On the origin and development of this festival, writers who have researched the topic do not no agree. The most commonly accepted version is based on the facts that are outlined below. In 1151, with the arrival of the Almohads, many temples were destroyed and amongst them a Mozarabic chapel built in the Churra suburb of Baza. Three centuries later, one of the knights accompanying Ferdinand the Catholic, Don Luis de Acuña Herrera, decided to erect the Church of Our Lady of Mercy on the site. In 1490 the building work having started, one of the workmen, Juan Pedernal, from Guadix, was chipping away at some plaster work during the demolition when he was surprised to hear come from the cavity a soft and woeful voice which seemed to come from the depths of the earth and which said "HAVE MERCY!". He had found a sculpture of the Virgin, which from then on was given the name of Our Lady of Mercy, in allusion to the expression.
The workman from Guadix gave cause for serious disturbances among the workmen who competed for ownership of the icon, to the extent that the authorities of the two towns became involved requiring the intervention of the courts of those times, which resolved that the image was the property and possession of Baza, and the right to hold annual religious festivities on 8 September, festivity of the Virgin of Mercy, to the Chapter of Guadix.
It is also said that a tacit agreement was reached whereby if a commissioner from the town of Guadix were able to enter Baza and reach the church of Mercy without stain, he could recover the Virgin for Guadix. Thus, the townspeople of Guadix came in pilgrimage to hold the religious festivities which was within their right to do. The retinue went to Baza accompanied by a buffoon, a small person and usually plain, whose crucial mission was to entertain his lordships with jokes and nonsense. It is thought that this gesture was the precursor of the present day "Cascamorras", and therefore it stands to reason that the servant entrusted with rescuing her, should be irritated buy the jokes and laughter that children who came along to sustain him and from which mockery he should try to defend himself using inflated bladders tied to a stick.