Examinando por Materia "ACCIONES (BOLSA)"
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Ítem ¿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 AlonsoThis 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.Ítem Análisis de eficiencia en los mercados de opciones sobre índices : una aproximación a los mercados emergentes(Universidad EAFIT, 2011) Loaiza Palacio, Daniel; Arbeláez Zapata, Juan CamiloAn efficient capital market is characterized because asset prices reflect the effects of information based on events that have already occurred and on events that the market expects will happen in the future (Fama, 1965). Although the hypothesis of efficiency has been proven in multiple index options markets, it has been conducted mainly in developed markets, and has relied more on the count of violations than on the estimation of returns which are obtained when strategies are implemented to take advantage of market inefficiencies and its comparison with the returns of the market. This study proposes a methodology, based on dynamic programming, for testing the efficiency in emerging markets such as Latin-Americans, and allows a comparison of the test results on a developed market of index options. At the end some recommendations are done to undertake an efficiency test in the future COLCAP index options market in Colombia.Ítem Análisis de rentabilidad de los fondos mutuos de renta variable pasivos y activos en los Estados Unidos(Universidad EAFIT, 2013) Toro Arango, Gregorio; Agudelo Rueda, Diego AlonsoLa industria de los fondos mutuos1 en Estados Unidos tiene 13 trillones de dólares en activos bajo administración, de los cuales el 33% son fondos de inversión en renta variable -- La tendencia actual de los inversionistas favorece las inversiones indexadas, las cuales manejan activos por un 1.3 trillones de dólares, de los cuales 429 billones de dólares están invertidos en fondos indexados al S&P 500 (Investment Company Institude, 2013) -- Actualmente continúa la discusión del desempeño entre la gestión activa y pasiva en los mercados financieros -- En el presente trabajo se analizaran los fondos de las principales firmas de administración de inversión de Estados Unidos que invierten en empresas de gran capitalización bursátil durante los últimos cinco años, tomando como índice de referencia el S&P 500 -- Se utilizaran medidas de desempeño tradicionales como el Ratio Sharpe, Ratio de Trerynor y Jensens Alpha para evaluar los resultados de gestión que han obtenido los mayores rendimientos para los inversionistas -- Los resultados de la presente investigación muestran que los fondos de gestión pasiva después de gastos de administración y antes de impuestos superan la rentabilidad de los fondos de gestión activaÍtem Análisis de sentimiento en acciones americanas : una herramienta para la toma de decisiones informada en el mercado financiero(Universidad EAFIT, 2023) Padilla Quintero, Javier Felipe; Brun, Xavier; Durango Gutiérrez, María PatriciaThis research study aims to assess the effectiveness of sentiment analysis in determining market perception of specific companies listed on the American stock market. The study focuses on employing sentiment analysis on collected news articles within a defined period. The specific objectives include gathering relevant news articles, employing natural language processing techniques for sentiment analysis, obtaining corresponding historical price data, and calculating the Pearson correlation between news sentiment and stock prices. The study endeavors to provide a deeper understanding of how sentiment analysis can impact the evaluation of companies and their market performance. The findings and analysis derived from this study can support investors in making more informed and data-driven decisions by considering market perception in conjunction with stock prices.Ítem Análisis del impacto económico de los sesgos del comportamiento en la gestión empresarial colombiana : estudio de caso(Universidad EAFIT, 2024) Parra Pinzón, Sandra Viviana; Sánchez Ribero, Gustavo AlbertoÍtem Análisis del retorno total al accionista como medida de creación de valor en la Bolsa de Valores de Colombia(Universidad EAFIT, 2023) Arias Ramírez, Isabel; Rúa Ramírez, Mateo; González Tabares, Carlos EduardoIn this study, we analyze the total shareholder return (TSR) of Icolcap, an Exchange-Traded Fund (ETF) representing the Colombian stock market from 2011 to 2022. The objective is to assess the economic value creation achieved by Colombian companies for their shareholders during the years under review. As part of this evaluation, we examine the trends in profit distribution in Colombia and other markets over time, measured both by dividend payouts and share buyback programs. Finally, we compare the TSR results with the performance of other local investment products and against the TSRs of other ETFs representing international markets.