Examinando por Autor "Cortés, Lina M."
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Ítem Aplicación del modelo gravitacional al impacto del gobierno corporativo en las fusiones y adquisiciones en Latinoamérica(Universidad EAFIT, 2012-12-03) Vasco, Mateo; Cortés, Lina M.; Gaitán, Sandra C.; Durán, Iván A.In this study we analyze whether transnational mergers and acquisitions (M&As) are influenced by country level corporate governance standards. For this purpose, we use a gravity model. Additionally, this study focuses only on the M&As flows from the OECD countries towards Latinamerican economies, and we use the Kaufmann indicators as measures of country level corporate governance, among others. We find evidence that the gravity model is explicative of the M&As flows, and that the higher the level of corporate governance at both origin and destination countries, the greater the M&As activity.Ítem Determining the banking solvency risk in times of COVID-19 through Gram-Charlier expansions(Universidad EAFIT, 2021-09-20) Rendón, Juan F.; Cortés, Lina M.; Perote, Javier; Instituto Tecnológico Metropolitano - ITM; Universidad EAFIT; University of SalamancaThis paper proposes risk measures for bank solvency by accurately measuring the solvency risk components. These measures consider the minimum regulatory solvency levels and banks’ risk appetite level and risk profile. For this purpose, we used semi-nonparametric statistics to model stylized facts of the risk distribution, particularly the high-order moments of the Solvency Decline Rate, the Tier Decline Rate, and the Portfolio Growth Rate variables. Additionally, these risk measures can be used to measure the risk of regulatory intervention and to define policies that establish the minimum solvency levels required by banking regulators by estimating the Quantile Risk Metrics. As a case study, we collected data on the solvency indicators of the Colombian banking system, which adapts to the standards established by the Basel Committee. According to the results, the liquidity injection measures implemented in response to the needs generated by the COVID-19 pandemic led to an increase in the levels of the risk portfolio in the Colombian banking system, which exceeded the 99th percentile of the probability distribution of monthly portfolio value changes.Ítem Effects of Mergers and Acquisitions on Shareholder Wealth: Event Study for Latin American Airlines(Universidad EAFIT, 2015-01-01) Cortés, Lina M.; García, John J.; Agudelo, David; lcortesd@eafit.edu.co; jgarcia@eafit.edu.co; dagude14@gmail.comThis study analyzes the effectof changes in corporate controlon the way shareholdersbenefit from the announcements of selling and buying airlines, thus contributing to the literature on mergers and acquisitions (M&As) in emerging markets. Using a methodologyof event study, including GARCH and OLS models, we find evidence that some selling companies obtain abnormal returns that are statisticallysignificant after the announcement of the M&A. However, when the merger is not strategic, the companies present statisticallysignificant negative abnormal returns. The resultsare not conclusive when analyzing the effecton the valueof the buying companies.Ítem Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach(Universidad EAFIT, 2017-12-05) Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier; lcortesd@eafit.edu.coThis paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the prices of options for West Texas Intermediate (WTI) crude oil that were traded in the period between January 2016 and January 2017. For these series we extract the implicit RND in the option prices by applying the traditional Black & Scholes (1973) model and the semi-nonparametric (SNP) model proposed by Backus, Foresi, Li, & Wu (1997). The results obtained show that when the average market price is compared to the average theoretical price, the lognormal specification tends to systematically undervalue the estimation. On the contrary, the SNP option pricing model, which explicitly adjust for negative skewness and excess kurtosis, results in markedly improved accuracy.Ítem Mergers and Acquisitions in Latin America: Industrial Productivity and Corporate Governance(Universidad EAFIT, 2016-03-02) Cortés, Lina M.; Durán, Iván A.; Gaitan-Riaño, Sandra; Vasco, Mateo; lcortesd@eafit.edu.co; sgaitanr@eafit.edu.coThis paper examines the impact of industrial productivity on transnationals M&As from OECD countries towards Latin American countries in the period 1996 to 2010. It also analyzes the relationship between external mechanism of corporate governance and transnational M&As. For this purpose we use a gravitational model at the industry level. We find that industry productivity and higher standards of corporate governance in the country of origin promote transnational M&As activity. However, it is also found that higher levels of capital and technological productivity decreases transnational M&As activity.Ítem Modeling the electricity spot price with switching regime semi-nonparametric distributions(Universidad EAFIT, 2019-11-22) Trespalacios, Alfredo; Cortés, Lina M.; Perote, Javier; alfredotrespalacios@itm.edu.coSpot prices of electricity in liberalized markets feature seasonality, mean reversion, random short-term jumps, skewness and highly kurtosis, as a result from the interaction between the supply and demand and the physical restrictions for transportation and storage. To account for such stylized facts, we propose a stochastic process with a component of mean reversion and switching regime to represent the dynamics of the spot price of electricity and its logarithm. The short-term movements are represented by semi-nonparametric (SNP) distributions, in contrast to previous studies that traditionally assume Gaussian processes. The application is done for the Colombian electricity market, where El Niño phenomenon represents an additional source of risk that should be considered to guarantee long-term supply, sustainability of investments and efficiency of prices. We show that the switching regime model with SNP distributions for the random components outperforms traditional models leading to accurate estimates and simulations, and thus being a useful tool for risk management and policy making.