Examinando por Autor "Alonso-Conde, Ana B."

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Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion
(Elsevier, 2023) Lago-Balsalobre, Rubén; Rojo-Suárez, Javier; Alonso-Conde, Ana B.
Building on recent research that highlights the importance of macroeconomic volatility and ambiguity aversion in explaining the dynamics of stock returns, in this paper we propose a dynamic asset pricing model that simultaneously accounts for stochastic macroeconomic volatility and ambiguity, assuming that investors deal with uncertainty about the mechanics of macroeconomic fluctuations using first-release consumption and revisions to aggregate consumption on vintage data. Our results show that the proposed model captures a large fraction of the crosssectional variation of excess returns for a wide range of market anomaly portfolios. Furthermore, while the price of risk for ambiguity is positive and significant for the vast majority of assets under study, macroeconomic volatility yields ambiguous outcomes, although it significantly increases the explanatory power of the model for specific assets. Our results suggest that macroeconomic volatility and ambiguity complement each other in explaining the cross-sectional behavior of stock returns.
Does sustainability improve financial performance? An analysis of Latin American oil and gas firms
(Elsevier, 2023) Rojo-Suárez, Javier; Alonso-Conde, Ana B.; Gonzalez-Ruiz, Juan David
The growing concern about environmental, social, and governance (ESG) issues raises questions about the presence of financial incentives that naturally offset —at least partially— the higher operating costs stemming from ESG-related investment policies in the oil and gas sector, which is characterized by its strong environmental impact. Building on Campbell and Shiller's present value decomposition and using an instrumental variables-based methodology to address measurement errors in ESG scores, in this paper we analyze the effects of corporate ESG performance on expected dividend growth and discount rates for oil and gas firms in Latin America (Latam). On the one hand, our results suggest that ESG policies developed by oil and gas firms in Latam are related to lower medium-term discount rates. On the other hand, ESG practices adopted by oil and gas companies are also related to lower future dividend growth. These findings suggest that the lower discount rates resulting from active ESG policies at least partially offset the costs derived from the green transition of the oil and gas sector in Latam, meaning that the efforts made by oil and gas companies to improve their ESG performance, together with public initiatives aimed at covering a portion of the costs derived from corporate ESG policies, can make some unexploitable oil reserves in Latam become viable.
Have shifts in investor tastes led the market portfolio to capture ESG preferences?
(Elsevier, 2023) Rojo-Suárez, Javier; Alonso-Conde, Ana B.
Based on the growing concern about ESG issues in financial markets, in this paper we implement a generalization of the model proposed by Pástor, Stambaugh, and Taylor (2021), which predicts that when the market portfolio is not ESG-neutral and its greenness level increases, the market factor and the ESG factor become redundant, allowing the classic CAPM to account for ESG characteristics. Using market data series for the U.S. equity market, our results show that brown assets typically have negative ESG betas, the price of ESG risk is negative and progressively trends towards zero over time, and the explanatory power of the market portfolio on the ESG factor increases over time as the greenness level of the market portfolio improves. In any case, the period coinciding with the emergence of the COVID-19 pandemic implies a reversal of these trends. Our results suggest that efforts by public authorities to promote improvements in corporate ESG performance translate into lower cost of capital, especially in periods of overall declines in corporate ESG performance.
Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences
(Elsevier, 2023) Rojo-Suárez, Javier; Alonso-Conde, Ana B.; Lago-Balsalobre, Rubén
Assuming an environment with rational and informed agents, where investors exhibit recursive preferences and make their economic decisions embedding industry bubbles into their information sets, we study to what extent unexpected consumption shocks can proxy for revisions in expected consumption growth and, consequently, explain the cross-sectional behavior of stock returns. Our results show that unexpected consumption shocks help forecast future consumption growth, allowing the Epstein-Zin model to satisfactorily explain the equity risk premium of different anomaly portfolios on the Tokyo Stock Exchange. Furthermore, our model provides a better understanding on the dynamics of consumption and its relationship to stock returns.