Ítem Aplicación del modelo Copula Opinion Pooling al mercado accionario colombiano(Universidad EAFIT, 2019) Yepes Valencia, Sebastián; Pantoja Robayo, JavierÍtem Aproximacion a la teoria del VAR en un portafolio no cotizado en bolsa(Universidad EAFIT, 2023) Díaz Gómez, Diego Fernando; Rojas Ormaza, Brayan RicardoThis work seeks to apply the concepts of Value at Risk and the Sharpe Ratio criterion to a portfolio of shares that are not listed on stock exchanges, in order to find the usefulness of a valuation methodology based on the intrinsic value of the shares. The unusual characteristics of this type of investment are considered, as well as the methods used to align the financial theory that supposes that it operates under perfect markets. Likewise, adaptations and validations of the theory are made versus the reality of the data collected, finding factual explanations for the deviations of results. Finally, it is found how efficient market theories can be applied to closed markets with the proper validations and adaptations, being very useful to professionalize the management of these stock portfolios.Ítem Arbitrage pricing theory : evidencia empírica para el mercado accionario colombiano, 2005 - 2012(Universidad EAFIT, 2012) Arango Restrepo, Carlos Daniel; González Tabares, Gabriel Felipe; Peláez Gómez, David; Velásquez Ceballos, HermilsonRoss (1976) introduced an alternative to the CAPM model to explain the returns of financial assets. Ross’ Arbitrage Pricing Theory (APT) proposes a multi-factor structure in which the return of a given financial asset is a function of a free-risk rate and a series of macroeconomic variables. In this paper the principal component analysis is used to summarise the information contained in 23 macroeconomic and financial variables and then the components retained are used to model the excess of return over the local currency government bonds, TES, of the Colombian Stock Exchange General Index (IGBC). The retained principal components were analysed in the light of the economic and financial theory and evidence was found to assert that the risk perception has the highest relative importance to explain the IGBC excess of return.Ítem Burkenroad Bolsa de Valores de Colombia 2018(Universidad EAFIT, 2019) Ordoñez Graces, Marlyn Adriana; Orozco Fernandez, Yeimy Lorena; Restrepo Barth SimonÍtem Caballeros, escuderos, píldoras y joyas : carencias y retos de la regulación colombiana en relación con las estrategias de defensa contra una oferta pública de adquisición hostil(Universidad EAFIT, 2023) Ferrer Buriticá, Sara; Vélez Villegas, Juan EstebanTakeover bids as a mechanism to obtain control of companies whose shares are listed on the Colombian Stock Exchange Market have been conducted for several years. Although there have been acquisitions through friendly offers, until 2021, they had not been presented in the form of hostile takeovers. In this sense, the purpose of this thesis is to identify the challenges that the Colombian regulation has regarding the means of defenses of these hostile takeover bids, and whether the application of these mechanisms would presuppose a violation of the current financial regulation. In addition, to present a comparative law study with the United States to analyze the feasibility of applying the mechanisms of that legislation to the Colombian case.Ítem Colombian mutual funds that invest in stocks: Do they create value?(Universidad EAFIT, 2016-06-22) Monsalve, Juan David; Arango Toro, NicolasÍtem Comportamiento del mercado accionario colombiano, un análisis de demanda 2001-2012(Universidad EAFIT, 2012) Pérez Álzate, Juan Sebastián; Tamara Ayus, Armando LeninÍtem Construcción de un portafolio bajo optimización dinámica con análisis de stress de un fondo mutual del sector transporte(Universidad EAFIT, 2021) Mayorga Sánchez, Jorge Humberto; Correa López, Yulian Alberto; Támara Ayús, Armando LeninThe purpose of this work is to build a portfolio with the most liquid shares of the Colombian Stock Exchange (BVC) using dynamic optimization, likewise, to look at the effect that COVID has had on the performance of said portfolio. The study period is between January 2016 and May 2021 and the actions of PFBCOLOM, ECOPETROL, BCOLOMBIA, GRUPOARGOS, ISA, NUTRESA, PFAVAL and ÉXITO were taken. For each of these actions, the best distribution of returns is established and the dynamic optimization process is executed in each of the portfolios, with which the optimal participation of the actions within each of the four sets was established, then a stress process is applied to each portfolio and the greatest possible loss exposed under this methodology is determined. It is concluded that when portfolios are disturbed by a stress process that includes the COVID period, they present a higher VaR and increase the result of other measures, thereby increasing the risk of exposure for investors.