BME once again presented its awards for the best research papers on equity, fixed-income and derivatives markets at the 33rd Finance Forum, the annual conference of the Spanish Finance Association (AEFIN), which this year was hosted by the University of Alicante. The 2026 edition took place from 8 to 10 July in Alicante, bringing together researchers, academics and finance professionals in an event that has become a key forum for discussion on financial markets and research.
As in previous years, BME recognized three papers for their academic quality, methodological rigor and contribution to a better understanding of capital markets. These awards form part of BME’s commitment to applied research and to fostering the transfer of knowledge between academia and market practice.
The BME Award for the Best Paper on Fixed-Income Markets was presented to Macro Announcement Premia and the Risk-Free Yield Curve, by Diego Bonelli (Banco de España), Katsiaryna Falkovich (Norwegian School of Economics) and Nils Friewald (Norwegian School of Economics and CEPR).
The paper examines why corporate bonds generate particularly high returns on days when major macroeconomic announcements are released, such as employment, inflation and GDP data or monetary policy decisions. Its main conclusion is that this premium is not driven by improvements in credit risk, but rather by movements in the risk-free yield curve, especially through the compensation investors require for bearing duration risk. The study provides a unified explanation across corporate bonds, government debt and equities by showing that macroeconomic announcements primarily affect markets through discount rates rather than through changes in credit conditions or firms’ expected cash flows.
The BME Award for the Best Paper on Equity Markets went to Financial Integration and the Equity Term Structure: Insights from 150 Years of UK Data, by Jens Soerlie Kvaerner (Norwegian Business School), Jan Sandoval (Esade Business School) and Ole Wilms (Universität Hamburg).
The paper reconstructs the term structure of equity risk premia in the United Kingdom over a period of 150 years and analyses how the compensation investors demand for bearing equity risk has evolved across different investment horizons. The authors show that equity risk premia have declined significantly since the 1980s, particularly at shorter maturities, and relate this development to greater international financial integration and increased cross-border diversification. The research provides valuable insights into how financial globalization influences the cost of capital and equity market valuations.
The BME Award for the Best Paper on Derivatives Markets was awarded to Information in Cross Currency Options, by Pasquale Della Corte (Imperial College London and Centre for Economic Policy Research), Roman Kozhan (Warwick Business School) and Anthony Neuberger (City St George’s, University of London, Bayes Business School).
The study focuses on foreign-exchange options markets and on the information embedded in implied volatilities, with particular attention to cross-currency options, namely those involving currency pairs that do not include the US dollar. The authors show that analysing only options against the dollar provides an incomplete view of currency markets, as exchange rates between other currencies contain additional information about perceptions of exchange-rate risk.
Using no-arbitrage conditions, the paper develops new tools to integrate information from different options markets, identify potential inconsistencies and extract market signals more effectively from prices. Among its most notable contributions is the proposal of the square root contract, an original measure with a strong theoretical foundation that facilitates the analysis of implied volatility and consistency across markets. The study also introduces new methods for integrating information across options markets, measuring domestic and global risks, and constructing risk maps that improve the interpretation of foreign-exchange markets.
With these awards, BME reaffirms its support for high-quality financial research and for initiatives that contribute to a deeper understanding of how markets function. The papers recognized this year address issues that are central to financial market infrastructures: the transmission of macroeconomic information through the yield curve, the impact of financial integration on equity markets, and the informational value of derivatives markets. The quality of the award-winning research once again highlights the importance of the Finance Forum as a meeting point between academic knowledge, financial innovation and market practice.