Maestría en Ciencias en Finanzas (tesis)

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https://hdl.handle.net/10784/93

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¿Realidad o sofisma? poniendo a prueba el análisis técnico en las acciones colombianas
(Universidad EAFIT, 2007) Uribe Estrada, Jorge Hernán; Agudelo Rueda, Diego Alonso
As posed by the weak version of market efficiency, the empirical evidence of this paper shows that is not possible to obtain significant and statistically robust economic benefits when trading on ten technical rules (moving average, filters and 8 Japanese candlesticks), in 19 Colombian stocks -- Unlike other research, this study applied tests on investment strategies rather than on autocorrelations, “out-of-sample” tests to avoid “Data snooping”, estimations of transaction costs, and statistical significance tests based on Bootstrapping -- In a few cases these strategies yielded excess returns over a passive strategy, but neither stable nor significant
Valoración de opciones tipo Lookback : una aplicación a la tasa de cambio
(Universidad EAFIT, 2007) Maya Ochoa, Cecilia Inés; Rodríguez Mejía, Jorge Andrés
The development of instruments for hedging risks known as derivatives has been vertiginous in the last two decades. One of the most dynamic is the group of exotic options, that is to say, those that do not adjust to the conditions of the traditional European or American options. This study focuses on the valuation of Lookback options, and presents the current analytical and numerical methods used for this purpose. Its application to the case of options on the exchange rate is discussed and the study concludes that the use of the Montecarlo method where the underlying asset follows a process of stochastic volatility like the one proposed by Heston (1993) is much more suitable for this case. The flexibility which characterizes this method is necessary for the valuation of exotic options which are path dependent. This method also allows us to model the underlying asset following different stochastic processes when lognormality is rejected.
Valoración de Credit Default Swaps (CDS) : una aproximación Montecarlo
(Universidad EAFIT, 2007) Arbeláez Zapata, Juan Camilo; Maya Ochoa, Cecilia Inés
This paper presents a Credit Default Swap (CDS) pricing model. The estimation of the model is based on the Montecarlo method where the credit risk is modelled based on a Stopped Poisson stochastic process. This is an interesting alternative to the pricing of CDS in countries where the corporate bonds market lacks liquidity or a credit derivative market is just about to develop as it is the case in Colombia. The model performs better for the pricing of CDS on securities with investment grade relative to speculative ones. Also, it shows that CDS prices are not very sensitive to changes in recovery or interest rates.
Valoración de opciones para el mercado agropecuario colombiano, el modelo de Heston-Nandi como alternativa
(Universidad EAFIT, 2007) Causil García, Catalina; Cárcamo Cárcamo, Ulises
There are random factors in the process leading to commodities’ price formation. Such factors are manifest in the behavior of volatility. Volatility is a source of uncertainty for any market. Options on commodities are a valuable instrument to diminish risk associated with volatility. The Heston-Nandi model seems to be helpful in the valuation of derivatives on agricultural commodities. In this project the model’s properties are explored and an algorithm to estimate the associated parameters is developed. For a completely useful development of this model the actual trading of the derivatives is needed.
La volatilidad de la tasa de interés a corto plazo : un ejercicio para la economía colombiana, 2001–2006
(Universidad EAFIT, 2007) Botero Ramírez, Juan Carlos; Ramírez Hassan, Andrés
In this paper we analyze different methodologies that are used to handle the short term interest rate volatility. Specifically, we shall analyze the outcomes that are obtained through three specifications: CKLS, Conditional Heteroscedastic and BHK. The evidence shows that the better specification is reached through the EGARCH model. It is found that positive shocks in the short term interest rate cause a volatility 22,3% higher than negative shock of the same size. Also, the process converges to an unconditioned mean of 7,11% with a correction factor of 1,2% daily. Finally, it is analyzed the stability of the parameters associated to the selected model and the model’s forecast. It is found that the model offers good forecast in a period of three months.
Valor en riesgo desde un enfoque de cópulas
(Universidad EAFIT, 2007) Olarte Cadavid, Ana Milena; Torres Avendaño, Gabriel Ignacio
El valor en riesgo VaR, es una medida que cuantifica los riesgos enfrentados por un portafolio. Entre los métodos de medición del VaR están la simulación histórica; simulación Monte Carlo; modelos paramétricos y modelos de duración y convexidad. Para el cálculo del VaR, se requiere modelar los retornos del portafolio y hallar la distribución de pérdidas que los describe, tradicionalmente se han supuesto retornos normalmente distribuidos, pero la evidencia empírica muestra que éstos no se comportan así. En los últimos años, se han adelantado investigaciones para calcular el VaR utilizando cópulas, que determinan la estructura de dependencia del portafolio y de los activos riesgosos que lo conforman, sin partir de supuestos sobre sus distribuciones, obteniendo resultados más realistas y evitando así la sobrestimación o subestimación del valor en riesgo del portafolio.
Modelos unifactoriales de tipos de interés : aplicación al mercado colombiano
(Universidad EAFIT, 2007-11) Restrepo Tobón, Diego Alexander; Botero Ramírez, Juan Carlos
This work presents a first approximation for implementing the Hull and White (1990) and the Black and Karasinski (1991) One-Factor Interest Rate Models in the Colombian market. Both models fit exactly the Colombian term structure of interest rates. Nevertheless, due to the unavailability of interest rate derivatives in our market, implicit calibration was not possible. This process was replaced by the estimation of the volatility using an EGARCH model for the Interbank Interest Rate. This approach will hand out with the pricing of interest rate derivatives in the Colombian Market, mainly, in its early steps of development.
¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?
(Universidad EAFIT, 2008) Jaramillo Ospina, Catalina María; Montoya Madrigal, Lina María; Maya Ochoa, Cecilia Inés
The power of diversification is widely used by investors. In recent years, Colombian investors have moved to offshore markets in order to attain more diversification than what is available in the local market. However, this practice carries an additional risk: the exchange rate risk.
Inductores de valor para instituciones de educación superior privadas en Colombia
(Universidad EAFIT, 2008) Calle Zapata, Vladimir; Gamboa Velásquez, Ramiro; Gómez Rodríguez, Óscar Aurelio
The majority of Higher Education Institutions private, have remained away from implementing financial analysis tools, different from monitoring the balance and income statement, in order to assess efficiency in the management of the resources, which are essential to response to the demands of the environment and the increasing competition from international universities in an increasingly globalized world and in a country opening markets through free trade treaties.
Flujos de capital extranjero, volatilidad de los rendimientos, riesgo de mercado mundial, ARCH-GARCH,VAR
(Universidad EAFIT, 2009) Castaño Espinal, Milena María; Agudelo Rueda, Diego Alonso
This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil, Colombia, Chile, Mexico and Peru, from the late 90’s until 2008. This will test whether these flows cause instability for those markets and increase their exposure to international financial crises. Time series models,both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk variables and the causality of these effects. Unlike similar research, this study uses the Foreign Funds database of Emerging Portfolio. It should be noted that in most cases there is not strong evidence to support the hypothesis that foreign flows cause instability on the Latin American stock Markets. However, we found evidence of effects of exchange rate appreciation, international returns and foreign flows on stock market returns, like other studies on different emerging markets.
Evidencia empírica en alta frecuencia de la prima de riesgo forward para los mercados de energía eléctrica en Colombia
(Universidad EAFIT, 2009) Salazar Marín, Gloria Stella; Pantoja Robayo, Javier Orlando
Supported on empirical analysis and using a high-frequency data set of hourly spot and forward prices from wholesale power market in Colombia, this paper finds that there are significant risk premia in electricity forward prices, showing how their properties and behavior are also explained by the differences among market segments and regulation -- These premia vary depending on the market segment, showing that median risk premium is positive for most of the hours for two segments and negative for another -- On the other hand, it presents evidence about the structural changes in the wholesale market, due to that this market is in a consolidation process and so, it is highly sensitive to the regulation changes, which generated special conditions that impacted the market’s behavior and the agent’s risk tolerance
Valoración de la garantía de pensión en las cuentas de ahorro individual en Colombia
(Universidad EAFIT, 2009) Restrepo Laverde, José Valentín Antonio; Gutiérrez Betancur, Juan Carlos
The behavior of the individual as a person who contributes, and as the future beneficiary of a pension, is a determining factor to quantify the effects that his or her density has on the individual savings system and on the ability to demand the different guarantees -- That is why the objective of this work is to seek a view based on personal finance other than what has been presented in different studies in this field carried out not only in Colombia but at the international level, and to provide an approach to a solution for the problem of sustainability in retirement
Metodologías alternativas para la valoración de opciones americanas sobre TRM
(Universidad EAFIT, 2009) Ramírez Posada, Luisa Fernanda; Maya Ochoa, Cecilia Inés
This study explores some methods different from the traditional binomial (Cox, Ross, and Rubinstein, 1979) for American Options valuation aiming to identifying an appropriate method when the underlying asset is the exchange rate of the US Dollar to the Colombian Peso known as TRM (Representative Exchange Rate). We confirm the good performance and flexibility of the Monte Carlo method which translates into an adequate alternative for valuing these derivatives. Additionally, this method allows us to use the actual stochastic process of the underlying asset avoiding assumptions on its dynamics, e.g. lognormality. By doing this, we obtain a better estimation for options when early exercise is allowed which is in agreement with the true behavior of the asset.
