Examinando por Autor "Saravia, Jimmy"

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    Ítem
    The Determinants of Systematic Risk: A Firm Lifecycle Perspective
    (Universidad EAFIT, 2016-12-12) Saravia, Jimmy; Garcia, Carlos; Almonacid, Paula; jsaravia@eafit.edu.co; palmona1@eafit.edu.co; cgarci73@eafit.edu.co
    This paper investigates how of systematic risk varies over the lifecycle of the firm. If market equity beta is determined by firm characteristics as the literature on the determinants of systematic risk holds, and if those characteristics change over the lifecycle of the firm following a definite pattern as firm lifecycle theory suggests, then market equity beta should change over the lifecycle of the firm following a predictable pattern. Our findings indicate that, holding other determinants of beta constant, the coefficient of systematic risk tends to fall in magnitude following a nonlinear pattern as firm age increases. In addition, we find that the volatility of market equity beta also tends to fall over the lifecycle of the firm. We argue that our main variable of concern, i.e. firm age, proxies for variables that have hitherto been omitted in the literature on the determinants of systematic risk. In particular, we maintain that firm age may proxy for the positive reputation that firms acquire over time with shareholders. This research is useful for both practitioners and researchers in that it may suggest ways to adjust empirical estimates of systematic risk. In addition, our results are important for research on beta forecasting as they show that the length of the stationary interval of betas is shorter for young companies, so that beta forecasting may be less accurate for firms in the early stages of their lifecycle compared to beta forecasting for mature firms.
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    Ítem
    Merger Waves and the Austrian Business Cycle Theory
    (Mises Institute, 2014) Saravia, Jimmy; Center for Research in Economics and Finance (CIEF), Universidad EAFIT, Medellín, Colombia; Economía y Finanzas; Finanzas; Grupo de Investigación Finanzas y Banca
    This paper identifies merger waves as parts of Austrian-type business cycles. According to Austrian business cycle theory, when loan rates are reduced below their natural level through bank credit expansion, this falsifies the monetary calculation of capitalist-entrepreneurs, and investments are initiated that calculation showed were not profitable before the interest rate reduction. Since there are not enough resources in the economy to complete the new projects, businesses must increasingly withdraw the resources from other companies. Thus, this paper concludes that the increase in investment activity and the resulting “resource crunch” cause a merger wave that helps prolong the boom phase of the cycle. The merger wave ends when the credit expansion is not sufficient to sustain the economic boom, and the bust phase begins. Conversely, this paper concludes that if the fiduciary media do not enter the economy through the loan market to finance business investment, there is no pronounced and sustained increase in merger activity.