Dr. Dacio Villarreal-Samaniego
Economics and Managerial Sciences, National Technological Institute of Mexico, Mexico City, Ciudad de México, Mexico
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Academic Career Length
6Years (2021-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
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Journal Article
Luis Jacob Escobar-SaldívarDacio Villarreal-SamaniegoRSRoberto Santillán-Salgado
Roberto Santillán-SalgadoThe impact of Environmental, Social, and Governance (ESG) scores on financial performance remains a subject of debate, as the literature reports mixed evidence regarding their effect on stock returns. This research aims to examine the relationship between ESG ratings and the change in ESG scores, or ESG Momentum, concerning both returns and risk of a large sample of stocks traded on U.S. exchanges. The study examined a sample of 3856 stocks traded on U.S. exchanges, considering 20 years of quarterly data from December 2002 to December 2022. We applied multi-factor models and tested them through pooled ordinary, fixed effects, and random effects panel regression methods. Our results show negative relationships between ESG scores and stock returns and between ESG Momentum and volatility. Contrarily, we find positive associations between ESG Momentum and returns and between ESG scores and volatility. Although high ESG scores are generally associated with lower long-term stock returns, an increase in a company’s ESG rating tends to translate into immediate positive returns and reduced risk. Accordingly, investors may benefit from strategies that focus on companies actively improving their ESG performance, while firms themselves stand to gain by signaling continuous advancement in ESG-related areas.
27 January 2021 in Estudios Gerenciales
Journal Article
Dacio Villarreal-SamaniegoLa propagación de la enfermedad de la COVID-19 y la caída de los precios del petróleo provocaron turbulencia financiera durante el primer trimestre de 2020. Este artículo tiene como objetivo examinar la relación entre la pandemia por COVID-19, los precios del petróleo y los tipos de cambio respecto al dólar estadounidense durante ese período en cinco economías emergentes: dos importadoras y tres exportadoras de petróleo. Los resultados de los análisis de rezagos autorregresivos distribuidos revelan un movimiento conjunto positivo entre las tasas de letalidad y las tasas de cambio de tres de esos países. El estudio también encontró una relación negativa entre los precios del petróleo y los tipos de cambio de los cinco países.
10 July 2024 in Revista Mexicana de Economía y Finanzas
Journal Article
Dacio Villarreal-SamaniegoRGRafael Gómez-Gómez
Rafael Gómez-GómezRSRoberto Santillán-Salgado
Roberto Santillán-SalgadoThis article examines the impact over time of the government’s primary balance, remittances, foreign direct investment expectations, and real interest rates on the Mexican peso to US dollar exchange rate between 2003 and 2023, using monthly and quarterly data. An autoregressive distributed lag model with bounds testing and a Granger non-causality test are employed. The results indicate that, although the significance of all variables changes over time, foreign direct investment expectations and the government’s primary balance influence the exchange rate throughout the entire period. Foreign direct investment expectations and remittances exert the most persistent long- and short-run influence, respectively. The evolving significance across time of these determinants implies the need of a dynamic and adaptable policy framework to currency stability in Mexico.
Journal Article
Luis Jacob Escobar-SaldívarDacio Villarreal-SamaniegoRSRoberto Santillán-Salgado
Roberto Santillán-SalgadoA longstanding debate in finance concerns the impact of social responsibility actions on firms’ long-term profitability. This study provides a broad analysis on the relationship between ESG, its components, and stock returns. Using a dataset that spans from December 2014 to December 2023, this research analyzes an annual average of around 2260 publicly traded companies from Europe and the United States. The findings consistently show a negative link between ESG ratings, their components, and stock returns, a result that is possibly explainable by the mixed effect of a reduction of risk (lower risk premium) from social responsibility, and lower profitability from associated costs. The coefficients for ESG and its pillars in explaining stock returns are generally consistent, with a few exceptions for the environmental and governance components. The environmental pillar has a stronger influence in Europe, across firm sizes, while in the US, the effect is limited to larger companies. For governance, variations align with differing ownership structures across regions and changing investor priorities as firms grow, with stronger influence in Midcaps of both regions and in U.S. Large Caps. The effects of overall ESG scores and individual pillars on stock returns across regions, firm sizes, and their interaction, provide a more comprehensive perspective on their relationship.
30 October 2023 in Estudios Gerenciales
Journal Article
Dacio Villarreal-SamaniegoRSRoberto Santillán-Salgado
Roberto Santillán-SalgadoEl objetivo de este trabajo es examinar la anomalía Día-de-la-Semana (DOW) desde la perspectiva de la Hipótesis de Mercados Adaptativos en los índices bursátiles de Argentina, Brasil, Chile, Colombia, México y Perú en diferentes subperíodos y bajo diferentes condiciones de mercado. Las especificaciones de Promedio-Móvil-Autorregresivo, Heteroscedasticidad-Condicional-Autorregresiva-Generalizada, y las pruebas de Kruskal-Wallis utilizadas en el estudio revelan que el efecto Día-de-la-Semana aparece y desaparece en tres de los índices y que su presencia varía bajo diferentes condiciones del Mercado en todos ellos. Esta evidencia empírica apoya la Hipótesis de Mercados Adaptativos.
4 June 2025 in Contaduría y Administración
Journal Article
Dacio Villarreal-SamaniegoAssessing adaptability in stock market indices; The case of Latin America
About Me
Dacio Villarreal Samaniego is a full-time professor at the National Technological Institute of México, where he teaches undergraduate and graduate finance, economics, and entrepreneurship courses. He holds a Ph.D. in Management and Finance from Universidad Popular Autónoma del Estado de Puebla (2020), an M.S. in Finance from EGADE Business School (1999), an MBA from the University of Texas at El Paso (1992), and a B.S. in Business Administration from Instituto Tecnológico de Parral (1987).
His research focuses on financial markets, market anomalies, exchange rates, green finance, and volatility modeling. He has also presented at academic conferences hosted by Universidad Nacional Autónoma de México, Universidad Autónoma Metropolitana, Instituto Mexicano de Ejecutivos de Finanzas, and Universidad Autónoma de Ciudad Juárez. He has also delivered public lectures on financial topics at CONDUSEF, UACH, EGADE, and other institutions.
He has taught in Guatemala’s central bank, Universidad Rafael Landívar (Guatemala), and across several Mexican universities, including Universidad Autónoma de Chihuahua, Universidad La Salle, and Universidad Autónoma Metropolitana. Professionally, he has served as a financial consultant and planning officer.
The U.S. Council for Economic Education recognizes him as a Trainer of Trainers. The National Council of Humanities, Science, and Technology (CONAHCYT) in Mexico recently granted him candidate status as a national researcher.
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