Mariano González

Mariano González
National Distance Education University | UNED · Department of Business Economics and Accounting

Ph D Business Administration

About

73
Publications
8,346
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233
Citations
Citations since 2017
27 Research Items
151 Citations
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2017201820192020202120222023010203040
2017201820192020202120222023010203040
2017201820192020202120222023010203040
Additional affiliations
September 2008 - August 2015
University CEU Cardenal Herrera
Position
  • Professor (Associate)

Publications

Publications (73)
Article
Estimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative outliers and uses the latter to estimate this cutoff point....
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Previous studies show that, in common-law countries, the explanatory power of stock returns is higher using cash flows than earnings and accruals, while the opposite is true in code-law countries. Moreover, the literature has shown the existence of a country-specific effect motivated by different causes (taxation, financial system, creditor protect...
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The increasing complexity of stochastic models used to describe the behavior of asset returns along with the practical difficulty of defining suitable hedging strategies are relevant factors that compromise the soundness and quality of risk measurement models. In this paper we define the risk model as the mispricing a consequence of using an inadeq...
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Although up to seven factors market, size, earnings, profitability, investment, momentum, and quality are used to explain asset returns mainly due to anomalies, there is no consensus in the financial literature on the suitability of the factors to include in asset pricing models. Empirical research has found that investors’ responses to market move...
Article
Purpose In this paper we analyse the effect on unconditional conservatism of the mandatory adoption of International Financial Reporting Standards (IFRS) by the European listed firms in January 2005. Under the hypothesis that accounting regulation influences the accounting conservatism, we use a non-market-based measure of unconditional conservatis...
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The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging...
Article
This empirical research uses panel data methodology to find the main factors determining Spanish audit quality. on a sample with more than 60,000 audited companies from 2013 to 2018. Prior to analysing the quality of the audit, we have adjusted the best possible model to the audit fees behaviour in order to extract the abnormal fees. Our dynamic mo...
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The usual measures of market risk are based on the axiom of positive homogeneity while neglecting an important element of market information—liquidity. To analyze the effects of this omission, in the present study, we define the behavior of prices and volume via stochastic processes subordinated to the time elapsing between two consecutive transact...
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Most of the empirical studies on board remuneration have focused on finding explanatory performance measures. There are studies that analyze if the compensation contracts of directors reward managers in such a way that they strive to maximize firm performance and shareholders’ wealth; however, there are few studies on the social aspect of corporate...
Article
The aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain...
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In this paper, we test whether the short-run econometric conditions for the basic assumptions of the Ohlson valuation model hold, and then we relate these results with the fulfillment of the short-run econometric conditions for this model to be effective. Better future modeling motivated us to analyze to what extent the assumptions involved in this...
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A part of the financial literature has attempted to explain idiosyncratic asset shocks through investor behavior in response to company news and events. As a result, there has been an increase in the development of different investor sentiment measurements. This paper analyses whether the Bloomberg investor sentiment index has a causal relationship...
Article
Purpose Solvency-II is the current regulatory framework of insurance companies in the European Union. Under this standard, European Insurance and Occupational Pension Authority (EIOPA), as a regulatory board, has established that the Smith–Wilson (SW) model can be used as the model to estimate interest rate curve. This paper aims to analyze whether...
Article
Purpose This empirical work studies the influence of investors’ Internet searches on financial markets. Design/methodology/approach In this study, an asset pricing model with six factors is used, and autoregression, heteroscedasticity and moving average are taken into account to extract the independent shocks of each variable. Subsequently, a caus...
Article
Stylized facts are statistical properties present in high frequency returns of financial assets. While some of them supposes that returns are not Gaussian, another, called time scaling, involves that decreasing the frequency of observation, the returns converge to normal distribution. This paper find evidence that the existence of scaling and outli...
Article
How do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling decomposition of the sensitivity of factor return...
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Understanding the underlying reasons for greenhouse gas (GHG) emissions trends in different countries is fundamental for climate change mitigation. This paper identifies the main determinants that affect GHG emissions growth and assesses their impact and differences among countries in Europe. Previous studies have produced inconclusive results and...
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e European Insurance and Occupational Pensions Authority establishes that the estima-tion of the interest rate curve, used for the valuation of insurance company operations, should consider allliquid bonds; in particular, for the euro zone, if fixes bonds with maturity up to 20 years as the last liq-uid point. The financial literature has analyzed...
Presentation
Full-text available
IFRS adoption and unconditional conservatism: an accruals-based analysis New results about topic
Article
This paper analyses the effects on unconditional conservatism of the mandatory adoption of International Financial Reporting Standards (IFRS) by Spanish listed companies in January 2005. The lack of robustness in the previous evidence justifies analysing this issue from different perspectives. To this end, we use, for the first time in this context...
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Reputational risk is negatively perceived by stakeholders and economic agents, and can cause negative future effects on sustainability, corporate image and stakeholder engagement. This study analyzes and selects bad news regarding a sample of Spanish listed companies and uses it to explain abnormal returns and liquidity risk, to better understand h...
Article
Accounting harmonization in Europe by International Financial Reporting Standard adoption is a recurrent object of study in the accounting literature. In this paper the consequences of the adoption of Standard-13 are analyzed. In particular, this research analyzes the effects on the implied volatility option (risk) for non-financial companies of th...
Article
Sovereign debt markets can be mechanisms of contagion for financial policy interventions, and financial risks in general. This study tests causality in-mean and in-variance on a full interest rate curve. The results for a daily sample of sovereign bond market prices (from France, Germany, Italy, Spain, Switzerland, the United Kingdom and the United...
Article
This paper proposes the mixed frequency conditional beta. We employ the MIDAS framework to estimate market betas as a weighted average of a high and low frequency components. Then, we analyze the macroeconomic determinants of stock market betas and the counter- or pro-cyclicality of betas across well-known portfolio sorts. The surplus consumption r...
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In this paper we analyse the effects of outlier observations and endogeneity on the market-based measurement of conditional accounting conservatism. To address it, we apply a reverse engineering approach by using two alternative samples to estimate a measure of country-specific conditional conservatism – one including outliers and another without t...
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Basu (1997) is the main reference in the market-based accounting literature related to the measurement of conditional conservatism. However, the econometric specification of Basu’s model involves an endogeneity problem due to simultaneity in the variables used in its empirical application: earnings and returns. In this paper we analyse the effect o...
Article
This paper proposes the mixed frequency conditional beta. We employ the MIDAS framework to decompose market betas into high and low frequency components. The total mixed frequency beta is the weighted average of these two components. Then, we analyze the macroeconomic determinants of stock market betas, and the counter or pro-cyclicality of betas a...
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The aim of this study is to research asymmetric causality in-mean and variance among financial markets. The methodology used has several advantages: the estimation is jointly and not by pairs of variables, it identifies whether the causality is asymmetric (different effects from positive and negative returns), and, in the case of bidirectional rela...
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Within the traditional financial literature about efficient markets there are two interpretations on empirical results, some works find evidence of the predictive superiority of the martingale (martingale hypothesis); while others provide evidence supporting a hypothesis of cointegration among exchange rates. In this context, we analyze triangular...
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For multivariate time series modelling, it is essential to know the number of common factors that define the behaviour. The traditional approach to this problem is investigating the number of cointegration relations among the data by determining the trace and the maximum eigenvalue and obtaining the number of stationary long-run relations. Alternat...
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Literature on the relationship between aid and inequality is scarce and contradictory. Most studies are based on dynamic panel data using internal instruments to deal with endogeneity. In addition to these techniques, this article introduces the persistency of inequality and a double-censored Gini index. We apply for the first time a dynamic and do...
Article
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En la práctica financiera de gestión y valoración de activos suele emplearse como cartera eficiente de mercado su índice representativo. En la literatura financiera los estudios empíricos para contrastar si el índice de mercado es una cartera eficiente suelen asumir únicamente un comportamiento gaussiano (media-varianza). Por el contrario, en este...
Article
