP projects adopting contractual forms in which the private party takes more risks, awarded through competitive...
In this research, we analyse the impact of the institutional distance between investor and investee countries on the risk-adjusted financial performance for a broad sample of US-based international mutual funds in the period 1997-2021 (1,704 equity mutual funds/106,521 monthly portfolios). Our results show that a greater institutional distance jeop...
This paper examines the impact of institutional forces – legal origin, current institutions, and institutional stability – and their relationship with the success of 6,805 public – private partnerships (PPPs) deployed in 57 developing economies in the period 1997–2017. The results indicate that better current institutions and higher stability influ...
In this research, we tested the existence of ethical window dressing in the Socially Responsible Investment (SRI) domestic equity funds registered in the US market. For this purpose, we compared the environmental, social, and corporate governance (ESG) attributes of disclosed and undisclosed portfolios. We reject that the ESG portfolio image is sig...
In this study, we analyse the effect of product differentiation on prices and clients’ attraction in the socially responsible (SR) mutual fund industry. Using three proxies for differentiation, including a text-based indicator, a return-based indicator, and a portfolio-holding indicator, we analyse a sample of US SR equity mutual funds in the perio...
Purpose
Some scholars argue that corruption hinders economies and investment because it generates extra costs, while others suggest that it can act as a stimulus. Their mixed empirical findings have prompted the analysis of whether investors' attitude towards corruption changes depending on its degree of prevalence.
Design/methodology/approach
The...
In this research, I study the exposure of Socially Responsible mutual funds (SR) to black industries (i.e., carbon-intensive sectors: fossil fuel, metal and utilities) and its effect on the financial performance. To this purpose, I analyze the industry portfolio allocation of a sample of 136 actively-managed US SR mutual funds, investing in domesti...
In this research, I analyse how exposure to sin sectors impacts the financial performance of socially responsible (SR) funds. I also analyse the question of whether or not these funds keep their word and are less exposed to the controversial sectors that they claim to exclude in their prospectuses. Additionally, I analyse how local political and re...
Purpose
This study aims to examine style-deviation practices in the socially responsible mutual funds (SMRF) industry i.e. how mutual funds game their stated financial objectives to earn a higher relative performance ranking. In addition, the consequences of such practices on sustainable scores and money flows are studied.
Design/methodology/appro...
In this research, we study, for the first time, the determinants of private investment participation in public–private partnership (PPPs) projects in renewable energies. We analyse a broad sample formed by 1,371 PPPs from 63 developing countries in the period 1997–2016. Using a Tobit estimation technique, our findings reveal that PPPs that are smal...
This work analyses how risk transference to the private partner affects the success of public-private partnerships (PPP). For this purpose, a broad sample from the World Bank database of 6,022 PPP infrastructure projects in 59 developing countries in the period 1997 to 2016 is analysed. Using multilevel logistic models our results show that PPPs' s...
In this article, I study for first time how the board of trustees’ size and independence influence the financial performance and sustainability scores of socially responsible (SR) mutual funds. The sample analyzed consists of 99 SR US domestic equity mutual funds existing in the period 2012–2018. The results obtained indicate that funds monitored b...
This paper studies, for the first time, socially responsible (SR) mutual fund exits. We analyse a sample of 534 U.S. SR equity mutual funds in the period 2003–2017, in which 182 exit events occurred (53 liquidations, 109 mergers within the same family, and 20 mergers across different families). The results obtained indicate that both liquidations a...
Despite the spread of Public-Private Partnerships (PPPs) and their interest among academicians and policy-makers, many investigations generally treat them as a homogenous mode of governance neglecting their different forms. The present work investigates the factors that determine the concrete form of PPP finally adopted. We use the Transaction Cost...
Risk is a crucial topic in project management, particularly in major public projects. This paper deals with the optimal allocation of risks between parties when the governance (and contracting) of these projects takes place under Public Private Partnerships (PPPs). According to some general literature in economics and management, we propose that th...
In this paper, I study investors' selection skills for a broad (576 funds) and updated (January 2004 to May 2018) sample of socially responsible (SR) mutual funds in the US market. In general terms, I obtain a positive relationship between fund flows and subsequent financial performance. This positive relationship is conducted by the bad financial...
This paper analyzes the cash flow timing skills of mutual fund investors, controlling for the hindsight effect (HE). We analyze a sample of US domestic equity mutual funds in the period 1990–2016. Before controlling for the HE, we find that mutual fund investors worsen the return that they achieve with their timing decisions by 1.80% annually. Howe...
In this article we analyze the contract duration using Transaction Cost Theory with a sample of 283 outsourced services in the Spanish Army during the period 2009–2014.The analysis results show that the greater the specificity of the service, the greater the duration of the contract. In addition, it is obtained that the greater the uncertainty abou...
This paper studies, for the first time, the cash flow timing skills of socially responsible (SR) mutual fund investors. Our findings show that SR investors neither worsen nor improve their returns according to their cash flow timing decisions, although they show good timing for net purchase and perverse timing for net withdrawal decisions. When con...
This paper analyses stock-picking and style-timing abilities through comparative analysis of an extensive sample of conventional and socially responsible (SR) mutual funds in the US market. Our results show that there is a little difference between conventional and SR fund managers, and even less so when we control for the presence of atypical obse...
