Pilar Abad - Academia.edu (original) (raw)
Papers by Pilar Abad
Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by ... more Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis in the formation of interest rates. After testing and rejecting the Expectations Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. We then focus on characterizing some properties of realized, ex-post term-premia, and provide explanatory variables for them. We pay particular attention to the extent to which the levels of market risk, default risk and liquidity risk explain the time evolution of risk premia at different maturities.
Las listas de espera son el mecanismo habitual de racionamiento de la demanda en los sistemas nac... more Las listas de espera son el mecanismo habitual de racionamiento de la demanda en los sistemas nacionales de salud. Cuando no existe urgencia médica, el criterio habitualmente utilizado para su gestión es el tiempo de espera. Aspectos como la intensidad de los síntomas o las limitaciones sociales que la enfermedad le provoca al paciente no son tenidas en cuenta. En este artículo se propone la gestión de la listas de espera de prostatectomía a través de un sistema de puntos basado en las preferencias sociales. Los resultados muestran que tanto las variables clínicas como las variables sociales son importantes a la hora de priorizar pacientes que esperan esta intervención. Asimismo, se detectan algunas diferencias entre las preferencias de los pacientes y de la población general.
We characterize the behavior of volatility across the term structure of interest rate swaps in th... more We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US dollar). For that purpose, we use a modified GARCH-in mean model allowing for seasonal patterns in the mean and variance of interest rates and asymmetric responses to interest rate surprises. We find daily interest rate changes a) to be predictable, following autoregressive structures, and b) to display weekly seasonality. Additionally, interest rate volatility is shown to a) decrease with maturity, b) be very persistent and hence, somewhat predictable, which is important when pricing derivatives on swap products, c) show a tendency to be lower at the beginning of the week, increasing later on, and d) to respond asymmetrically to interest rate innovations. These properties could clearly be used in risk management with interest rate swaps. Finally, we find significant transmission of volatility from the very short-term to longer-term interest rates. This evidence supports the importance attributed by most central banks to achieving stability in short-term interest rates.
En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los p... more En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los precios de las acciones. Este tema no ha sido analizado previamente en el mercado de valores español. Se analizan los cambios en la calificación del riesgo de la deuda otorgada por agencias como Moody’s o Standard and Poor’s, entre otras En un
![Research paper thumbnail of [Rationing through waiting lists: measuring improvement and possible implications]](https://attachments.academia-assets.com/42892887/thumbnails/1.jpg)
](Cadernos de Saúde Pública
This paper analyzes the main policy initiatives for improving waiting lists in health care. The a... more This paper analyzes the main policy initiatives for improving waiting lists in health care. The authors begin by describing strategies to reduce either waiting time or length of the list. They distinguish between demand-side and supplyside strategies. They proceed to discuss policies for improving the "quality" of waiting time. For each policy, they present both the expected effect and the indirect effects that can reduce its effectiveness for improving waiting list conditions.
Economic Notes, 2015
ABSTRACT Risk-averse investors consider the risk–return trade-off when determining their new posi... more ABSTRACT Risk-averse investors consider the risk–return trade-off when determining their new position after the release of relevant information. This paper analyses the informational content of rating change announcements, focusing on the joint effect they have on the risk–return binomial. Our purpose is to identify the main factors that signal which announcements are informative. To do so, we estimate a binomial logit model for the probability that credit rating announcements contain informational content. We analyse a sample of rating events affecting Spanish listed firms from 2000 to 2010. The empirical results reveal significant differences in informational content between positive and negative rating events. For both types of announcements, we observe higher informational content when agencies agree on the new level of solvency, whereas announcements regarding highly covered firms that operate in highly regulated sectors are less informative. Other factors such as the presence of previous rating refinements or trends in credit quality reveal different information depending on the direction of the rating event. Finally, we find that announcements after the crisis disclose less information, suggesting a loss of reputation among credit rating agencies.
