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Dr. Miguel Angel Martin Valmayor
Universidad Francisco de Vitoria
+1
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10Years (2017-Present)
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Representative Publications
View All Publications17 April 2023 in Resources Policy
Journal Article
MVMiguel Angel Martin Valmayor
Miguel Angel Martin Valmayor
Luis Alberiko Gil-Alana
Juan Infante1 September 2020 in Energy Strategy Reviews
Journal Article
LGLuis A. Gil-Alana
Luis A. Gil-Alana
MVMiguel Angel Martin Valmayor
Miguel Angel Martin ValmayorPWPeter Wanke
Peter Wanke
Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.
12 March 2021 in Journal of Sustainable Finance & Investment
Journal Article
TDTeresa de Dios-Alija
Teresa de Dios-Alija
MCMarta del Río Caballero
Marta del Río Caballero
Luis Alberiko Gil-AlanaMVMiguel Angel Martin Valmayor
Miguel Angel Martin ValmayorIn this paper, we examine the issue of sustainability in the stock markets by comparing various statistical properties of the classical stock market indices against the recent sustainable ones. Weekly and monthly data from Dow Jones, Eurostoxx and Hang Seng indices were collected, and fractional integration methods were used to analyze differences in terms of persistence and mean reversion for both sustainable and common indices. The results indicate high levels of persistence in all cases, observing almost no differences across the markets. Long memory is also detected in the absolute and squared returns in both markets.
Journal Article
MVMiguel Angel Martin Valmayor
Miguel Angel Martin ValmayorFVFundación Universidad de Vitoria
Fundación Universidad de VitoriaLuis Alberiko Gil-AlanaIn this paper, we examine the concept of the social balance sheet (SBS) and its evolution in corporate social reports that large companies have to issue today in their yearly statements. The SBS allows companies to evaluate their compliance with corporate social responsibility during a specific period and quantify its level of accomplishment. From a methodological perspective, this research analyzed the information that should be contained in the SBS report comparing economic value added (EVA) with other social value added statements (SVA), analyzing also in detail the case of Spain’s Banco Bilbao Vizcaya Argentaria (BBVA) bank as one of the pioneers in offering social reports. Along with this study, their metrics following EVA were recalculated and a more academic SVA statement was proposed for this specific case.
22 February 2024 in Ecological Indicators
Journal Article
Juan InfanteLuis Alberiko Gil-AlanaMVMiguel Angel Martin Valmayor
Miguel Angel Martin Valmayor5 March 2023 in Stochastic Environmental Research and Risk Assessment
Journal Article
LGLuis A. Gil-Alana
Luis A. Gil-Alana
MVMiguel Angel Martin Valmayor
Miguel Angel Martin ValmayorCHCristina Hube-Antoine
Cristina Hube-Antoine
This paper deals with the study of stationarity and mean reversion in the temperature anomalies series in the southwestern American cone. In particular, monthly temperatures in 12 Chilean meteorological stations were studied (from the 1960’s to nowadays), examining if temperature shocks are expected to remain in the long term or if they are reversible. The results clearly show a significant relationship between the latitude, climate, and the order of integration of the temperatures. The orders of integration tend to be smaller in colder southern parts, therefore impacts of climate change are expected to be more reversible. However, in northern desert areas the orders of integration are larger than 0.5, thus impacts are expected to be maintained for a longer time.
About Me
Miguel Ángel Martín Valmayor is a full-time professor of Finance and Accounting at Universidad Francisco de Vitoria in the Faculty of Law and Business Administration and part time professor at Universidad Complutense de Madrid in the Faculty of Economy and Business Administration, being specialized in topics related with financial management, corporate valuation and accounting. Additionally, he complements his faculty activities with the management of the family office Abing and regularly collaborate with Banque Degroof Petercam in advisory activities of SICAVs and the management of entrepreneur projects.
He has completed his degree at Universidad Politécnica de Madrid in the program of Mathematics and Artificial Intelligence in 2011, and an Executive MBA at IESE Business School in 2005. He is also principal investigator of a UFV project based on Social Responsibility and Climate Change in cooperation with UNAV (Universidad de Navarra) and Finnis Terrae University, having published recent articles related to the persistence in the market risk premium, or the relationship between energy consumption and prices in Spain and Portugal.