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CRISIS DE CONFIANZA EN LOS MERCADOS DE DEUDA
Miralles-Marcelo, José Luis; University of Extremadura, Spain; Daza-Izquierdo, JulioEl objetivo de este estudio consiste en analizar las causasde la actual pérdida de confianza en el mercado de deuda pública español, susconsecuencias económicas, así como las posibles soluciones al problema. Paraello nos centramos en el concepto de prima de riesgo, los factores que influyenen su cálculo, el papel negativo de las agencias de calificación debido alcarácter procíclico de los ratings, así como de l...
The role of an illiquidity factor in the Portuguese stock market
Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Oliveira, CéliaThis study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics,...
Idiosyncratic risk really drives stock returns; Spanish evidence
Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Miralles Quirós, José LuisFollowing the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanis...
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