The first two principal components in the vector of term structure slopes from IRS markets in eig... more The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error Correction models can be very fruitful for short and medium term slope
The Spanish Review of Financial Economics, 2014
Available online xxx JEL classification: G32 C14 C15 C22 Keywords: Value at Risk Volatility Risk ... more Available online xxx JEL classification: G32 C14 C15 C22 Keywords: Value at Risk Volatility Risk management a b s t r a c t
Abstract: In this paper we propose,a methodology,that let us to,calculate the variance and covari... more Abstract: In this paper we propose,a methodology,that let us to,calculate the variance and covariance matrix of a ,very large set of interest rate changes at a very low computational cost. The proposal uses the parametization of interest rates that underlies the model ,of Nelson and Siegel (1987) to estimate the yield curve. Starting with that model, we are able toobtain,the
This study analyzes the effects of six different credit rating announcements on systematic and un... more This study analyzes the effects of six different credit rating announcements on systematic and unsystematic risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an extension of the event study dummy approach that includes direct effects on beta risk and on volatility. We find effects in both kinds of risk, indicating that
International Review of Economics & Finance, 2014
ABSTRACT This study analyzes the effects of six different credit rating announcements on systemat... more ABSTRACT This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We used an extension of the event study dummy approach that includes direct effects on beta risk and volatility. We identified effects on both kinds of risk, indicating that rating agencies provide new information to the market. All types of rating announcements (upgrades/downgrades, reviews and outlook reports), whether positive or negative, have a significant impact on risks. Rating actions that indicate improvements in credit quality cause lower idiosyncratic risk. Positive outlook reports also cause lower systematic risk. Conversely, ratings announcements that indicate deteriorations in credit quality are linked to a rebalance of both types of risks, with a higher beta risk together with a lower diversifiable risk. The relevant factors that determine how the two kinds of risks react to rating changes are mainly characteristics of the effective rating changes. The 2007 global financial crisis increased the market’s sensitivity to these characteristics.
International Journal of Monetary Economics and Finance, 2012
We test whether or not different rating announcements contain pricing-relevant information and mo... more We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.
SSRN Electronic Journal, 2000
This study analyzes the effect of corporate bond rating changes over stock prices. We explore the... more This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's or FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results indicate that rating downgrades do not cause abnormal returns around the date of the announcement while upgrades cause significantly negative effect. This behavior reflect a redistribution of wealh behavior.
Revista Europea de Dirección y Economía de la Empresa, 2014
ABSTRACT This study analyzes the effects of six different credit rating announcements on systemat... more ABSTRACT This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We analyze announcement by the main rating agencies: Moody's, Standard & Poor's and Fitch. We apply an extension of the event study in a CAPM model. We find effects in both kinds of risk, indicating that rating agencies provide new information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and idiosyncratic risk, with lower effect in beta risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Moreover, the risk responses depend on the characteristics of the announcement, the issuer and the economic environment.
Cadernos de Saúde Pública, 2008
This paper analyzes the main policy initiatives for improving waiting lists in health care. The a... more This paper analyzes the main policy initiatives for improving waiting lists in health care. The authors begin by describing strategies to reduce either waiting time or length of the list. They distinguish between demand-side and supplyside strategies. They proceed to discuss policies for improving the "quality" of waiting time. For each policy, they present both the expected effect and the indirect effects that can reduce its effectiveness for improving waiting list conditions.
The influence of rating announcements on corporate debt market liquidity has been ignored for a l... more The influence of rating announcements on corporate debt market liquidity has been ignored for a long time. Based on an event study, this article examines the effects of the announcements of actual rating changes, outlook notices, and CreditWatch placements provided by Moody's, Standard and Poor's and Fitch on abnormal liquidity in the Spanish corporate debt market. Also, by means of cross-section regressions, we establish what factors determine the sign and intensity of the liquidity reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses.
En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en cartera... more En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en carteras de renta fija calculadas a partir de diferentes modelos empíricos multifactoriales de la estructura temporal de los tipos de interés (ETTI). Los modelos incluidos en la comparativa son tres: (1) modelos de regresión, (2) componentes principales y (3) paramétricos. Adicionalmente, se incluye el sistema de cartografía que utiliza Riskmetrics. Dado que el cálculo de las medidas VaR con dichos modelos requiere el uso de una medida de volatilidad, en este trabajo se utilizan tres medidas distintas: medias móviles exponenciales, medias móviles equiponderadas y modelos GARCH. Por consiguiente, la comparación de la precisión de las medidas VaR tiene dos dimensiones: el modelo multifactorial y la medida de volatilidad. Respecto a los modelos multifactoriales, la evidencia presentada indica que el sistema de mapping o cartografía es el modelo más preciso cuando se calculan medidas VaR (5%). Por ...
Spanish Economic Review, 2007
This study analyzes the effect of corporate bond rating changes by international agencies on stoc... more This study analyzes the effect of corporate bond rating changes by international agencies on stock prices. This topic has not yet been analyzed for the Spanish stock market, despite the growing importance of ratings in Spanish financial markets. On an efficient market, rating changes will only have an effect if they contain some new information. The results from an event study indicate that rating actions cause significant negative abnormal returns in issuing firms around the date of the announcement. This evidence indicates an informational effect related to downgrades, which supports the hypothesis that credit rating agencies provide information that may reduce the asymmetric information problem between firms and investors. In the case of upgrades, our results are compatible with a redistribution of wealth between bondholders and owners or with the reputation hypothesis.
Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by ... more Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis in the formation of interest rates. After testing and rejecting the Expectations Hypothesis, we present evidence supporting the existence of significant, time-varying risk premia. We then focus on characterizing some properties of realized, ex-post term-premia, and provide explanatory variables for them. We pay particular attention to the extent to which the levels of market risk, default risk and liquidity risk explain the time evolution of risk premia at different maturities.
Las listas de espera son el mecanismo habitual de racionamiento de la demanda en los sistemas nac... more Las listas de espera son el mecanismo habitual de racionamiento de la demanda en los sistemas nacionales de salud. Cuando no existe urgencia médica, el criterio habitualmente utilizado para su gestión es el tiempo de espera. Aspectos como la intensidad de los síntomas o las limitaciones sociales que la enfermedad le provoca al paciente no son tenidas en cuenta. En este artículo se propone la gestión de la listas de espera de prostatectomía a través de un sistema de puntos basado en las preferencias sociales. Los resultados muestran que tanto las variables clínicas como las variables sociales son importantes a la hora de priorizar pacientes que esperan esta intervención. Asimismo, se detectan algunas diferencias entre las preferencias de los pacientes y de la población general.
We characterize the behavior of volatility across the term structure of interest rate swaps in th... more We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US dollar). For that purpose, we use a modified GARCH-in mean model allowing for seasonal patterns in the mean and variance of interest rates and asymmetric responses to interest rate surprises. We find daily interest rate changes a) to be predictable, following autoregressive structures, and b) to display weekly seasonality. Additionally, interest rate volatility is shown to a) decrease with maturity, b) be very persistent and hence, somewhat predictable, which is important when pricing derivatives on swap products, c) show a tendency to be lower at the beginning of the week, increasing later on, and d) to respond asymmetrically to interest rate innovations. These properties could clearly be used in risk management with interest rate swaps. Finally, we find significant transmission of volatility from the very short-term to longer-term interest rates. This evidence supports the importance attributed by most central banks to achieving stability in short-term interest rates.
En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los p... more En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los precios de las acciones. Este tema no ha sido analizado previamente en el mercado de valores español. Se analizan los cambios en la calificación del riesgo de la deuda otorgada por agencias como Moody’s o Standard and Poor’s, entre otras En un
Cadernos de Saúde Pública
This paper analyzes the main policy initiatives for improving waiting lists in health care. The a... more This paper analyzes the main policy initiatives for improving waiting lists in health care. The authors begin by describing strategies to reduce either waiting time or length of the list. They distinguish between demand-side and supplyside strategies. They proceed to discuss policies for improving the "quality" of waiting time. For each policy, they present both the expected effect and the indirect effects that can reduce its effectiveness for improving waiting list conditions.
Economic Notes, 2015
ABSTRACT Risk-averse investors consider the risk–return trade-off when determining their new posi... more ABSTRACT Risk-averse investors consider the risk–return trade-off when determining their new position after the release of relevant information. This paper analyses the informational content of rating change announcements, focusing on the joint effect they have on the risk–return binomial. Our purpose is to identify the main factors that signal which announcements are informative. To do so, we estimate a binomial logit model for the probability that credit rating announcements contain informational content. We analyse a sample of rating events affecting Spanish listed firms from 2000 to 2010. The empirical results reveal significant differences in informational content between positive and negative rating events. For both types of announcements, we observe higher informational content when agencies agree on the new level of solvency, whereas announcements regarding highly covered firms that operate in highly regulated sectors are less informative. Other factors such as the presence of previous rating refinements or trends in credit quality reveal different information depending on the direction of the rating event. Finally, we find that announcements after the crisis disclose less information, suggesting a loss of reputation among credit rating agencies.
The first two principal components in the vector of term structure slopes from IRS markets in eig... more The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointegrated with these two factors. The implied Error Correction models can be very fruitful for short and medium term slope
The Spanish Review of Financial Economics, 2014
Available online xxx JEL classification: G32 C14 C15 C22 Keywords: Value at Risk Volatility Risk ... more Available online xxx JEL classification: G32 C14 C15 C22 Keywords: Value at Risk Volatility Risk management a b s t r a c t
Abstract: In this paper we propose,a methodology,that let us to,calculate the variance and covari... more Abstract: In this paper we propose,a methodology,that let us to,calculate the variance and covariance matrix of a ,very large set of interest rate changes at a very low computational cost. The proposal uses the parametization of interest rates that underlies the model ,of Nelson and Siegel (1987) to estimate the yield curve. Starting with that model, we are able toobtain,the
This study analyzes the effects of six different credit rating announcements on systematic and un... more This study analyzes the effects of six different credit rating announcements on systematic and unsystematic risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an extension of the event study dummy approach that includes direct effects on beta risk and on volatility. We find effects in both kinds of risk, indicating that
International Review of Economics & Finance, 2014
ABSTRACT This study analyzes the effects of six different credit rating announcements on systemat... more ABSTRACT This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We used an extension of the event study dummy approach that includes direct effects on beta risk and volatility. We identified effects on both kinds of risk, indicating that rating agencies provide new information to the market. All types of rating announcements (upgrades/downgrades, reviews and outlook reports), whether positive or negative, have a significant impact on risks. Rating actions that indicate improvements in credit quality cause lower idiosyncratic risk. Positive outlook reports also cause lower systematic risk. Conversely, ratings announcements that indicate deteriorations in credit quality are linked to a rebalance of both types of risks, with a higher beta risk together with a lower diversifiable risk. The relevant factors that determine how the two kinds of risks react to rating changes are mainly characteristics of the effective rating changes. The 2007 global financial crisis increased the market’s sensitivity to these characteristics.