Ítem Modelización de la demanda de energía eléctrica: más allá de la normalidad(Universidad EAFIT, 2019-06-04) Rendón, Juan F.; Trespalacios, Alfredo; Cortés, Lina M.; Villada, Hernán D.; lcortesd@eafit.edu.coThe main characteristic that differentiates electricity markets from other markets corresponds to the need to produce energy at the same time it is consumed, to such an extent that in real time the systems must maintain a perfect balance: at each moment the demand for electrical energy is equal to its generation. This characteristic prevents, for example, intertemporal arbitrage by those who carry out transactions in this market. In this regard, when modelling demand, it is common to find econometric analyzes that consider the assumption of normality; however, this assumption may ignore, a priori, an eventual presence of bias, kurtosis or higher order moments in this variable. In this paper, the Semi-Nonparametric approach (SNP) is studied to describe the demand for electricity in Colombia and the residuals of an ARIMA process. We propose the selection of probability density functions in terms of a finite Gram-Charlier expansion adjusted by the criterion of maximum likelihood. As a case study, the demand for electrical energy in the Colombian market is considered. As a result, it is found that the SNP type distribution achieves better adjustment than the normal distribution for some transformations of the electrical energy demand where it can be required more than four moments to represent this variable.Ítem Proceso de ASC - DESEMPEÑO EMPRESARIAL: EFECTO SOBRE LA CREACION DE VALOR EN EMPRESAS COLOMBIANAS POST-M&A(Universidad EAFIT, 2019) Cortés, Lina M.; Cárdenas, Santiago; Daza, Geraldine; Moreno, Alejandro; Universidad EAFITMergers and acquisitions (M&A) are a strategy for companies to achieve different objectives, including the creation of shareholder value. The objective of this study is to explore methodologies and variables that allow quantifying results on the creation of value after strategic alliances via M&A. This research studies events of Colombian companies belonging to the manufacturing sector in the period 1998-2017.Ítem The productivity of top researchers: A semi-nonparametric approach(Universidad EAFIT, 2016-03-02) Cortés, Lina M.; Perote, Javier; Mora-Valencia, Andrés; lcortesd@eafit.edu.coResearch productivity distributions exhibit heavy tails because it is common for a few researchers to accumulate the majority of the top publications and their corresponding citations. Measurements of this productivity are very sensitive to the field being analyzed and the distribution used. In particular, distributions such as the lognormal distribution seem to systematically underestimate the productivity of the top researchers. In this article, we propose the use of a (log)semi-nonparametric distribution (log-SNP) that nests the lognormal and captures the heavy tail of the productivity distribution through the introduction of new parameters linked to high-order moments. To compare the results, we use research performance data on 140,971 researchers who have produced 253,634 publications in 18 fields of knowledge (O’Boyle and Aguinis, 2012) and show how the log-SNP distribution provides more accurate measures of the performance of the top researchers in their respective fields of knowledge.Ítem The Stock Market Reaction to Mergers and Acquisitions: Evidence from the Banking Industry(Universidad EAFIT, 2020-02-19) Lozada, Juan M; Cortés, Lina M.; Velasquez Gaviria, Daniel; jmlozadah@eafit.edu.co.; lcortesd@eafit.edu.co; danielvelasquez@itm.edu.coMergers and acquisitions (M&As) are mainly a mechanism used in the Latin American banking industry to carry out business consolidation. This paper focuses on the effect of M&A announcements on stocks of Latin American banks and their rivals between 2000 and 2019. We evaluate two impacts of M&A announcements: impacts on cumulative abnormal returns (CAR) and impacts on event-induced variance (EIV). We use the GARCH-based event-study method. We find that acquirers and target banks have a statistically significant CAR, however, the sign is inconclusive. Rivals of acquirers and targets are not affected by M&A announcements. In general, we observe that EIV is negative for acquirers, targets, and rivals. Finally, we estimate a multivariate GARCH model to isolate the effects of co-movements of volatility between the acquirer and the target, and we find that the results remain qualitatively equal.Ítem Uncertainty in Electricity Markets from a seminonparametric Approach(Universidad EAFIT, 2019-06-04) Trespalacios, Alfredo; Cortés, Lina M.; Perote, Javier; lcortesd@eafit.edu.coThe spot price of electricity is highly skewed and heavy-tailed, as a result of the interaction of different variables that affect that market. Such characteristics impact the design of power plants with different technologies, fuel prices, and energy demand. This paper introduces the semi-nonparametric (SNP) approach to describe the uncertainty of different variables in an electricity market, reducing the limitations that normality and parametric density functions impose. The selection of probability density functions is achieved in terms of a finite Gram– Charlier expansion fitted by the maximum likelihood criterion. The study case is the Colombian electricity market, where the SNP distribution outperforms the normal distribution for spot price, national energy demand, the climate index ONI, and the series of hydrologic inflows of the system and some rivers. The results show that risk analysis in electricity markets requires the measurement of skewness, kurtosis, and high-order moments. The flexible methodology in our study has directly applications for implementing policies on electricity markets that improve the sustainability indicators of different systems. The particular characteristics of the series under analysis should be considered as a starting point for risk analysis and portfolio choice.Ítem Waves and determinants in the activity of Mergers and Acquisitions: The Case of Latin America(Universidad EAFIT, 2012-12-15) Cortés, Lina M.; Agudelo, Diego A.; Mongrut, SamuelThis paper contributes to the current literature of mergers and acquisitions (M&As) by studying the existence of waves and the determinants of M&A activity in the economies of Argentina, Brazil, Chile, Colombia, Mexico and Peru. From a sample of 2,490 M&As announcements reported by Thomson One for these countries, and applying the methodology proposed by Harford (2005), evidence of M&A waves is found for the periods 1993-2002 and 2003-2010 as reported for other regions in various international studies. After controlling for economic and business environment variables, as well as for profitability and book-to-market variables at industry level, we find evidence in favor of the neoclassical theory as a main explanation for M&As, but not for the misvaluation effect. For this purpose, a Prais-Winsten data model with panel corrected standard errors (PCSE) is used, and the results are confirmed through a negative binomial panel data estimation.