Dpto. Economía y Empresa

This paper analyzes the performance of various asset classes traded in the Spanish Capital Market. We compare the relative behavior of stock and corporate bond market indices, risk factors, and option-based expected market risk premia of the IBEX-35 at alternative horizons. We finally discuss the spillover volatility connections between the stock market portfolio, the general index of corporate bonds, the long-term government bond, and risk-neutral volatility and skewness. The stock market index is a net sender of volatility to the rest of asset classes, especially during the Great Recession and the Eurozone debt crises. The government bond is a net sender of volatility to corporate bonds and risk-neutral volatility and skewness. In fact, during stressed periods, the returns of the government bond have a positive exposure to the market stock return, which suggests that the Spanish long-term bond is a risky asset rather than being a hedging asset. This fact, together with the strong counter-cyclical behavior of the expected market risk premium at any horizon, suggests that the Spanish corporations are badly affected during recessions with a negative impact on investment and output growth. It is not surprising how rapidly the Spanish economy deteriorates at the beginning of recessions. Note that the ultimate objective is to learn about the Spanish real economy through the lens of financial markets

This analysis addressed the potential systemic effects of guarantee requirements by central counterparties. Using data from the Spanish BME and German Eurex central clearing counterparties and controlling for tail risk and monetary and real activity variables, we found a significant, positive, and robust relationship between the guarantees required and the spillover or total connectedness effects among nine financial assets in the Spanish, United States, and German capital markets. Bad economic times also had a significant incremental effect on the relationship between guarantees and connectedness. These findings are robust across central clearing corporations and futures contracts in the IBEX 35, DAX 30, and EURO STOXX 50. In addition, an event study indicated that global spillover effects tend to increase before central counterparty institutions raise their guarantees. The implication of the findings is that European clearing institutions react to rather than cause bad economic times.

Macro-finance asset pricing models provide a rationale for connectedness dynamics between equity and Treasury risk-neutral volatilities. In this paper, we study the total and directional connectedness, in the sense of spillover effects, between risk-neutral volatilities from the equity and Treasurymarkets. In addition, we analyze the economic and monetary drivers of connectedness dynamics. Most of the time, but especially during bad economic times, we find significant net spillovers from Treasury to equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government fixed income market.

Institutional investors often have to decide which strategy to use across international business cycles. This is especially important during economic and financial crises. The exogenous nature of the outbreak of the dramatic COVID-19 crisis represents a unique opportunity to understand the performance of risk factors during severe economic times across international stock markets. Even more important is to analyze how these factors behave across very different economic crises, such as the COVID-19 pandemic and the Great Recession. Although, the overall results show that the momentum and quality factors are the winners, with the value factor as the loser, this research also reports different responses of factors across crises and countries. The size, value, and defensive factors tend to perform worse during the health crisis relative to the Great Recession, while the momentum factor shows a poor performance during the financial crisis, but a positive one during the outbreak of COVID-19. The quality factor is an extraordinary defensive factor in both crises. Similarly, this paper reports heterogeneous responses of option-implied expected market risk premia across alternative stock market indices, and between the Great Recession and the COVID-19 crisis.

El principal objetivo de este estudio es analizar la influencia que el compromiso (engagement) y la experiencia del consumidor tienen en la creación de valor de marca (brand equity) para el comercio detallista a través de su relación con la notoriedad y la lealtad. Las relaciones entre las variables contribuyen a la creación de lealtad, lo que, generando valor de marca para el detallista. El trabajo contribuye al estudio del compromiso del cliente, considerado como un concepto relativamente nuevo en marketing (Farhat et al., 2020). Se analiza la influencia que el compromiso y la experiencia ejercen sobre la notoriedad y lealtad en la creación de valor de marca para el comercio detallista.

This research analyzes the causes of the quality premium, one of the most intriguing and successful investment strategies in equity markets. While previous research has argued that psychological biases explain the performance of the quality minus junk factor, our paper analyzes a leverage constraint explanation within a rational risk-based framework. The quality factor is multidimensional in nature, which suggests that a combination of risk, frictions, and behavioral biases is a reasonable explanation. Once we incorporate margin requirements and liquidity restrictions, we find that tighter conditions result in a higher intercept and a lower slope for the empirically implemented capital asset pricing model when using 10 quality-sorted portfolios. Our paper shows that, indeed, not only behavioral biases explain quality, but also market frictions account for its performance.

