[¿Cuál es la educacion fisica y moral de la mujer, mas conforme á los grandes destinos la ha confiado la providencia?] : discurso leido en la Universidad Central por Eduardo Bertrán y Rubio en el acto de recibir la investidura de Doctor en la Facultad de Medicina.

Mode of access: Internet.

The Relationship between Risk and Expected Return in Europe

Revised: 2006-07

Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

Published also as: Documento de Trabajo Banco de España 0504/2005.

Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

Consumer Confidence and Yield Spreads in Europe

This paper shows the extraordinary capacity of yield spreads to anticipate consumption growth as proxy by the Economic Sentiment Indicator elaborated by the European Commission in order to predict turning points in business cycles. This new evidence complements the well known results regarding the usefulness of the slope of the term structure of interest rates to predict real economic conditions and, in particular, recessions by using a direct measure of expectations. A linear combination of European yield spreads explains a surprising 93.7% of the variability of the Economic Sentiment Indicator. Yield spreads seem to be a key determinant of consumer confidence in Europe.

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

Smiling under stochastic volatility

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

Understanding the ex-ante cost of liquidity in the limit order book: A note

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Autorregresive conditional volatility, skewness and kurtosis

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by Harvey and Siddique (1999). Moreover, this approach accounts for time-varying skewness and kurtosis while the approach by Harvey and Siddique (1999) only accounts for nonnormal skewness. We apply this method to daily returns of a variety of stock indices and exchange rates. Our results indicate a significant presence of conditional skewness and kurtosis. It is also found that specifications allowing for time-varying skewness and kurtosis outperform specifications with constant third and fourth moments.

La «destrucción creadora» en dos cuentos de Juan Carlos Onetti (Crítica)

Si bien con la Edad Moderna el lenguaje dejó de ser un instrumento sagrado, desde fines del siglo XIX e inicios del XX se revela el carácter arbitrario del signo lingüístico, reafirmando el carácter secular de la palabra. La autora plantea que Juan Carlos Onetti reflexiona en su obra sobre el carácter y las funciones del lenguaje en el texto, desacralizándolo, alejándose de las pretensiones totalizadoras de la crítica. En los dos cuentos de Onetti («El posible Baldi» y «Luna llena») los personajes escriben. En el primero, Baldi remarca el carácter arbitrario de toda ficción (esta vez, de una ficción sobre sí mismo): destruye la tentación de convertirse en un héroe, al presentarse como un proxéneta y traficante, busca provocar el asco en una literata romántica, que ha sido seducida por la palabra, sin conseguirlo. El personaje del segundo cuento, Carmencita, siente que ha fracasado como escritora, y que su cuerpo envejecido la somete al riesgo del ridículo. A diferencia de Baldi, no se atreve a reír de esta posibilidad ni del asco, muere atrapada en una ficción que no deja de ser romántica. Se reflexiona sobre la finalidad del lenguaje en la «realidad» y en las ficciones que crean estos seres de ficción.