2018 ISSUE 1

TÍTLE: RELATIONSHIP BETWEEN MUTUAL FUNDS AND HEDGE FUNDS PERFORMANCE IN DIFFERENT PERIODS
AUTHORS: Gerhard LECHNER, Benjamin FAUSTER
ABSTRACT: The hedge fund literature has already shown that hedge funds and mutual funds follow a different strategy. One result of the literature was that mutual funds herd into or out of stocks following the herd of hedge funds one quarter later. The aim of this paper is to find out whether herding behavior of mutual funds have changed after the financial crisis. Our paper compares mutual funds and equity hedge funds in general (not only large hedge funds). The hypothesis is that mutual funds are not herding to equity hedge funds as strong as before the crisis. We use OLS regressions and correlation analysis to test the aforementioned hypothesis. We found that the monthly returns of hedge funds and mutual funds have synchronized in developed markets after the financial crisis. Therefore, the argument that mutual funds herd hedge funds is at least not as strong as before. The improving effectiveness and price informativenes could be an explanation for this changing environment.
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TÍTLE: THE DEVELOPMENT OF SCALABLE BUSINESS MODELS AND THEIR IMPACT IN THE ECONOMIC AND SOCIAL ENVIRONMENT
AUTHORS: María Jesús GADEA, Francisco Javier RIBAL
ABSTRACT: At the present, the concept of ‘startup’ has been rapidly and globally spread. Startups are emerging companies with scalable business models, generally linked to innovation and technological developments, mass sales oriented and then designed to grow fast. The profitability derived from their development leads a large number of entrepreneurs and investors to participate towards their expansion. However, it is significant the number of startups that are dissolved each year, as only one out of ten emerging companies continue operative after three years of operation, which is mainly due to the value proposition and financial needs inherent to its development. Therefore, in order to promote their growth, several actors have been created, who represent currently the international entrepreneurial ecosystem. The aim of this article is not only to develop the concept of startup, but to study the evolution of investment and its geographical distribution, identifying those agents that have arisen in response to the expansion and development of these new companies.
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TÍTLE: SOCIALLY RESPONSIBLE INVESTMENT: A VIEW FROM THE SOCIAL RATING AGENCIES OF VIGEO-EIRIS AND MSCI ESG STATS
AUTHORS: Jairo Alexander GONZÁLEZ BUENO, Jairo NUÑEZ RODRIGUEZ
ABSTRACT: The concern of investors for environmental, social and corporate governance issues is giving rise to certain changes in the investment decision-making process. Given this situation, socially responsible investment has received the attention of practitioners and academics, and has reached a significant level of development in financial community in recent years. The main goal of this paper is to examine social rating methodologies developed by the two most renowned agencies worldwide: MSCI ESG STATS and Vigeo-Eiris.
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TÍTLE: CASE STUDY: MODEL FOR ECONOMIC LIFETIME OF PUBLIC CONSTRUCTION MACHINERY WITH ORDINARY LEAST SQUARES REGRESSION AND CROSS VALIDATION TECHNIQUES
AUTHORS: David POSTIGUILLO, Fco. Javier RIBAL, Ana BLASCO
ABSTRACT: The behavior of the value of productive assets can be analyzed from different perspectives. Currently, an analysis of the influence of the age of an asset on its asking price through access to a mass information volume, as well as the emergence of new technologies that allow complex computations to be carried out. The core of this work focuses on the analysis of the value of public works machinery and construction because this group of assets belong to companies in a sector that suffered a very negative decline in the evolution of their profits (because of the economic crisis started in 2007). Applying linear, exponential and potential regression models, the behavior of the asking price of assets based on their age is analyzed. Previously the database is processed in order to eliminate the outlier data using the technique of Median Absolute Deviation. Therefore, a basic depreciation rate (based solely on the passage of time) is presented, which is contrasted by the application of cross-validation techniques.
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TÍTLE: ANALYSIS AND CLASSIFICATION OF TECHNICAL ANALYSIS INDICATORS BY SUPPORT VECTOR MACHINES
AUTHORS: Javier OLIVER
ABSTRACT: The search for models which can accurately forecast the market trend has developed over the past decades. Technical indicators and oscillators are the most usually employed inputs in the prediction models. These inputs basically rely on prices and the evolution of the index itself, which may cause some problems like multicolinearity and autocorrelation, in the case of linear models, or overoptimization and noise, in the case of neural networks. This paper proposes filtering the inputs to be employed in the models. To this end, their impact on the forecast will be analysed. A support vector machine will be used to this end, in order to characterize both inputs (indicators and oscillators) and output (market trend). Doing this, it can be assessed whether the relationship between the different inputs and the market trend offers relevant information regarding the contribution of the inputs in the prediction process and whether this contribution remains constant over time. Those inputs will be selected, which obtain more stable forecasts in order to obtain more consistent predictions.
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TÍTLE: ANALYSIS OF TAX EVASION FROM THE INFORMAL MARKET THROUGH REAL OPTIONS AND GAME THEORY
AUTHORS: Paula Beatriz MORALES BAÑUELOS, Jorge SMEKE ZWAIMAN, Luis HUERTA GARCÍA
ABSTRACT: In accordance with Article 31, section IV, of the Political Constitution of the United Mexican States, it is established that "it is the obligation of Mexicans to contribute to public expenditures, whether of the Federation, of the Federal District or of the State and Municipality in which Reside, in the proportional and equitable manner provided by the laws." It should also be noted that this precept is based on the fact that this obligation considers compliance based on the principles of generality, equity, obligations and transparency in the destination of public spending. However, when citizens perceive that their contributions do not comply with what is established in the regulations in question, there is a so-called tax evasion. Which in accordance with Camargo (2005), that concept is defined "as the reduction of an amount of a tax produced within a country by those who are obliged to pay it do not, however, they do obtain benefits through a behaviour fraudulent." Based on this premise, the purpose of this study is to estimate in the best possible way the potential collection that could be obtained by the Federal Government, particularly from the payment of income tax by people who carry out transactions in the informal market, focusing on analysis on the citizens that are dedicated to the sale of merchandise in the markets on wheels, considering simultaneously the benefits that these people would obtain when paying this tribute. For this, 300 surveys were carried out, considering the answers, as well as the application of the Real Options methodology (Trigeorigis, 1999) and the Game Theory model (Mas- Collel, Whinston and Green, 1995), the estimation of the collection by expanding the tax base and the benefits in monetary terms at the moment these people enter the formal market.
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TÍTLE: THE ETHICAL INDEX FTSE4GOOD IBEX AS AN ALTERNATIVE FOR PASSIVE PORTAFOLIO STRATEGIES IN SPAIN
AUTHORS: María Dolores ESPINÓS-VAÑÓ, Fernando GARCÍA, Javier OLIVER
ABSTRACT: This paper compares the return obtained by two of the most important stock indices in Spain: the conventional index IBEX 35 and the ethical index FTSE4Good Ibex. The aim of the study is to check whether the screening process to select only socially responsible companies has a negative impact on the return by the ethical index. The results show that this is not the case, as the correlation between both indices is very high. This high correlation is due to the fact that both indices are composed by almost the same companies. This outcome releases the question of what could be the purpose of an ethical index which is so similar to the conventional one, even regarding companies' selection.
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