Proceedings of the International Conference on Sustainable Finance (ICSF22)
(Servicio de Publicaciones de la Universidad Rey Juan Carlos, 2022) Alonso-Conde, Ana B.; Rojo-Suárez, Javier; Vassallo, José Manuel
Sustainable investment is experiencing a boom characterized by high growth rates in activity and firm support from investors and issuers, even under the uncertainty derived from the COVID19 pandemic. Simultaneously, a lot of regulation related to climate change and sustainable principles is being developed, which is also directly affecting the financial sector. This environment implies changes in the business model of companies, meaning that the entire value chain is progressively integrating ESG objectives. This fact emphasizes the importance of environmental risks, as well as social and governance issues, in order to properly manage them and ensure the necessary balance. Importantly, the transition towards a sustainable economy, which considers the reduction of environmental damage and translates into positive effects on the environment and climate, requires large investments and innovation in infrastructure, as well as greater progress in the development of analytical tools that allow a better evaluation of specific financing projects. Furthermore, apart from policies promoting renewable energies and other sustainable investments, it should be noted that transport accounts for almost one third of the European Union's greenhouse gas emissions and that the decarbonization of the mobility sector is one of its main objectives. Therefore, in addition to important topics directly related to sustainability, such as ESG, green financing, operational risks or renewables, the conference has specific sessions on infrastructure management and financing such as transport. Hence, ICSF22 aims to analyze investment and financing policies that account for the ESG factors of economic activity and investments. In this framework, the conference discussed research on ESG, renewable energies and their impact on economic growth, the financing of the transition to a green economy through innovative financial mechanisms such as green bonds, the financing of renewable energy, transport and other essential infrastructures, the management of environmental, social and governance risks, among other related topics. There was also a debate on the implementation of these issues in the curricula of higher degree students. Remarkably, sustainable finance is being strongly promoted at the institutional, scientific, and academic levels. On this basis, the challenge of this Conference is both to create a forum for the discussion of changes and trends in this context, as well as to promote the exchange and dissemination of scientific knowledge in research on sustainable economics, green finance and infrastructure development.
Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms
(Elsevier, 2022) Rojo-Suárez, Javier; Alonso-Conde, Ana B.
Despite the general trend to include ESG scores in the evaluation of firm performance, the effect of ESG policies on the market value of companies is currently a subject of debate. In this paper we propose a dynamic version of Ohlson’s model under timevarying discount rates consistent with the Campbell–Shiller present value identity. This enables differentiation between short term and long term implications of ESG performance on value creation, as well as income and substitution effects. Our results suggest that, although ESG policies imply almost no effects in the short-run, at longer horizons, better ESG performance results in lower value creation, mainly due to substitution effects channeled to market value via higher long-term discount rates. Our results are consistent with ESG strategies implying transitory effects on the cost of equity and the market value, which may result from time-varying investor preferences, long-term reputational penalties, or market misvaluation.
The role of shifts in the effective tax rate on the cost of equity
(Elsevier, 2024-03) Rojo-Suárez, Javier; Alonso-Conde, Ana B.
We propose an asset pricing model conditional on the effective tax rate, which allows us to explicitly estimate the impact of shifts in corporate taxes on the expected returns of equities. We evaluate the model using Spanish macro and market data to estimate the time-varying average corporate tax rate and average returns of different anomaly portfolios. Our results show that changes in corporate taxation are strongly explanatory of future stock returns and, consequently, the cost of capital of firms. Furthermore, uncertainty about the future tax burden generally translates into higher expected returns, which results in a lower value of firms
Trade integration and research and development investment as a proxy for idiosyncratic risk in the cross-section of stock returns
(Elsevier, 2021) Galicia-Sanguino, Lucía; Rojo-Suárez, Javier; Alonso-Conde, Ana B.; López-Pérez, M. Victoria
Although consumption-based asset pricing constitutes a solid body of work for the purpose of relating asset prices and macroeconomics, most empirical tests put into question the representative investor perspective. Furthermore, most approaches accounting for untraded risks, such as the Constantinides-Duffie model, face the problem of correctly quantifying idiosyncratic risk. In this paper we exploit the strong relationship of income inequality with trade openness and research and development (R&D) investment to proxy the cross-sectional variance of consumption growth by the growth rate of imports plus exports (trade openness) and the growth of the domestic expenditure in R&D. Moreover, we use these variables as a part of the information set used by investors to determine the unconditional version of the conditional consumption-capital asset pricing model (CCAPM). Our results show that both trade openness and R&D investment allow the linearized version of the Constantinides-Duffie model and the conditional CCAPM to greatly outperform the classic CCAPM for different sorts of stock portfolios, contributing significantly to reducing pricing errors. Hence, our results constitute a step forward in the attempt to relate asset prices and income inequality in a tractable way.