¿Aumentan los flujos extranjeros la volatilidad en los mercados accionarios emergentes? : evidencia en seis paises latinoamericanos
(Universidad EAFIT, 2009) Castaño E., Milena María; Agudelo Rueda, Diego Alonso
En este artículo se estima la influencia que tienen los flujos de capital extranjero sobre la volatilidad de los rendimientos y la exposición al riesgo de mercado mundial en los seis mercados accionarios Latinoamericanos más representativos: Argentina, Brasil, Colombia, Chile, México y Perú, desde finales de los noventa hasta el 2008. De esta manera se pone a prueba la hipótesis de que dichos flujos son perjudiciales para los mercados y aumentan su exposición al riesgo sistémico mundial. Con este fin se realizan pruebas estadísiticas utilizando modelos univariados (ARCH – GARCH) y multivariados (VAR), que además de estimar la significancia de estas relaciones, permitan concluir acerca de la causalidad de estos efectos. A diferencia de otras investigaciones similares, este estudio hace uso de la base de datos de Emerging Portfolio. Es de anotar que en la mayoría de los casos no se encuentra evidencia fuerte que soporte los efectos negativos de los flujos extranjeros en los mercados estudiados. Sin embargo, se encontró evidencia de relaciones entre los rendimientos de dichos mercados con los flujos extranjeros, la devaluación y los rendimientos internacionales que confirman resultados de otros estudios.
Predicción del comportamiento diario de la acción de SURAMINV : redes neuronales y modelos econométricos
(Universidad EAFIT, 2009) Arrieta Bechara, Jaime Enrique; Torres Cruz, Juan Camilo; Velásquez Ceballos, Ermilson
The current study shows evidence that using statistical, econometric and artificial intelligence models it is possible to predict the daily stock price fluctuations of SURAMINV, in contrast with the weak form of efficient-market hypothesis. This study goes beyond similar ones in that besides achieving a good in sample forecast, it also aims at evaluating out of sample results. Additionally it controls the possibility of data snooping and therefore evaluates the true potential of taking advantage of the results. Furthermore, the forecasts obtained are used to analyze through negotiation systems the possibility of gaining extraordinary returns with regard to the Buy & Hold strategy.
Análisis del impacto de los ADR´S de empresas latinoamericanas en sus mercados de valores locales
(Universidad EAFIT, 2009) Escobar Berdugo, Alexander; Torres Avendaño, Gabriel Ignacio
The American Depositary Recept (ADR) have presented an interesting development since their creation. In the early of century XX, They have been widely used by South American companies from 80’s decade. Such development have generated a lot of interest concerning to the impact that’s produced by the evaluation for this financial instruments in local stock exchange, and the global integration level which they can generate in growing markets which companies used they for to extend their number of customer and gain monetary resources. In this way, for analyze the impact of these financial instruments on South American stock exchange, analysis are used which are focused in development of local stock Exchange vs. the ADR’s behavior associated to local companies. In this order of ideas through statistics methodologies which improve the temporal structure and observed cross section in this type of stock exchange, The different interactions between North American ADR’s exchange and South American stock exchange which companies use highly this instruments.