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In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and II errors, for both gaussian and non-gaussian behav...
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Purpose – In this paper, the authors aim to analyze the impact of International Financial Reporting Standards' (IFRS) mandatory adoption on the financial statements of Spanish listed companies. Design/methodology/approach – The authors estimate a panel data model by generalized least squares' within-between in order to contrast the possible struct...
Article
We analyze the empirical pattern of the Ohlson models (1995) focusing on four basic implicit assumptions that support the model: (i) the displacement property, (ii) the goodness of book value as a proxy of the ability of assets and liabilities to generate cash flows, (iii) the conservatism correction value, and (iv) the clean surplus relation. We t...
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The weather and its effects have been two of the main fields of scientific discussion in recent years. In economics, that has meant greater analysis of the risks that the weather generates on the economy, in general, and on business activities, in particular. Therefore, financial derivative products have been developed, enabling economic agents to...
Article
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This paper employs mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications, and model misspecification. However, the traditional two-pass ordinary least squares (...
Article
Full-text available
The weather and its effects have been two of the main fields of scientific discussion in recent years. In economics, that has meant greater analysis of the risks that the weather generates on the economy, in general, and on business activities, in particular. Therefore, financial derivative products have been developed, enabling economic agents to...
Article
Full-text available
Fixed-income portfolio managers usually use Principal Component Analysis (PCA) to find the lowest number of factors that explain the behavior of a set of term structure key rates at a specific confidence level. This technique reduces the size of the multidirectional immunization problem and improves the solution feasibility. Barber and Copper (1996...
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Actualmente, la estimación de riesgos constituye un auténtico arte de la gestión empresarial, en la que el carácter científico viene dado por las técnicas que pueden ser empleadas. Dentro de éstas, y a raíz de los cambios normativos y las últimas situaciones críticas de los mercados, el decisor no solo ha sofisticado los mecanismos empleados, sino...
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Accurate predictions of environmental noise levels are necessary to implement noise reduction strategies in urban areas. In this paper, a stochastic model is introduced to describe and predict the L(den), L(day), L(evening), and L(night) levels. A Gaussian Ornstein-Uhlenbeck model is used to represent the dynamics of the noise levels, where the mea...
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Purpose The purpose of this paper is to locate the specific items from the financial statements that are responsible for the dirty surplus accounting flows and how important they are in its explanation. Design/methodology/approach It is generally accepted that some country accounting rules allow some operations that can generate dirty surplus in t...
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Different ways of estimating the cash flow generated by a firm can be found in finance literature. These methods generally are based on the estimation of the flows in question, as well as on the analysis of the components involved in the calculation. We present an estimation of a static model of cash flow, in which the main objective is to study ho...
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Because of the unobservable character of cash-flows, discounted cash-flow firms valuation models need to substitute them with different approximations and the discount rate must be adapted to them. This paper aims to contrast whether the most generalized proxys used in financial practice to substitute unobserved cash-flows are suitable, and, if not...
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The purpose of this work is double. On one side, we wish to examine if subsidizing the cost of debt has some influence on the firm value (debt plus equity) or if it is just a transfer from debt holders to shareholders. On the other hand, we wish to show that research in Finance, as in many others fields of study, requires that the starting hypothes...
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The purpose of this work is double. On one side, we wish to examine if subsidizing the cost of debt has some influence on the firm value (debt plus equity) or if it is just a transfer from debt holders to shareholders. On the other hand, we wish to show that research in Finance, as in many others fields of study, requires that the starting hypothes...
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Full-text available
The purpose of this article is to assess the management of foundations by using indicators that focus primarily on efficiency, thereby seeing which factors are most influential in achieving goals. An empirical study has been carried out using accounting information (the Balance Sheet and the Profit and Loss Statement) from cultural and teaching fou...
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Recent international calls for more effective foreign aid underscore the surprisingly little evidence on the redistributive impact of aid. Distribution in recipient countries is not even a qualifying criterion for donors when allocating aid. This paper addresses the fundamental question of whether current aid
