Papers by Joan Montllor Serrats
Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS'... more Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS' PERFORMANCE INSIDE A PORTFOLIO:</b> <b>FROM CROSSED BETA TO THE NET RISK PREMIUM RATIO</b><b>Bosch-Badia et al., Cogent Economics & Finance (2016), 4: 1270251</b><b></b><b>http://dx.doi.org/10.1080/23322039.2016.1270251</b>
Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS'... more Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS' PERFORMANCE INSIDE A PORTFOLIO:</b> <b>FROM CROSSED BETA TO THE NET RISK PREMIUM RATIO</b><b>Bosch-Badia et al., Cogent Economics & Finance (2016), 4: 1270251</b><b></b><b>http://dx.doi.org/10.1080/23322039.2016.1270251</b>
18th Annual European Real Estate Society Conference, 2011
The aim of this paper is to analyze the types of financial assets and derivatives that are necess... more The aim of this paper is to analyze the types of financial assets and derivatives that are necessary to provide an adequate financing for real estate investments, and, at the same time, to control their risk. We begin with a theoretical analysis, and, next, we compare the conclusions we draw from it with the financial assets available in the United States and the European Union before and after the 2008 crisis. The central features of an adequate financing are summarized in: a) A fair distribution of the investment risk premium among the financing sources according to the risk they assume, b) A temporal matching between the expected investment income and financial payments. Furthermore, in a well functioning market of real estate financing, derivatives should play a crucial role in bringing the opportunity to hedge risk, and, thus, in trading and pricing it. Trading risk is crucial in order to build up an efficient market, i.e. a market the prices of which systematically approach values. To sum up, this paper aims to answer four questions: Which assets are necessary in order to finance properly real estate investments? Which derivatives should be available in order to trade the risk of real estate? Which of these assets can we find in the financial systems of United States and the European Union? Has the financial crisis of 2008 modified the set of financial instruments for real estate?
Real estate should be part of any well diversified portfolio. Its inclusion in an efficient portf... more Real estate should be part of any well diversified portfolio. Its inclusion in an efficient portfolio is justified by its expected return and its risk features, among which it becomes remarkable their low correlation with financial assets, especially with common stock. Nevertheless, its low liquidity when compared with financial assets, its maintenance and transaction costs require that real estate enables investors to expect an alpha that absorbs these specific costs. On this basis we apply the Treynor and Black model to study their proportion in a portfolio constituted by real estate and common stocks. This model analyses the optimal combination between undervalued assets and the market index. The proportion of real estate in the new portfolio can be studied as the outcome of the combination between its own features and the properties of the market index. We perform a sensitivity analysis between the values of real estate weight and its alpha, which, after realizing that the speci...
Real estate should be part of any well diversified portfolio. Its inclusion in an efficient portf... more Real estate should be part of any well diversified portfolio. Its inclusion in an efficient portfolio is justified by its expected return and its risk features, among which it becomes remarkable their low correlation with financial assets, especially with common stock. Nevertheless, its low liquidity when compared with financial assets, its operating and transaction costs require that real estate enables investors to expect an alpha that absorbs these specific costs. On this basis we apply the Treynor and Black model to study their proportion in a portfolio constituted by real estate and common stocks. This model analyses the optimal combination between undervalued assets and the market index. The proportion of real estate in the new portfolio can be studied as the outcome of the combination between its own features and the properties of the market index. We perform a sensitivity analysis between the values of real estate weight and its alpha, which, after realizing that the specifi...
En este articulo se revisan los instrumentos de inversion indirecta inmobiliaria en Espana, desde... more En este articulo se revisan los instrumentos de inversion indirecta inmobiliaria en Espana, desde la creacion en 1992 de los Fondos y Sociedades de Inversion inmobiliaria (FII y SII) hasta la creacion de la primera Sociedad de inversion del mercado inmobiliario (SOCIMI) en 2013. Se analizan las caracteristicas de los mismos y asimismo los motivos por los cuales estas figuras de inversion no han tenido mucha demanda hasta el momento, en comparacion con los REITs (Real Estate Investment Trusts), vehiculos tipicos de inversion inmobiliaria indirecta creados en los paises anglosajones.