International Journal of Monetary Economics and Finance, 2012
We test whether or not different rating announcements contain pricing-relevant information and mo... more We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.
SSRN Electronic Journal, 2000
This study analyzes the effect of corporate bond rating changes over stock prices. We explore the... more This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's or FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results indicate that rating downgrades do not cause abnormal returns around the date of the announcement while upgrades cause significantly negative effect. This behavior reflect a redistribution of wealh behavior.
Revista Europea de Dirección y Economía de la Empresa, 2014
ABSTRACT This study analyzes the effects of six different credit rating announcements on systemat... more ABSTRACT This study analyzes the effects of six different credit rating announcements on systematic and idiosyncratic risk in Spanish stocks from 1988 to 2010. We analyze announcement by the main rating agencies: Moody's, Standard & Poor's and Fitch. We apply an extension of the event study in a CAPM model. We find effects in both kinds of risk, indicating that rating agencies provide new information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and idiosyncratic risk, with lower effect in beta risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Moreover, the risk responses depend on the characteristics of the announcement, the issuer and the economic environment.
Cadernos de Saúde Pública, 2008
This paper analyzes the main policy initiatives for improving waiting lists in health care. The a... more This paper analyzes the main policy initiatives for improving waiting lists in health care. The authors begin by describing strategies to reduce either waiting time or length of the list. They distinguish between demand-side and supplyside strategies. They proceed to discuss policies for improving the "quality" of waiting time. For each policy, they present both the expected effect and the indirect effects that can reduce its effectiveness for improving waiting list conditions.
The influence of rating announcements on corporate debt market liquidity has been ignored for a l... more The influence of rating announcements on corporate debt market liquidity has been ignored for a long time. Based on an event study, this article examines the effects of the announcements of actual rating changes, outlook notices, and CreditWatch placements provided by Moody's, Standard and Poor's and Fitch on abnormal liquidity in the Spanish corporate debt market. Also, by means of cross-section regressions, we establish what factors determine the sign and intensity of the liquidity reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses.
En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en cartera... more En este trabajo se compara la precisión de diferentes medidas de Valor en Riesgo (VaR) en carteras de renta fija calculadas a partir de diferentes modelos empíricos multifactoriales de la estructura temporal de los tipos de interés (ETTI). Los modelos incluidos en la comparativa son tres: (1) modelos de regresión, (2) componentes principales y (3) paramétricos. Adicionalmente, se incluye el sistema de cartografía que utiliza Riskmetrics. Dado que el cálculo de las medidas VaR con dichos modelos requiere el uso de una medida de volatilidad, en este trabajo se utilizan tres medidas distintas: medias móviles exponenciales, medias móviles equiponderadas y modelos GARCH. Por consiguiente, la comparación de la precisión de las medidas VaR tiene dos dimensiones: el modelo multifactorial y la medida de volatilidad. Respecto a los modelos multifactoriales, la evidencia presentada indica que el sistema de mapping o cartografía es el modelo más preciso cuando se calculan medidas VaR (5%). Por ...
Spanish Economic Review, 2007
This study analyzes the effect of corporate bond rating changes by international agencies on stoc... more This study analyzes the effect of corporate bond rating changes by international agencies on stock prices. This topic has not yet been analyzed for the Spanish stock market, despite the growing importance of ratings in Spanish financial markets. On an efficient market, rating changes will only have an effect if they contain some new information. The results from an event study indicate that rating actions cause significant negative abnormal returns in issuing firms around the date of the announcement. This evidence indicates an informational effect related to downgrades, which supports the hypothesis that credit rating agencies provide information that may reduce the asymmetric information problem between firms and investors. In the case of upgrades, our results are compatible with a redistribution of wealth between bondholders and owners or with the reputation hypothesis.