Ítem Construcción de un portafolio de inversión de composición inmobiliaria y bursátil con participación en el Área Metropolitana del Valle de Aburrá, Oriente cercano y la Bolsa de Valores de Colombia(Universidad EAFIT, 2013) Velásquez Franco, Carlos Andrés; Marín Giraldo, Julián Alberto; Correa, Luisa FernandaCon el presente trabajo se propone una aproximación al análisis técnico en la construcción de un portafolio de inversión de composición inmobiliaria y bursátil desde la teoría de portafolios eficientes de Harry Markowitz, abordando conceptos valuatorios e incidencias en el mercado de inmuebles de la ciudad de Medellín, su área metropolitana y oriente cercano, así como en el mercado de capitales de Colombia, como complemento analítico fundamental para la asignación de recursos en un marco de diversificación, reflejado en la suavización de la volatilidad propia de la renta variable y de la iliquidez inherente al mercado de bienes raícesÍtem Construcciones El Cóndor S.A.(Universidad EAFIT, 2014) Barriga Vargas, Jenny del Pilar; Quintero Moya, Ana María; Mondragón Trujillo, Luis FernandoEmitimos la recomendación de COMPRAR la acción de Construcciones el Cóndor S.A, teniendo en cuenta que las expectativas actuales del sector de la infraestructura proyecta a El Cóndor con una mayor participación tanto en construcción como en inversión en proyectos de este sector, principalmente por el programa de concesiones de cuarta generación que se encuentran actualmente en licitación por parte de la Agencia Nacional de Infraestructura -- Durante 2013, el sector de la construcción representó el 9.18% del total del PIB nacional. -- Dentro de la actividad constructora, el subsector de edificaciones representó el 45.3% del total mientras que la construcción de obras civiles participó con el 54.7% restante – El Cóndor tiene participación en el subsector de infraestructura de obras civiles, donde participa en obras viales y de transporte, movimiento de tierras y energía -- Dicho sector se encuentra en alza debido a las politicas de gobierno y a la estructuración de grandes proyectos de infraestructura a desarrollarse en los próximos años -- Nuestra recomendación la soportamos y la fundamentamos en los resultados de su Backlog el cual incrementa sus ingresos operacionales, en el buen comportamiento de sus balances y de su situación financiera, lo cual la ha llevado a ubicarse en la posición No. 11 en cuanto a ingresos, en la No. 4 por el patrimonio reportado y en la No. 5 por activos, respecto a sus pares y a los datos reportados por la Superintendencia de Sociedades, asi como la alianza con el Grupo OdinsaÍtem ¿Crean valor los Fondos de Inversión Colectiva colombianos enfocados en acciones?(Universidad EAFIT, 2016) Monsalve Arboleda, Juan David; Arango Toro, Nicolás; Agudelo Rueda, Diego AlonsoIn 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 investorsÍtem De los contratos de compraventa de acciones(Universidad Eafit, 2020) Meza Montoya, Daniel; Vélez Mesa, Felipe; Echavarría Dapena, AlejandroAs a response to the growing economic dynamics of the last decades, derived from the subscription of Free Trade Agreements with other countries and the liberalization of foreign investment, the practice of corporate operations has increased, mainly, Stock Purchase Operations. These operations are highly influenced by common law practices and are regulated almost entirely by the contractual free will of the parties in stock purchase agreements. The scope of this document is to analyze the provisions and practices generally applied to stock purchase agreements under the postulates of contractual free will, in accordance with Colombian law.Ítem Determinantes de la implementación de medidas antitoma de control : análisis para el mercado estadounidense(Universidad EAFIT, 2023) De la Fuente Becerra, María Fernanda; Arroyo Rodríguez, Lina Fernanda; Téllez Falla, Diego FernandoÍtem Diferencias respecto a la performance de los activos financieros versus activos convencionales(Universidad EAFIT, 2021) Piedrahita Muñoz, Estefania; Vergara Garavito, Judith CeciliaIn this Final Master's Project (TFM) an analysis is carried out that compares the performance of conventional investment assets and sustainable investment assets, specifically, their profitability and level of risk. For this, indicators such as the Sharpe ratio, the Treynor ratio, Jensen's alpha and risk indicators that are analyzed through the volatility index and beta are used. It is obtained those conventional funds have generated 0.28% more than average total return over the last six years, which is a very small difference. The study finally concludes that sustainable investment funds show returns very close to their opponents in traditional funds, despite the fact that ESG factors affect their selection of values, which implies a greater risk for these portfolios.