Documents de Treball ( Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa ), 1996
Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS'... more Supporting information and underlying calculations for the article:<b>ANALYSING ASSETS' PERFORMANCE INSIDE A PORTFOLIO:</b> <b>FROM CROSSED BETA TO THE NET RISK PREMIUM RATIO</b><b>Bosch-Badia et al., Cogent Economics & Finance (2016), 4: 1270251</b><b></b><b>http://dx.doi.org/10.1080/23322039.2016.1270251</b>
☯ These authors contributed equally to this work.
Responsible People, 2019
The roots of Corporate Social Responsibility (CSR) lie in the sensitivity to environmental and so... more The roots of Corporate Social Responsibility (CSR) lie in the sensitivity to environmental and social sustainability. This sensitivity obviously includes corporate managers and must be developed throughout their education. This paper focuses on how to develop the sensitivity of business students to sustainability through an analysis of literary fiction. Literature is an excellent source for being confronted with human feelings and attitudes. The central goal is to associate human situations with the outcomes of cool calculations, and, furthermore, to relate them to behavioral finance. With this aim, this paper analyses two plays: Shakespeare’s The Merchant of Venice and Ibsen’s The Wild Duck. The Merchant of Venice presents an interesting interweaving of financial and social sustainability. We find in it an unregulated financial system in which lenders can freely decide the clauses of the contracts. Turning to the social side, the play shows a society dominated by the male of a dominant social class, against whom the racial and religious outcast Shylock, a Jew, plans revenge; while, in different ways, women try to overcome their secondary social role. After class discussions, students should be able to answer questions like: which social consequences do the lack of a fair financial regulation foster? How do pride, hate, and revenge create a barrier to social progress? The Wild Duck, in turn, can be taken as a metaphor of how humans cannot live confronted with nature. The environmental outrage (in reaction to the cutting down of the forest) that pervades the play and the tragedy that it creates are analyzed as the result of egotist management that puts aside environment and society. The Old Ekland’s last sentence, the forest has taken its revenge, summarizes the failure of men going against nature.
Theoretical Economics Letters, 2014
This paper studies Corporate Social Responsibility (CSR) from the viewpoint of social risk as par... more This paper studies Corporate Social Responsibility (CSR) from the viewpoint of social risk as part of reputational risk. We adopt the conception of social risk that includes the risks originated by environmental and social sustainability. Any risk involves hazards and opportunities. The success of its management consists of hedging the hazards and turning opportunities into value. CSR is the key for dealing with both goals. Opportunities can be identified through an accurate analysis that leads to discovering the unsatisfied needs contained in societal claims in general and in the private politics of Non Governmental Organizations (NGO) in particular. Bringing these opportunities into line with the corporate know-how and undertaking projects together with the stakeholders with whom synergy is possible enables corporations to create shared value. A direct hedging of social risk hazards is hardly impossible. A good corporate social image constitutes a sound hedging against social risk. We have associated to social image the concept of CSR capital which means the value created through CSR. On this basis, we analyze the meaning and implications of social failure using Leland's bankruptcy costs model. The quantification of the CSR capital may parallel the quantification of reputational capital about which several papers have been published. Combining the direct net present value created by a CSR expense with its tax savings and the savings it produces in the present value of the social failure costs, we estimate the total net present value created by these expenses. The analysis of social failure costs and the value created by social expenses is accompanied by a numerical illustration.
Theoretical Economics Letters, 2013
We analyze, from the viewpoint of value creation, the evolution of Corporate Social Responsibilit... more We analyze, from the viewpoint of value creation, the evolution of Corporate Social Responsibility (CSR) thought from Friedman critical view of CSR to Porter and Kramer "shared-value" proposition, emphasizing, at the same time, its parallelism with the evolution of asset valuation models from the viewpoint of common stocks value. On this basis, we show how CSR has adapted to value creation, the corporate goal that has substituted the old goal of profit maximization. A review of the studies about the impact of CSR on corporate financial performance complements this analysis.
