Person: Gómez, Juan Pedro
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Juan Pedro
Last Name
Gómez
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IE University
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IE Business School
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Finance
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Publication Tax Enforcement and Income Diversion: Evidence after Putin’s election in 2000(Now Publisher, 2019-10-08) Gómez, Juan Pedro; Mironov, Maxim; https://ror.org/02jjdwm75Using a direct estimate of income diversion for a large sample of Russian firms from 1999 through 2004, we show that an increase in tax enforcement after Putin’s election in 2000 is associated with a decrease in the appropriation of private rents by insiders both in firms explicitly targeted as tax evaders and among the largest firms in the sample. We interpret the latter as evidence consistent with a simultaneous spillover effect derived from the threat posed by tighter tax enforcement. This effect persists both economically and statistically in a subsample of listed companies after controlling for changes in firm-level corporate governance.Publication Compensation contracts and fire sales(Elsevier, 2015-06) Gete, Pedro; Gómez, Juan Pedro; Ministerio de Economía y Competitividad; https://ror.org/02jjdwm75This paper analyzes the impact of remuneration practices on banks’ risk-taking in a model with fire sales externalities. When these externalities are not internalized by a bank's shareholders and executives, borrowing and fire sales are higher than the socially optimal level. Our analysis shows that plain-vanilla equity fails to internalize fire sales externalities. Deferred equity and long-term bonuses unrelated to short-term profits can restore social efficiency. Bail-in bonds can achieve efficiency at a smaller cost since they allow for state-contingent payments. It is not the level but the composition of variable compensation that determines the inefficiency. Excessive regulation may lead to suboptimal levels of risk-taking. Government guarantees reinforce the fire sales externalities and the need for regulation.Publication Portfolio Manager Compensation in the U.S. Mutual Fund Industry(Wiley, 2018-12-12) Ma, LinLin; Tang, Yuehua; Gómez, Juan Pedro; Ministry of Education of Singapore; Ministerio de Economía y Competitividad; Banco de España; https://ror.org/02jjdwm75We study compensation contracts of individual portfolio managers using hand-collected data of over 4,500 U.S. mutual funds. Variations in the compensation structures are broadly consistent with an optimal contracting equilibrium. The likelihood of explicit performance-based incentives is positively correlated with the intensity of agency conflicts, as proxied by the advisor's clientele dispersion, its affiliations in the financial industry, and its ownership structure. Investor sophistication and the threat of dismissal in outsourced funds serve as substitutes for explicit performance-based incentives. Finally, we find little evidence of differences in future performance associated with any particular compensation arrangement.Publication Using Soccer Games as an Instrument to Forecast the Spread of COVID-19 in Europe(Elsevier, 2021-11) Gómez, Juan Pedro; Mironov, Maxim; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; https://ror.org/02jjdwm75We provide strong empirical support for the contribution of soccer games held in Europe to the spread of the COVID-19 virus in March 2020. We analyze more than 1,000 games across 194 regions from 10 European countries. Daily cases of COVID-19 grow significantly faster in regions where at least one soccer game took place two weeks earlier, consistent with the existence of an incubation period. These results weaken as we include stadiums with smaller capacity. We discuss the relevance of these variables as instruments for the identification of the causal effect of COVID-19 on firms, the economy, and financial markets.Publication Estimating the COVID-19 cash crunch: Global evidence and policy(Elsevier, 2020-04-25) Gómez, Juan Pedro; De Vito, Antonio; https://ror.org/02jjdwm75In this paper, we investigate how the COVID-19 health crisis could affect the liquidity of listed firms across 26 countries. We stress-test three liquidity ratios for each firm with full and partial operating flexibility in two simulated distress scenarios corresponding to drops in sales of 50% and 75%, respectively. In the most adverse scenario, the average firm with partial operating flexibility would exhaust its cash holdings in about two years. At that point, its current liabilities would increase, on average, by eight times, suggesting that the average firm would have to resort to the debt market to prevent a liquidity crunch. Moreover, about 1/10th of all sample firms would become illiquid within six months. Finally, we study two different fiscal policies, tax deferrals and bridge loans, that governments could implement to mitigate the liquidity risk. Our analysis suggests bridge loans are more cost-effective to prevent a massive cash crunch.Publication Capital Commitment and Performance: The Role of Mutual Fund Charges(Cambridge University Press, 2022-11-02) Gómez, Juan