El impacto de anuncio de eventos en el mercado accionario colombiano
(Universidad EAFIT, 2009-07-31) Velásquez Trujillo, Gloria Cecilia; Cárcamo Cárcamo, Ulises
This paper studies the possible impact of various types of event announcements on the Colombian stock market, and contributes to the understanding of this emerging market. Announcements of mergers, acquisitions, issuance of shares and the increase of dividends are analyzed to investigate whether these events affect the returns of stock prices. Data from the 2003-2008 period is analyzed with the aid of the Event Study Methodology in its original version, as well as with subsequent developments that propose adjustments when assumptions are not met. The study found that the impact of announcements is similar to what is expected and observed in other markets. In the event of exceptions, the results of the 2006-2008 subperiod tend to what is observed in well developed markets.
Gobierno corporativo y política de dividendos : el caso colombiano
(Universidad EAFIT, 2010) Usma Patiño, Julián Andrés; Ramírez Arango, Carlos Mario; Mongrut Montalvan, Samuel
Sobre la de base una muestra de 279 empresas, no financieras, inscritas en el Registro Nacional de Valores y Emisores (RNVE) de la Bolsa de Valores de Colombia (BVC), para el periodo 1997 – 2008, se mide el impacto de la adopción del Código de Gobierno Corporativo (GC) como un determinante principal del pago de dividendos. Se encontró una relación directa entre la tenencia de Código y el dividendo pagado, es decir, empresas que han adoptado el Código de Gobierno Corporativo (GC) han pagado, en promedio, dividendos más elevados que aquellas empresas que no adoptaron el GC. Adicionalmente, la evidencia empírica sugiere que el impacto de la adopción de las buenas prácticas de Gobierno Corporativo es magnificado por la calidad del Código adoptado, lo que implica que mayores pagos de dividendos están asociados a las mejores prácticas de gobierno corporativo. Finalmente, se encontró también que las empresas con Código de Gobierno Corporativo muestran mejores márgenes de rentabilidad operativa y retorno sobre el activo.
Determinantes de las inversiones en capital de riesgo en Latinoamérica
(Universidad EAFIT, 2010) Gutiérrez Chaverra, Diana Catalina; Saldarriaga Romero, Víctor Jaime; Herrera Echeverri, Hernán; Velásquez Ceballos, Ermilson
En las últimas décadas la industria del Venture Capital ha tenido un alto crecimiento en los países desarrollados, sin embargo, dicho comportamiento solo ha sido evidente para el caso latinoamericano recientemente. Esta industria se considera uno de los principales factores que promueven el desarrollo económico y la innovación empresarial, ya que se convierte no sólo en un mecanismo de inversión para grandes inversionistas privados que buscan altos retornos a mediano y largo plazo, sino que también se convierte en una fuente importante de recursos de capital para empresas pequeñas o emprendedoras con grandes ideas empresariales, pero que no cuentan con los recursos suficientes para desarrollar su proyecto. Por lo tanto, es necesario identificar cuáles son los determinantes de la variabilidad del Venture Capital Fundraising en Latinoamérica de forma tal que se puedan generar políticas en torno a estas que promuevan nuevas inversiones en venture capital. Para tal fin se emplea un modelo de datos de panel a través del cual se identifican determinantes como la inversión extranjera directa neta, el producto interno bruto, la inflación y el riesgo político como aspectos relevantes de ésta industria; lo que sugiere a su vez que el buen desempeño de variables económicas, políticas e incluso de ambiente empresarial son determinantes en la industria de venture capital en Latinoamérica al igual que en diversos países del mundo.
Análisis del impacto de la Ley 550 y la Ley 1116 en las variables críticas de valoración
(Universidad EAFIT, 2010) Agudelo Restrepo, Jairo Julián; Angulo Ochoa, Tulia María; Medina Arango, Oscar Eduardo
La Ley 550 de 1999 de Reestructuración, y la Ley 1116 de 2006 de Reorganización Económica, han ayudado a muchas compañías que se encontraban en una difícil situación financiera y con presiones en sus flujos de caja a encontrar una salida óptima para prorrogar los pagos a los acreedores, lo que puede aliviar las necesidades de caja de corto plazo y mejorar la estructura financiera y operativa de las compañías. Por ello es de vital importancia contar con un estudio del impacto que podrían tener las principales variables de creación de valor en una compañía frente a una eventual salida de las leyes antes citadas, lo que puede ayudar a una mejor toma de decisiones por parte de los administradores de esas compañías, al igual que puede mejorar el entendimiento del público en general frente a las compañías que se encuentran atadas a estas leyes.

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