The Engineering Economist, 2014
The relevance of corporate investment decisions lies in their impact on shareholder wealth. It no... more The relevance of corporate investment decisions lies in their impact on shareholder wealth. It not only depends on the investment project but also on the corporate dynamics that turns it into the sequence of shareholders’ capital contributions, dividends, and gross terminal value that constitutes the shareholders’ investment project (SIP). We develop a model to calculate the SIP cash flows and the values of its interim capitals following the average internal rate of return (AIRR) paradigm. The shareholders’ final value depends on two reinvestment rates that, respectively, capture the returns obtained by the retained cash flows and the dividends reinvested by shareholders. On this basis, we approach the analysis of value creation combining both reinvestment rates in the shareholders’ net present value (SNPV). This model enables us to obtain the AIRR of the SIP and a variant of it, the equity growth rate that embeds the impact of internal and external reinvestment on the shareholders’ final value.
Journal of Banking & Finance, 2014
This paper focuses on analyzing functional relationships among performance measures, centered on ... more This paper focuses on analyzing functional relationships among performance measures, centered on the adjusted differential risk premium between the asset and the benchmark and on Sharpe-1994 ratio. First, we develop a risk normalization procedure for variance and Aumann–Serrano riskiness which turns contradictory rankings into coherent ones, and combines the effects of correlation and outliers into the analysis. On this basis, we deduce functional connections among performance measures, arriving at a new indicator which expresses performance as the addition of three effects due to Sharpe ratio, correlation and outliers. We show it is a strictly increasing function of Homm–Pigorsch ratio.
Accounting and Finance Research, 2015
The central aim of this work is to find a method for rating the performance of stock market indic... more The central aim of this work is to find a method for rating the performance of stock market indices. Although stock market indices are the most frequent benchmark for portfolio performance measurement, there is no benchmark for them except its own history and other market indices. Comparing the present performance with the past or with other markets means to introduce the variables time and distance into the analysis, which leads to compare different contexts. This arouses the question whether we can measure the stock market performance putting aside time and distance. We find a positive answer by means of options that have the index as their underlying asset. Properly chosen, these options create thresholds that classify the performance level on each period according to a systematic scale. To this end, we develop an option based zero-investment strategy that interacts a long call and short put that capture the market risk premium at their maturity. The notional return on this strategy can be taken as a performance measure that enables us to rate the market performance according to four categories depending on its capacity of overcoming or not the cost of protecting a long position with a put or a short position with a call. We prove that our measure adds a new interpretation to the Sharpe ratio because it is quasi-proportional to it for the usual values of volatility. The paper includes an application to the historical performance of S&P 500 (1959-2013).
In financial markets, speculation is justified by its contribution to liquidity, hedging, and, if... more In financial markets, speculation is justified by its contribution to liquidity, hedging, and, if rationally done, adjusting price to value. Derivatives are essential for turning speculation into an element that contributes to an efficient market. Property assets have the distinctive feature of being both residential and productive assets and investment assets. This paper studies how speculation may contribute positively to the real estate market and does so by looking at it from the triple perspective of property, primitive financial assets, and derivatives. To answer this, the authors try to identify which assets are needed to achieve this end and how they can help to guide speculation towards efficiency. On this basis, we examine the development of derivatives on real estate indexes and the perspectives of their future evolution, including their impact on the real market.
Mathematics, 2020
We study the applicability of the half-normal distribution to the probability–severity risk analy... more We study the applicability of the half-normal distribution to the probability–severity risk analysis traditionally performed through risk matrices and continuous probability–consequence diagrams (CPCDs). To this end, we develop a model that adapts the financial risk measures Value-at-Risk (VaR) and Conditional Value at Risk (CVaR) to risky scenarios that face only negative impacts. This model leads to three risk indicators: The Hazards Index-at-Risk (HIaR), the Expected Hazards Damage (EHD), and the Conditional HIaR (CHIaR). HIaR measures the expected highest hazards impact under a certain probability, while EHD consists of the expected impact that stems from truncating the half-normal distribution at the HIaR point. CHIaR, in turn, measures the expected damage in the case it exceeds the HIaR. Therefore, the Truncated Risk Model that we develop generates a measure for hazards expectations (EHD) and another measure for hazards surprises (CHIaR). Our analysis includes deduction of the...
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Papers by Joan Montllor Serrats