Since engagement is a relatively new concept in the field of marketing and is not usually included when studying brand equity, this paper aims to analyze what role engagement has in its relationship with the creation of value for luxury brands. A theoretical model was specified and tested by confirmatory factor analysis. Hypothesis have been tested running a structural equations model. Each hypothesis has resulted to be significant. The conclusions obtained from the analysis of the data allow us to describe the effects that occur between the variables, being important for their management so that managers of the luxury companies can increase the value of their brands.

Strong brand equity is important for any business. Although the concept of brand equity has been studied in various fields, its analysis has not been as extensive in the retail sector. On the other hand, the analysis of engagement is gaining more importance in recent times. Customer engagement is an increasingly relevant and researched topic. However, studies that relate this concept to retail trade are not common. The present work aims to analyze the effect of engagement on the different components of retail brand equity. The a priori model considers the previous research and the proposed hypotheses. A Confirmatory Factor Analysis is performed, based on the data obtained through a structured questionnaire with closed questions and a 5-point Likert-type response scale. The study sample consists of 623 respondents. This study involved a conceptual model that includes the brand equity dimensions (awareness, perceived quality, image, perceived value, and loyalty) to gain the research goal. The hypothesized causal model relates the variables that make up brand equity and the engagement influence on them. The empirical analysis results showed that customer engagement positively affects all the components of the brand equity retailer (except its image), mainly concerning retailer awareness, loyalty, and perceived quality. The authors concluded that retailer awareness, loyalty towards the retailer, and retailer perceived quality are influenced by engagement. Consequently, it would be necessary for the retailer manager to pay special attention to creating actions that contribute to customers' engagement in the different areas of interaction with them, both online and at the physical point of sale. For future studies, the geographic space should be expanded, considering different regions or even countries and observing possible differences in the behavior of the interviewees.

This study analyzes the impact of perceived internal employability as a means to retain employees who possess human capital valuable for the company. Employees’ perceptions are used since these are the ones which determine attitudes and, therefore, predispositions to act, as well as adopted individual behaviors. Job satisfaction and organizational commitment are proposed as mediating variables in such relationship, since they have been mentioned in the literature as determinants when explaining employee behavior. Intention to quit job is used as dependent variable insofar as it is very complex to analyze effective employee turnover, which depends to a great extent on the opportunities offered by the labor market. The analysis is carried out through structural equations in a sample of 218 employees. The results show that internal employability does have a positive effect in a combined affective dimension of the job, and that this dimension has a negative impact on employees’ intention to quit their jobs. / Este estudio analiza el impacto de la empleabilidad interna percibida como un medio para retener empleados poseedores de capital humano valioso para la empresa. Se utilizan las percepciones de los empleados puesto que son estas las que determinan las actitudes y por lo tanto las predisposiciones para actuar, así como los comportamientos individuales adoptados. La satisfacción laboral y el compromiso organizativo se proponen como variables mediadoras de dicha relación, pues se han manifestado como determinantes en la literatura a la hora de explicar el comportamiento de los empleados. Como variable dependiente se utiliza la intención de renunciar al trabajo dado que es muy complejo analizar la rotación efectiva de los empleados, la cual depende en gran medida de las oportunidades que ofrece el mercado laboral. El análisis se lleva a cabo a través de ecuaciones estructurales en una muestra de 218 empleados. Los resultados muestran que la empleabilidad interna sí tiene un efecto positivo en una dimensión afectiva combinada del trabajo, así como esta última dimensión impacta negativamente en la intención de los empleados de renunciar a su trabajo. / Este estudo analisa o impacto da empregabilidade interna percebida como um meio de reter os funcionários com valioso capital humano para a empresa. As percepções dos funcionários são utilizadas, pois são elas que determinam atitudes e, portanto, predisposições para agir, bem como os comportamentos individuais adotados. A satisfação no trabalho e o comprometimento organizacional são propostos como variáveis mediadoras dessa relação, uma vez que foram mostrados como determinantes na literatura quando se trata de explicar o comportamento dos funcionários. A intenção de deixar o trabalho é usada como variável dependente, pois é muito complexa analisar a rotatividade efetiva dos funcionários, que depende em grande parte das oportunidades oferecidas pelo mercado de trabalho. A análise é realizada por equações estruturais em uma amostra de 218 funcionários. Os resultados mostram que a empregabilidade interna tem um efeito positivo em uma dimensão afetiva combinada do trabalho, assim como essa última dimensão afeta negativamente a intenção dos funcionários de deixar o emprego.