Escuela de Finanzas, Economía y Gobierno

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https://hdl.handle.net/10784/9

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¿Agrega valor el uso de la metodología Shrinkage en la estimación de la matriz de covarianzas para el mercado accionario colombiano?
(Universidad EAFIT, 2019) Herrera Passos, Tomás; Agudelo Rueda, Diego Alonso
This article proposes to estimate the covariance matrix of stock returns in Colombian case by an optimally weighted average of two existing estimators the sample covariance matrix and singleindex covariance matrix proposed by Sharpe (1963) following the methodology of Ledoit and Wolf (2003). This method is generally known as Shrinkage, it is standard in decision theory and in empirical Bayesian statistics and allows to improve the calculation of the central values of the estimate. In this case we analyze this methodology for Colombian stocks returns listed at BVC (Bolsa de Valores de Colombia) and participants in the COLCAP composition from January 15, 2008 to May 2, 2019. We have found that the sample covariance matrix is superior in estimating risk than the structural methodology (based on Single Index Model) and Shrinkage, in any type of portfolio composition. However, when estimating the covariance matrix through the Shrinkage methodology in the portfolios of minimum risk and equally weighted have been observed a performance practically equal to the conventional (sample) methodology.
Comportamiento del mercado accionario colombiano, un análisis de demanda 2001-2012
(Universidad EAFIT, 2012) Pérez Álzate, Juan Sebastián; Tamara Ayus, Armando Lenin
¿Crean valor los Fondos de Inversión Colectiva colombianos enfocados en acciones?
(Universidad EAFIT, 2016) Monsalve Arboleda, Juan David; Arango Toro, Nicolás; Agudelo Rueda, Diego Alonso
In this research we evaluate the performance of 73 Colombian stock mutual funds from 2005 to 2015 -- To quantify the value added by these funds compared to their respective benchmarks, Jensen’s alpha is calculated using two regression methodologies: Ordinary Least Squares (OLS) and Quantile Regression -- We also analyze whether these funds show any evidence of market timing -- We recommend the creation of a private firm in Colombia that would provide investors with accurate information about the features and historical performance of Colombian mutual funds, as Morningstar Inc. does in the USA -- This would enable investors to choose the best fund options andmake the mutural fund market more efficient and appealing to new potential investors
El efecto de hechos políticos colombianos en el siglo XXI sobre tres acciones colombianas : un análisis comparativo
(Universidad Eafit, 2020) Mora Concha, Alicia; Jiménez Lema, Juan José; Couleau, Anabelle
This article analyzes the effects of a series of events in recent Colombian history (2000-2019) by implementing a GARCH (1,1) model in order to determine if these events affect the volatility of three specific stocks: Bancolombia, Ecopetrol and Grupo Aval. We compare the effects of volatility of these stocks in New York Stock Exchange and Bolsa de Valores de Colombia (Colombia Stock Exchange). The events considered are presidential elections, free trade agreements and events related to the FARC. The results show that there is no uniformity of reaction to the same events in both countries and that the reaction is not necessarily the same for the three shares on the same stock exchange either. Finally, various reasons that could explain the different responses are presented, while making suggestions for future analysis
Efecto de los anuncios de intervención por parte del gobierno para la contención de la pandemia Covid-19 sobre los rendimientos de las acciones colombianas
(Universidad EAFIT, 2021) Rebolledo Carvajal, Manuela; Gaviria Ruiz, Susana; Torres García, Alejandro
The covid-19 outbreak came as shock for governments all around the world and consequently brought with it a wave of uncertainty because of the unprecedented event that was happening. This study aims to determine through the Event Study Methodology, whether the actions taken by the Colombian government in order to take action over the possible effects of the pandemic generated statistically significant impacts on 9 selected stocks belonging to the Colombian Stock Exchange, verifying in turn the hypothesis of market efficiency. For its verification, different types of announcements were considered. Such as international news regarding the evolution of the pandemic, national emergency declarations, as well as announcements of economic reactivation. In general, we can conclude that the announcement of national relevance was those that generated the highest significant abnormal returns and that the Colombian stock market presents medium efficiency since there was no uniform an immediate reaction to all of the events.
Eficiencia Informacional en el mercado accionario colombiano (BVC) de acuerdo a la metodología de Event Studies
(Universidad EAFIT, 2015) Pulido Restrepo, Esteban; Zuluaga Arbeláez, Juan Sebastián; Byder, James Elliot
Explorando la señalización corporativa a nivel sectorial en el mercado bursátil estadounidense : el caso de las recompras de acciones
(Universidad EAFIT, 2024) Rugeles Aristizábal, Felipe; Chaparro Cardona, Juan Camilo; Montoya Gil, Juan Miguel
This research offers a detailed analysis of the informational content of stock buyback plan announcements and how the reactions of different market agents influence the Price-Earnings Ratio, relative to their sector, of the companies that execute them. The study covers a sample of 40 companies from the U.S. stock market between the years 2018 and 2023, using Fixed Effects models that control for entity and temporality. The results for the complete sample reveal that, on average, repurchase announcements are associated with excess returns of 1.05% in the Price-Earnings Ratio relative to their sector on the day the announcements are made. Furthermore, it is observed that these effects are durable within a ten-day post-announcement window, gradually diminishing to an equivalent effect of 0.20% daily on the tenth day. Additionally, sector-specific analyses show divergences in the results, varying in magnitude, durability, and the sign of the effects, reflecting the specific characteristics of the companies in each sector and how these condition the investors' reactions to the signals sent by the entrepreneurs.
Modelación de la prima de riesgo que asumen los agentes en transacciones a plazo a través de los factores que influyen y explican el comportamiento de la tasa de cambio de la moneda colombiana con respecto a la de Estados Unidos
(Universidad EAFIT, 2015) Peláez González, Julián; Marín Salazar, Daniel Alejandro; Pantoja Robayo, Javier Orlando
En este trabajo se pretende establecer que factores fundamentales influyen en el movimiento de la tasa de cambio COP/USD en un periodo intra-diario de forma horaria, para así poder establecer un modelo que ayude a estimar la prima de riesgo de la tasa de cambio colombiana -- Basados en Pantoja (2012)1, se pretende la aplicación de un modelo VAR (vectores autorregresivos) para estimar la prima de riesgo de la tasa de cambio, donde se encontró que este modelo no es el modelo más adecuado para explicar la serie de datos utilizada, por lo que se propone un modelo GARCH para modelar la serie -- Se encontró que hay factores fundamentales que explican la prima, como lo son el WTI, el S&P500 y la tasa de cambio EUR/USD
Riesgo de las acciones colombianas desde 2017 hasta la fecha, con foco en el efecto pandemia
(Universidad EAFIT, 2022) Ospina Monsalve, David; Mosquera López, Stephanía

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