Examinando por Materia "MILA"
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Ítem Agrega valor el modelo Black-Litterman en portafo- lios del Mercado Integrado Latinoamericano (MILA)? Evaluación empírica 2008-2016(Universidad EAFIT, 2018-11) Luna-Ramírez, Susana; Arango, Diego A.; slunara@eafit.edu.co; dagudelo@eafit.edu.coThe Black-Litterman model (BL) has been offered as an alternative to the classical Markowitz Mean-Variance framework, to structure well-diversified portfolios that incorporate visions from fundamental analysts. We apply this model to stock portfolios in the countries of the Mercado Integrado Latinoamericano (MILA): Colombia, Chile, Mexico and Peru, starting from the constituents of the main stock market indexes. As perspectives, we use the historical analyst ́s recommendations in Bloomberg for the period 2008-2016. We find that portfolios created with BL outperform the main index, both in average return and in alpha, in each of the four countries. Moreover, a regional BL portfolio that combines the four BL country portfolios, outperforms a regional Benchmark, measured in dollars, in each one of three alternatives of Us dollar hedge.Publicación Análisis de la relación entre la orientación social y ambiental y el desempeño financiero de las empresas en el mercado latinoamericano(Universidad EAFIT, 2025) Ramírez Aristizábal, Sebastián; Téllez Falla, Diego FernandoThis study examines the relationship between environmental and social orientation and financial performance in companies from the Latin American Integrated Market (MILA) in 2023. Using textual analysis of 95 annual report CEO letters and financial data from Economática, social and environmental orientation was quantified via Moss et al.’s (2018) dictionary. The results revealed no statistically significant correlations between the socio-environmental variables and financial metrics, though weak trends emerged: negative coefficients for the environmental dimension and positive ones for the social dimension. Traditional factors like leverage and firm size were found to be strong predictors of financial performance. These findings underscore the complexity of linking ESG practices to profitability in emerging markets, where conventional financial drivers still prevail. The study contributes evidence to inform better ESG communication strategies and suggests that future research should integrate verified ESG metrics and longitudinal approaches to more fully capture these dynamics.Ítem Aplicabilidad del Modelo Fama-French en el Mercado MILA(Universidad EAFIT, 2021) Trujillo Gómez, Juan Diego; Vélez Morales, Philip; Botero, Juan CarlosMILA is the Latin American Integrated Market for securities created in 2009 originally by Perú, Chile and Colombia to which Mexico joined in 2014. Due to its importance, it is necessary to have models that allow a more efficient estimation of the return on assets and generate greater assertiveness in investment decision-making by portfolio managers. This paper presents generalities of both, the MILA market and the submarkets that compose it, and seeks, in the first place, to determine the applicability of the Fama-French model in said market; and secondly, it seeks to generate possible portfolios in the MILA market that, following the criteria on risk factors described by Fama and French, have shown through history a better performance than that of a benchmark portfolio.Ítem Estructuración de portafolios mediante el modelo de Markowitz : análisis comparativo del Mercado Integrado Latinoamericano, MILA(Universidad EAFIT, 2022) Escobar Jiménez, Carlos Alberto; León Montoya, José Alejandro; Cardona Llano, Juan FelipeThe need for investment by agents in the Latin American stock market has brought new scenarios that allow investment portfolios to be diversified and new strategies to be created that minimize risk while increasing profitability. Thus, this paper analyzes some models for structuring portfolios applicable to Mercado Integrado Latinoamericano (MILA) and the time frame under which results can be obtained that help identify the evolution of the resulting baskets. At a theoretical level, the Markowitz model maximizes profitability for a certain defined level of risk. Undoubtedly, his proposal is one of the main theoretical assumptions of portfolio structuring and investment diversification. Therefore, the structuring of portfolios based on this model is proposed for the selection and definition of an optimal basket from the securities offered in MILA, in order to compare them with the main indices of each country that make up this economic bloc, and, by including the variation due to the exchange rate, evaluating the impact on profitability.Publicación Relación entre el costo de capital de las empresas y la calificación ESG en el MILA(Universidad EAFIT, 2024) Álvarez Mendoza, Daniela; Montoya Ramírez, Juan Camilo; Alonso Villamil, FernandoConsidering the relevance of sustainability practices in the market, the relationship between the ESG rating, its pillars and the cost of capital of a sample of 119 companies listed in MILA between 2015 and 2022 was established. The methodological approach was mixed. From the qualitative approach, credit risk rating and Tobin's Q variables were used given their impact on the cost of debt and cost of equity, respectively, to analyze their behavior together with the ESG score (and its pillars) where it was found that high ESG scores seem to generate lower WACC. From a quantitative point of view, a correlational analysis was performed between the WACC and the ESG score (and its pillars), based on the linear regression method, which did not show a direct relationship between the evolution of the ESG rating and the evolution of the WACC.Ítem Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA) : una evidencia del grado de integración(Universidad EAFIT, 2019) Fuentes Vélez, Mariana; Pinilla Barrera, Alejandro; Henao Duque, Juan Fernando; Velásquez Ceballos, Hermilson