Escuela de Finanzas, Economía y Gobierno
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Examinando Escuela de Finanzas, Economía y Gobierno por Autor "Agudelo R., Diego A."
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Ítem Reacción de los mercados accionarios latinoamericanos a los anuncios macroeconómicos(Universidad EAFIT, 2009-07-15) Agudelo R., Diego A.; Álvarez L., A. Marcela; Osorno M., Yesica T.This paper shows empirical evidence of the effect of macroeconomic announcements (inflation and GDP) on returns, volatility and trading activity for the stock markets of Argentina, Brazil, Chile, Colombia, Mexico and Peru, using daily univariate time series models. Significant contemporaneous effects were found only for Colombia and Peru during inflation announcements and for Chile during GDP announcements. On the other hand, lagged and lead effects from announcements were found in most of the cases, contradicting market efficiency. Besides, inflation announcements are associated to higher volatility whereas those of GDP are to lower volatility for most of the countries.Ítem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Universidad EAFIT, 2012-12-15) Arroyave C., Elizabeth T.; Agudelo R., Diego A.We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have got positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.Ítem Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007(Elsevier, 2012) Arroyave C.,m Elizabeth T.; Agudelo R., Diego A.; Profesora Universidad de Medellín, Colombia; Profesor Titular, Coordinador del Grupo de Investigación en Finanzas y Banca, Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca