Search results for "Metrics"
showing 10 items of 5055 documents
Emergence of statistically validated financial intraday lead-lag relationships
2014
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved market efficiency, we investigate whether statistically significant lagged correlation relationships exist in financial markets. We introduce a numerical method to statistically validate links in correlation-based networks, and employ our method to study lagged correlation networks of equity returns in financial markets. Crucially, our statistical validation of lead-lag relationships accounts for mult…
The Border Effect in Spain
2005
This paper analyses the border effect in Spain using a unique dataset on intranational trade flows over the period 1995–98. The results indicate that, after controlling for market size and distance, Spanish regions trade around 22 times more with the rest of Spain than they do with OECD countries. Moreover, the size of the Spanish bias is lower in the case of the Spanish regions’ exports than in the case of imports, although the difference is not statistically significant in most cases. Finally, the border effect is not uniform across Spanish regions.
Is the Border Effect an Artefact of Geographical Aggregation?
2011
The existence of a large border effect is considered as one of the main puzzles of international macroeconomics. We show that the border effect is, to a large extent, an artefact of geographic concentration. In order to do so we combine international flows with intra-national flows data characterised by a high geographic grid. At this fine grid, intra-national flows are highly localised and dropping sharply with distance. The use of a small geographical unit of reference to measure intra-national bilateral trade flows allows to estimating correctly the negative impact of distance on shipments. When we use sector disaggregated export flows of 50 Spanish provinces in years 2000 and 2005 split…
On site consolidation of burnt and partially charred wood in dry conditions
2011
Abstract Forty years ago in a xx th-century church in Torino, a small fire partially burned some of the decorative external boards of the sound-box of the organ. The focus of this present work was to find a treatment able to consolidate partially burnt wood in dry conditions, in which the external charred layer would be lost if not well preserved because of its incoherence. The product had to be applied onsite on an architectural structure intended to be reused again (and not simply exhibited). This circumstance is rarely encountered in the conservation of wooden Cultural Heritage. The efficacy of treatments was evaluated on the basis of a suitable and original experimental methodology, whi…
Efectos del desarrollo sostenible percibido por el consumidor. Una propuesta de modelo de hipermercados en Ecuador
2020
Resumen El objetivo de este trabajo fue analizar la incidencia del desarrollo sostenible sobre la cadena de efectos: valor percibido - capital de marca - lealtad. Para ello, se propone un modelo teórico de relaciones que se contrasta a partir de una muestra de 317 clientes de hiper mercados en Ecuador. Los resultados, aplicando una metodología exploratoria y confirmatoria, combinada con regresión por mínimos cuadrados parciales, mostraron que tanto las acciones de desarrollo sostenible como el valor percibido son pilares maestros sobre los que se puede apoyar la estrategia minorista. Ambas se muestran como variables clave por su naturaleza, en cuanto son multidimensio nales, y por su alcanc…
Executive remuneration determinants: New evidence from meta-analysis
2019
This meta-analysis takes stock of 121 C.E.O. pay studies published between 1998 and 2018 with the objective of identifying the main drivers of C.E.O. pay from a global perspective and contributing to the agency vs managerial debate on this ground. The meta-results disclose a positive C.E.O. pay–performance correlation (the highest correlation coefficient corresponds to Earnings per share with a 34%) as the agency theory prescribes and the governance policies promote. However, firm size still predominates as the main driver of C.E.O. pay (correlation coefficient is around 44%) according to managerial premises. Moreover, our results reconcile both approaches because results of the meta-regres…
How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
2017
This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after…
Do sovereign ratings cause instability in cross-border emerging CDS markets?
2020
We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which i…
Credit risk transmission in the European banking sector: the case of the subprime and Eurozone debt crises
2014
El objetivo del presente trabajo es analizar en profundidad la transmisión del riesgo de crédito, aproximado por los CDS spreads, en el sector bancario europeo durante el periodo 2006-2012, intentando dar respuesta a diversas cuestiones: (i) ¿existe evidencia de transmisión del riesgo de crédito entre las entidades financieras europeas de la Eurozona y las que no pertenecen a dicha zona?, (ii) ¿es esta transmisión bidireccional o unidireccional?, (iii) concretamente, ¿qué países han liderado dicha transmisión?, y (iv) ¿cómo se ha visto afectada dicha transmisión con las recientes crisis financieras? Los resultados indican un cambio significativo en la transmisión del riesgo de crédito con e…
Self-Reported Cognitive Failures
2010
Investigated measurement models of self-report measures of cognitive failures in 5 studies (total of 3,122 participants aged 14-70). The Cognitive Failure Questionnaire (CFQ) is a well-known and frequently used self-report measure of cognitive lapses and slips (e.g., throwing away the candy bar and keeping the wrapper). Measurement models of individual differences in cognitive failures have failed to produce consistent results so far. Therefore, in the present studies, the CFQ is compared to measures of competing measurement models: a measure of identical measurement intention (Short Inventory of Minor Lapses, SIML), a neuroticism test, a questionnaire on functional and dysfunctional self-c…