Ciber_Research
Financial Markets and Investors
Click on Ciber Research Highlights
This research area of Ciber evaluates the return to the common good of financial markets and institutional and retail investors.
First, we reveal the impact of algorithmic trading (AT) and Artificial Intelligence in financial markets and the decision-making process in financial institutions.
We also study whether institutional investors show similar behavioural patterns to less sophisticated investors. We extend this comparison to Socially Responsible Investment (SRI) funds and their conventional counterparts in the mutual fund industry. Thus, we analyse the main behavioural biases previously documented for conventional investors, both institutional and retail.
Finally, we aim to determine to what extent the institutional portfolios support the financial inclusion of all investors regardless of gender, literacy, income level, age, etc…
Selected Publications
- Andreu, L., Gimeno, R. and Serrano, M. (2023). Family competition via divergence in the trading of funds, Finance Research Letters, 52, 103548.
- Fleta-Asín, J., and Muñoz, F. (2023). Institutional distance and US-based international mutual funds’ financial performance, Finance Research Letters, 51, 103412.
- Gimeno, R., Andreu, L., and Sarto, J.L. (2022). Fund trading divergence and performance contribution, International Review of Financial Analysis, 83, 102221.
- Alda, M. (2021). The dilemma between fund-style consistency and active management over the economic cycle. Evidence from pension funds. International Journal of Finance and Economics, 26(2), 2219-2240.
- Andreu, L., Ortiz, C., and Sarto, J.L. (2020). Disposition effect in fund managers. Fund and stock-specific factors and the upshot for investors, Journal of Economic Behavior and Organization, 176, 253-268.
- Gimeno, R., Loban, L., and Vicente, L. (2020). A neural approach to the value investing tool F-score, Finance Research Letters, 37, 101367.
- Lobán, L., Sarto, J.L., and Vicente, L. (2020). Eurozone regulation bias in the active share measure, International Review of Financial Analysis, 72, 101564.
- Andreu, L., Serrano, M. and Vicente, L. (2019). Efficiency of mutual fund managers: A slacks-based manager efficiency index, European Journal of Operational Research, 273, 1180-1193.
- Alda, M. (2018). Pension fund manager skills over the economic cycle: the (non-) specialization cost, The European Journal of Finance, 24(1), 36-58.
- Alda, M. (2018). A strategic fund family business decision: The pension fund liquidation, Journal of Business Research, 91, 248-265.
- Andreu, L., and Zaremba, A. (2018). Paper profits or real money? Trading costs and stock market anomalies in country ETFs, International Review of Financial Analysis, 56, 181-192.
- Muñoz, F., and Vicente, R. (2018). Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?, Journal of Empirical Finance, 45, 181-193.
- Alda, M. (2017). The relationship between pension funds and the stock market: Does the aging population of Europe affect it? International Review of Financial Analysis, 49, 83-97.
- Andreu, L., and Puetz, A. (2017). Choosing two business degrees versus choosing one: What does it tell about mutual fund managers’ investment behavior?, Journal of Business Research, 75, 138-146.
- Sánchez-González, C.A., Sarto, J.L., and Vicente, L. (2017). The efficiency of mutual fund companies: Evidence from an innovative network SBM approach, Omega-International Journal of Management Science, 71, 114-128.
- Andreu, L., and Sarto, J.L. (2016). Financial consequences of mutual fund mergers, European Journal of Finance, 22 (7), 529-550.
- Alda, M., Vargas, M., and Ferruz, L. (2015). Perverse timing or biased coefficients?, Quantitative Finance, 15(1), 171-183.
- Ortiz, C., Ramírez, G., and Vicente, L. (2015).Mutual fund trading and portfolio disclosures, Journal of Financial Services Research, 48(1), 83-102.
- Andreu, L., Sarto, J.L., Vicente, L. (2014). Efficiency of the strategic style of pension funds: an application of the variants of the slacks based measure in DEA, Journal of the Operational Research Society, 65(12), 1886-1895.
- Andreu, L., Swinkels, L. (2012). Performance evaluation of balanced pension plans, Quantitative Finance, 12(5), 819-830.
- Ortiz, C., Sarto, J.L., Vicente, L. (2012). Portfolios in disguise? Window dressing in bond fund holdings, Journal of Banking and Finance, 36(2), 418-427.
- Vicente, L., Ortiz, C., Andreu, L. (2011). Is the Average Investor Smarter than the Average Euro?, Journal of Financial Services Research, 40(3), 143-161.