The Cascamorras Festival is held in September in Baza and Guadix in the province of Granada. It was declared of National Tourist Interest in June 2006 and all who wish to participate may do so.

In 1490, Don Luís de Acuña Herrera, a knight who accompanied King Ferdinand, the Catholic, decided to build the church called Iglesia de la Merced where previously a Mozarabic chapel had stood in the Churra suburb of Baza. 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 coming from inside 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 discovery of the workman from Guadix gave rise to serious turmoil 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 should be in the possession of Baza, and the right to hold annual religious festivities on 8 September, festivity of Our Lady of Mercy, be given to the Chapter of Guadix.