Belen Nieto

University of Alicante

Campus de San Vicente

Carretera San Vicente del Raspeig

San Vicente del Raspeig, Alicante 03690

Spain

SCHOLARLY PAPERS

9

DOWNLOADS

965

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

Correlation between Individual Stock and Corporate Bond Returns

Number of pages: 53 Posted: 29 Jan 2014
Belen Nieto and Rosa Rodríguez
University of Alicante and Universidad Carlos III de Madrid - Department of Business Administration
Downloads 423 (132,163)
Citation 2

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individual corporate bonds, stock–bond return correlation, idiosyncratic risk, economic cycles

2.

Screening Rules and Portfolio Performance

Number of pages: 42 Posted: 06 Mar 2018 Last Revised: 19 Apr 2022
Angel Leon, Lluis Navarro and Belen Nieto
Universidad de Alicante, CaixaBank and University of Alicante
Downloads 152 (363,719)

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Performance Measure, Ranking, Stochastic Dominance, Skewness

3.

Measuring Time-Varying Economic Fears with Consumption-Based Stochastic Discount Factors

Number of pages: 38 Posted: 26 Jul 2007
Belen Nieto and Gonzalo Rubio
University of Alicante and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 106 (479,465)

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Stochastic discount factor, economic fears, distance between probability measures, volatility of stochastic discount factor, consumption

4.

Liquidity and Corporate Debt Market Timing

Number of pages: 39 Posted: 28 May 2014 Last Revised: 08 Oct 2014
Marina Balboa and Belen Nieto
University of Alicante - Department of Financial Economics and University of Alicante
Downloads 100 (499,461)

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corporate bonds issuances, liquidity, market timing, multi-way cluster, panel data, rating

5.

Illiquidity Linkages Between Individual Stocks and Corporate Bonds

Number of pages: 23 Posted: 22 Nov 2022
Universidad Complutense de Madrid (UCM) - Faculty of Economics and Business Administration, Bard College - The Levy Economics Institute and University of Alicante
Downloads 58 (680,642)

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individual illiquidity, stocks, corporate bonds, firm risk, panel estimation

6.

Market-Wide Illiquidity and the Distribution of Non-Parametric Stochastic Discount Factors

International Review of Financial Analysis, Forthcoming
Number of pages: 52 Posted: 04 Aug 2022 Last Revised: 03 Apr 2023
Universidad de Alicante, University of Alicante, Universidad de las Islas Baleares and Universidad CEU Cardenal Herrera
Downloads 58 (680,642)

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Market-wide illiquidity; non-parametric stochastic discount factor; volatility, skewness, and kurtosis of the model-free stochastic discount factor, market realized volatility; high dimensional data estimation

7.

The Exposure of Treasury Bond Returns to Stock Market Returns the Cases of the U.S. And Spain

Number of pages: 48 Posted: 24 Jul 2023
affiliation not provided to SSRN, University of Alicante and affiliation not provided to SSRN
Downloads 36 (826,753)

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Treasury bond market betas, output growth, inflation, interest rates, growth-inflation correlation, growth-interest rate correlation, debt-to-GDP ratio

8.

The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. And Spain

Number of pages: 51 Posted: 09 May 2024
Universitat Jaume I de Castelló, affiliation not provided to SSRN and University of Alicante
Downloads 18 (992,728)

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Treasury bond market betas, output growth, interest rates, growth-inflation correlation, growth-interest rate correlation, debt-to-GDP ratio

9.

The Exposure of Treasury Bond Returns to Stock Market Returns: The Cases of the U.S. And Spain

Number of pages: 51 Posted: 22 Mar 2024
affiliation not provided to SSRN, University of Alicante and affiliation not provided to SSRN
Downloads 14 (1,034,870)

Abstract:

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Treasury betas, inflation, interest rates, debt-to-GDP ratio.