La literatura identifica numerosos factores que afectan al gasto en defensa. Atendiendo a su alcance estos determinantes se pueden clasificar en: i) globales, ii) regionales y iii) propios. Los primeros afectan a la mayoría de los países (por ejemplo el crecimiento económico global); los segundos afectan a los países de una misma región (por ejempl...
This article analyzes the financial performance and managerial abilities of a sample of US and European socially responsible (SR) mutual funds. The period analyzed commences from January 1994 and concludes in January 2013 and yields 18 US and 89 European green funds. The results obtained for green fund managers are compared with those achieved for...
The aim of this study is to provide the sovereign bond fund investor with a guide to finding the most profitable and sustainable investment strategy. For this purpose, a Global Sustainable Competitiveness Index is applied to a sample of 48 funds.
We have conducted a best-in-class analysis, and our evidence supports the idea that the best strategy...
This paper investigates whether profit-seeking and values-driven investor decisions have an impact on the timing ability of socially responsible mutual fund managers. Surprisingly, we find evidence of successful market timing skill for positively screened mutual fund managers who fulfil the objectives of profit-seeking investors, demonstrating the...
In this paper we analyze the presence of economies of scale in Defense, examining the economic reasoning behind economies of scale for such a public good. We discuss this issue looking at warfare from a modern perspective, which recognizes the fact that Defense enjoys certain powers of exclusion and hence a non-zero marginal cost. This means that D...
This paper takes as its starting-point the traditional Treynor and Mazuy timing model and its conditional version and adapts them so as to be able to distinguish between the stock picking and Market timing abilities of ethical and conventional fund managers. Seven European countries are analysed and similar results are found for each country. In ge...
In this study, we analyze the financial performance and the managerial abilities of religious mutual fund managers, implementing
a comparative analysis with conventional mutual funds. We use a broad sample, free of survivorship bias, of religious equity
mutual funds from the US market, for the period from January 1994 to September 2010. We build a...
Traditional timing models are affected by several biases, which generate spurious timing and stock-picking coefficients. Academics have appointed different causes as the possible sources of these biases. A negative correlation between timing and stock-picking abilities arises as a consequence of the biases in traditional timing models. This article...
This paper analyses the risk-taking behavior of a fund manager in response to prior performance by conducting a comparative analysis between ethical and conventional investment portfolios. We examine the influence on managerial risk taking of the compensation and employment incentives. Our analysis looks at the British and Italian markets. We find...
El objetivo fundamental de este trabajo es analizar si los gestores de fondos de pensiones son capaces de implementar estrategias de sincronización respecto a diferentes estilos de inversión, aspecto fundamental en la gestión eficiente de una cartera de inversión. También se analizan las habilidades de dichos gestores para seleccionar adecuadamente...
This paper represents, to the best of our knowledge, the first attempt to bring together all of the biases affecting traditional timing models that have been identified in the literature. These biases are the cause of spurious coefficients and our aim is to propose certain corrective measures. The biases analysed in this paper are related with vola...
This paper aims to determine whether the size of a fund family influences investment strategy (stock picking or market timing)
in the Spanish mutual fund market. This is a highly concentrated market, being controlled by two banks with a percentage of
46%. The impact of considering time-varying returns and risks on selectivity and market timing resu...
As far as we are aware, this study presents the first comparative analysis of the stock picking and market timing abilities of managers of conventional and socially responsible (SR) pension funds, and of their use of superior information. For the United Kingdom, the results obtained show a slight stock picking ability on the part of SR pension fund...
This article provides evidence of a common bias found in traditional timing models, which is related with a negative correlation between timing and stock-picking abilities resulting in spurious coefficients. We consider as a possible cause for this bias the failure to include in the timing models the cost of the option implied in timing activities,...
This paper examines the stock-picking and market timing abilities of pension funds ma-nagers in the UK and Spanish markets, analysing their use of privileged information to implement management strategies and considering the possible effects of portfolio size. We take the analysis further by correcting benchmark omission bias. Our results reveal so...
El principal objetivo de este trabajo es reflexionar sobre la evolución que ha experimentado en los últimos años la industria de los fondos de inversión socialmente responsables en Europa. Para ello analizamos la evolución del número de fondos éticos ofertados, el crecimiento de su patrimonio, su tamaño, la tipología de fondos
comercializados y las...
En el actual contexto de crisis económica la protección social se convierte en un aspecto muy importante para todos los ciudadanos. Uno de los aspectos clave y que más preocupa es el sistema público de pensiones. Factores como el incremento en la esperanza de vida, una edad de jubilación cada vez más temprana, y el desempleo, entre otros, pone en e...
Mediante este trabajo analizamos la performance de un grupo de fondos de inversión españoles, basándonos en el modelo CAPM y en el modelo condicional propuesto por Ferson y Schadt (1996). Antes de la aplicación empírica de este segundo modelo, se han realizado rigurosos análisis econométricos de multicolinealidad de las variables del modelo. Obtene...
En este trabajo se analiza si existe algún patrón de comportamiento en el mercado de fondos de inversión chileno que permita clasificarlos, y si la clasificación obtenida coincide o no con la clasificación pública de la que son objeto a partir de la información suministrada por las entidades gestoras. Para ello se llevó a cabo un análisis de la ren...
The main purpose of the paper is to review and extend the existing mutual fund timing research models. This paper represents the first attempt to bring together all of the biases affecting traditional timing models that have been identified by the literature and also all of the corrective measures applied to solve the spurious coefficient problem c...