
Matilde O FernandezUniversity of Valencia | UV · Departamento de Finanzas Empresariales
Matilde O Fernandez
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36
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Publications
Publications (36)
This article proposes a multi-currency cross-hedging strategy that minimizes the exchange risk. The use of derivatives in small and medium-sized enterprises (SMEs) is not common but, despite its complexity, can be interesting for those with international activities. In particular, the reduction in the exchange risk borne through the use of natural...
Purpose
– The current credit rationing strongly influences the viability of SMEs innovation projects. In this context, the practice of screening borrowers by project success probability has become a paramount consideration for both lenders and firms. The aim of this paper is to test the screening role of loan contracts that consider collateral-inte...
The current credit rationing heavily influences entrepreneurship and, more dramatically, the viability of innovation projects. In this context, mechanisms to screen successful projects are of paramount importance for both lenders and entrepreneurs. We present an experiment to test the collateral-interest mechanism of credit screening. Our results c...
Purpose – The current credit rationing strongly influences the viability of SMEs innovation projects. In this context, the practice of screening borrowers by project success probability has become a paramount consideration for both lenders and firms. The aim of this paper is to test the screening role of loan contracts that consider collateral-inte...
The current credit rationing heavily influences entrepreneurship and, more dramatically, the viability of innovation projects. In this context, mechanisms to screen successful projects are of paramount importance for both lenders and entrepreneurs. We present an experiment to test the collateral-interest mechanism of credit screening. Our results c...
Genetic algorithms (GAs) are appropriate when investors have the objective of obtaining mean-variance (VaR) efficient frontier as minimising VaR leads to non-convex and non-differential risk-return optimisation problems. However GAs are a time-consuming optimisation technique. In this paper, we propose to use a naïve approach consisting of using sa...
In this paper, we develop a general framework for market risk optimisation that focuses on VaR. The reason for this choice is the complexity and problems associated with risk return optimisation (non-convex and non-differential objective function). Our purpose is to obtain VaR efficient frontiers using a multi-objective genetic algorithm (GA) and t...
This paper is concerned with assetallocation under real constraints when VaR is the risk measure to minimize. Our paper makes
a contribution in several ways, we use a risk measure that is not linear programming solvable, we introduce real constraints,
such as minimum transaction units and non-linear cost structure and, finally, we avoid the use of...
En este trabajo se analizan los efectos de la reputación conseguida en una relación de préstamo sobre el coste de los nuevos préstamos para las PYME's. Nuestro trabajo se diferencia de la literatura empírica previa en que utilizamos por primera vez información sobre el resultado ex-post de cada préstamo procedente, y no aproximaciones indirectas a...
This paper is concerned with asset allocation using a set of three widely used risk measures, which are the variance or deviation, Value at Risk and the Conditional Value at Risk. Our purpose is to evaluate whether solving the asset allocation problem under several risk measures is worthwhile or not, given the added computational complexity. The ma...
The current collapse of credit markets has left small and medium enterprises (SMEs) facing severe credit rationing. The practice of screening borrowers by risk level has become a paramount consideration for both lenders and firms. This paper represents the first empirical test of the screening role of loan contracts that consider collateral-interes...
Purpose
– The purpose of this paper is to propose various toehold indicators and analyse whether the models incorporating these indicators can be used to establish investment strategies.
Design/methodology/approach
– Logistic regression is used to test toehold indicator significance.
Findings
– The results reflect that the designed measures are p...
In credit contracting under asymmetric information, lenders formulate sets of incentive compatible contracts that consider collateral and interest rates simultaneously as a mechanism to reveal the borrower's ex ante risk level. In this paper, we design an experiment to test how moral hazard due to ex ante asymmetric information affects the screenin...
Sumario: I. Empresa y empresario -- II. La toma de decisiones en la empresa -- III. Mercados y activos financieros -- IV. La inversión en la empresa -- V. Planificación financiera y estructura de capital.
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight from emerging markets) prior to and during the 2008 fi...
The paper analyses the motivations for inter-company investment on the Spanish Stock Market through the study of a sample of significant acquisitions reported to the CNMV (the Spanish Securities and Exchange Commission) by quoted firms. By analysing the sign of the cumulative abnormal returns (CAR) and of the correlations among the gains produced b...
The debate about whether derivatives introduction and trading affect the underlying market stability persists for more than two decades. In this paper we deal with this question from a new perspective. Concretely, we investigate the impact on the underlying stock market structure of the IBEX-35 option and future listing. In this way, we define and...
In this paper we test Bester's (1985, 1987) prediction about the separating role of contracts that involve both interest rates and collateral requirements in credit markets. To test this prediction we use data from natural credit markets and controlled experiments. Using a sample of credits to small and medium size firms in Valencia, Spain, we rela...
El objetivo de este trabajo es reafizar un estudio sobre las características económicas y financieras de las empresas de la Comunidad Valenciana resaltando las diferencias entre las que presentan buena y mala performance respecto a varios indicadores. En primer lugar se realiza un análisis financiero tradicional sobre una muestra de empresas valenc...
-Jose.E.Farinos@uv.es -Matilde.Fernandez@uv.es La controversia acerca de si la implantación y negociación de activos derivados afecta a la estabilidad de los respectivos mercados de contado perdura desde hace más de dos décadas. En este trabajo abordamos la problemática anterior desde una nueva perspectiva. Concretamente, analizamos el impacto que...
This paper analyses the motivations for inter-company investment on the Spanish stock market through the study of a sample of significant acquisitions reported to the CNMV by firms quoted on the continuous market. By analysing the sign of the cumulative abnormal returns (CAR) and of the correlations among the gains produced by the operation, we att...
In this paper we investigate the existence of changes in trading activity and systematic risk estimates ot takeover target firms. Consistent with our hypothesis, target firms suffer a significant decrease in their trading activity quality. Following prior studie, this fact leads to negative biased estimates of their ordinary least squares (OLS) bet...
Sumario: 1. Instrumentos y mercados -- 2. Estrategias de inversión con opciones sobre acciones -- 3. Los modelos de valoración de opciones -- 4. Aplicaciones a la teoría de la financiación -- 5. Opciones sobre divisas, deuda e índices -- 6. Opciones sobre contratos de futuros -- 7. Contabilización de las operaciones en opción -- 9. Mercados de opci...
In contracting under asymmetric information, the possibility of screening agents by their risk level is of great importance in many real-world applications, as insurance or credit markets, as shown in recent subprime crisis. We use experimental methods to test incentive compatibility in agents that differ with respect to both risk level and degree...
Se analiza el concepto de empresa multinacional, estudiando sus características y los factores que explican el proceso de multinacionalización de las empresas, para luego estudiar la política de las multinacionales en agricultura. El sector agrario, que no ha sufrido cambios estructurales en los últimos años, a pesar de la evolución de la sociedad...
En este trabajo se examinan las tesis de Bester (1985, 1987) sobre el efecto clasificador de los contratos de préstamo que combinan los requisitos de garantía y tipo de interés. Para ello, empleamos dos métodos de análisis complementarios: un análisis empírico tradicional y un análisis experimental. En el primero, sobre una muestra de préstamos a P...
Nuestro trabajo analiza las motivaciones de la inversión inter-empresas en el mercado bursátil español a través del estudio de una muestra de tomas de participación significativas comunicadas a la CNMV por empresas que cotizan en el mercado continuo. Analizando el signo de las rentabilidades anormales acumuladas (CAR) y de las correlaciones entre l...