Pedro; Porras Prado, Melissa; Zambrana, Rafael; Fundação para a Ciência e a Tecnologia; Social Sciences DataLab; POR Lisboa and POR Norte Social Sciences DataLab; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; Banco de España; Novo Banco; https://ror.org/02jjdwm75We study how the scarcity of committed capital affects the equilibrium distribution of net alphas in the asset management industry. We propose a model of active portfolio management with different sales fee structures where committed capital is in short supply. In the model, a portfolio’s excess return is not fully appropriated by the money manager but shared with long-term investors. Empirically, we show that capital commitment allows funds to hold shares longer and take advantage of slow-moving arbitrage opportunities. Consistent with the model, funds with more committed capital generate higher value added, which, net of fees, accrues to long-term investors.Publication Peer Versus Pure Benchmarks in the Compensation of Mutual Fund Managers(Cambridge University Press, 2023-11-06) Evans, Richard; Ma, LinLin; Gómez, Juan Pedro; Tang, Yuehua; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; National Natural Science Foundation of China ; https://ror.org/02jjdwm75We examine the role of peer (e.g., Lipper manager indices) versus pure (e.g., S&P 500) benchmarks in fund manager compensation. We model their impact on manager incentives and then test those predictions using novel data. We find that 71% of managers are compensated based on peer benchmarks. Consistent with the model, peer-benchmarked fund managers exhibit higher effort generating higher gross performance and collect higher fee income. Analyzing advisors’ choice between benchmark types, we show that peer-benchmarking advisors cater to more sophisticated and performance-sensitive investors, and are more likely to sell through direct channels, consistent with investor heterogeneity and market segmentation.Publication COVID-19 and the Value of CEOs : The Unintended Effect of Soccer Games across European Stocks(2020) Gómez, Juan Pedro; Mironov, Maxim; https://ror.org/02jjdwm75This paper studies the effect of the number of cases of COVID-19 on stock returns from over 3,500 publicly listed firms headquartered across 167 regions in 10 European countries. We instrument the number of cases per million inhabitant in each region with its population, density, and the soccer games celebrated in the region. Regions that hosted a soccer match during March show 30% more accumulated cases of COVID-19 in the same month. Within the same country and industry, an increase in the number of instrumented cases per million people in the region during March implies a decrease in stock returns over March and April. The market discount increases significantly among firms managed by CEOs 60 years and older. Overall, we interpret this as evidence of the market anticipating the potential loss of firm value in the event of the CEO dies of COVID-19Publication Estimating the COVID-19 cash crunch: Global evidence and policy(Elsevier, 2020-04) Gómez, Juan Pedro; De Vito, Antonio; Trombetta, Marco; Ministerio de Economía y Competitividad; Agencia Estatal de Investigación; European Regional Development Fund; https://ror.org/02jjdwm75In this paper, we investigate how the COVID-19 health crisis could affect the liquidity of listed firms across 26 countries. We stress-test three liquidity ratios for each firm with full and partial operating flexibility in two simulated distress scenarios corresponding to drops in sales of 50% and 75%, respectively. In the most adverse scenario, the average firm with partial operating flexibility would exhaust its cash holdings in about two years. At that point, its current liabilities would increase, on average, by eight times, suggesting that the average firm would have to resort to the debt market to prevent a liquidity crunch. Moreover, about 1/10th of all sample firms would become illiquid within six months. Finally, we study two different fiscal policies, tax deferrals and bridge loans, that governments could implement to mitigate the liquidity risk. Our analysis suggests bridge loans are more cost-effective to prevent a massive cash crunch.Publication Do Markets Price CEOs Health Hazards? Evidence from the COVID-19 Pandemic(World Scientific, 2023-01-20) Gómez, Juan Pedro; Mironov, Maxim; Ministerio de Ciencia, Innovación y Universidades; Agencia Estatal de Investigación; European Regional Development Fund; https://ror.org/02jjdwm75We find evidence that markets anticipate the potential loss of firm value in the event of the CEO falling sick and eventually dying of COVID-19 in a sample of almost 3000 listed firms from across 137 regions in 10 European countries. First, we use soccer games as “super-spreader” events. The instrumented number of infected cases per capita in the region where company headquarters are located predicts a significant drop in stock returns during March and April 2020 for firms managed by CEOs with a higher probability of dying from COVID-19. Second, we show that the stock price of these firms increases significantly the day on which positive news on the development of COVID-19 vaccines are released in the market.