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Las recientes apelaciones a un mayor volumen de ayuda al desarrollo suelen ignorar la escasa evidencia sobre el impacto redistributivo de la ayuda. El grado de desigualdad no es un criterio que usen los donantes para asignar su ayuda, pero, junto con el crecimiento económico, la ayuda puede ser eficaz en la reducción de la desigualdades de los pais...
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Espousing the risk estimation hypotheses of markets with no friction used in asset valuation leads to erroneous market risk estimations. To overcome this inconvenience, financial literature usually presents more information on market positioning (price, volume, long or short positioning) and on market operations (volume, price, timeframe). Another...
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By definition, Savings Banks form part of what is known as the social economy, so their investment policies must logically comply with objective efficiency and other more subjective social criteria. However, at different moments in time, accusations have been launched against their investment policies, claiming that they have ignored both the above...
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In this work we introduce the Proper Orthogonal Decomposition (POD)approach to the valuation of contingent claims for one–dimensional price models.First, we present the POD in the context of an abstract Hilbert space and we givean application for the numerical pricing of Double Barrier Options. In a finitedimension setting, we show the model reduct...
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In financial literature, different ways of estimating the cash flow generated in a firm can be found. These methods are based on the estimation of these flows and on the analysis of the components that are involved in them. Although the estimation is important, we want to know what these cash flows are used for. The answer can be found in the state...
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This article aims at discovering a coherent method for estimating country risk for non-developed countries, determining the components and most significant factors involved and thus avoiding the “black boxes” represented by external agency ratings. The data used form a panel of 40 non-developed countries, grouped into 5 geographical areas, during t...
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This paper aims to give a detailed explanation of the econometric methodology necessary to estimate dynamic probit models with ordinal dependent variables. A typology of cases are established which appear when considering different choices of individual heterogeneity along with time correlation. To be able to estimate by maximum likelihood the mode...
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Los créditos del Fondo de Ayuda al Desarrollo (FAD) son el instrumento español de ayuda al desarrollo de forma ligada. Esta práctica está sometida a la “paradoja del enriquecimiento del donante”, pues se fomentan sus exportaciones al obligar al país receptor a devolver el crédito comprando bienes y servicios del donante. Mediante estimaciones basad...
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trabajo analiza el Nuevo Acuerdo de Capitales del Banco Internacional de Pagos de Basilea, conocido como BIS-II, en lo relativo al riesgo de crédito con Pymes, riesgo país y riesgo operacional. Estudia los conceptos, clasificaciones y métodos de estimación propuesto por la norma, así como las ventajas e inconvenientes de cada una de las opciones. P...
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Introducción -- Antecedentes contables -- Situación actual de la normativa contable internacional sobre derivados -- Normativa contable sobre derivados en la Unión Europea -- Propuesta de modificación normativa de IASB -- Ejemplos -- Bibliografía
Article
trabajo analiza el Nuevo Acuerdo de Capitales del Banco Internacional de Pagos de Basilea, conocido como BIS-II, en lo relativo al riesgo de cr�dito con Pymes, riesgo pa�s y riesgo operacional. Estudia los conceptos, clasificaciones y m�todos de estimaci�n propuesto por la norma, as� como las ventajas e inconvenientes de cada una de las opciones. P...
Article
Full-text available
Este estudio presenta una metodología de estimación de las tasas de actualización de flujos de caja con objeto de valorar corporaciones y transacción, así como detectar si los métodos que existen de valoración a partir del valor actual neto de los flujos futuros son riesgo neutrales, es decir, el valor obtenido es libre de posibilidades de arbitraj...
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Este estudio analiza la regulación y funcionamiento del mercado español de energía eléctrica, y determina cuáles son las condiciones de fijación del precio. Se ha buscado, en primer lugar, cuál es el precio «guía», y una vez encontrado éste (precio marginal), se ha comprobado que las compañías eléctricas con mayor capacidad productiva hidráulica so...
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Introducción al análisis económico-financiero -- Composición de la estructura económica y financiera de la empresa -- Relaciones entre la estrucutra económica y financiera de la empresa -- Análisis de la estructura financiera -- Análisis de la estructura económica -- Valoración de la empresa

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Projects (2)
Project
This project is a set focusing on research lines that are mainly found in the empirical analysis, carried out by the last advanced techniques, including computation and big data, applying it to Finance understood in a broad sense, ranging from Corporate Finance to Macro-Finance, through Financial Analysis and Asset Valuation.