Examinando por Materia "Riesgo sistemático"
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Ítem Análisis de discurso de los máximos responsables de las empresas participantes en el COLCAP(Universidad EAFIT, 2024) Cuervo Garcia, Dairo Alberto; Pantoja Robayo, Javier Orlando; Ceballos Cañón, Johan ArmandoÍtem Does time-varying systematic risk explain contrarian and momentum returns? : an analysis for emerging markets(Universidad EAFIT, 2020) Cachope Nova, Cristhian José; Saravia Matus, Jimmy AgustínContrarian and momentum strategies have challenged the efficient market hypothesis as predictable patterns that allow investors to capitalize on past information and outperform market returns based on miss-reaction of naive investors. Market efficiency implies that agents are rational and, on average, the only way of achieving higher returns is by taking higher risks. This study investigates whether there are such predictable patterns in Emerging Markets and whether these profits are due to variation in time of systematic risk by estimating time-varying beta using a DCC model. Results indicate that these two strategies achieve higher returns because they are riskier and not because investors are irrational.Ítem Efecto de la quiebra del Silicon Valley Bank en la volatilidad del mercado de criptomonedas y su posible papel como activo refugio en tiempos de incertidumbre(Universidad EAFIT, 2023) Bohórquez Arango, Camilo; Villegas Restrepo, Rubén Santiago; Botero Ramírez, Juan CarlosThe objective of this paper is to analyze the role that cryptocurrencies markets have been exerting on financial markets. Specifically, it analyzes the impact that the bankruptcy of Silicon Valley Bank had on both the cryptocurrency market and the stock market in order to determine whether cryptocurrencies can be considered a safe-haven asset in times of high uncertainty. The methodology consisted of building up a cryptocurrency index using a back-testing and weighting methodology by market capitalization, in order to make a comparison with the stock market. Subsequently, several statistical tests were performed to determine whether the collected data were normally distributed or autocorrelated. Finally, through a time window analysis, the impact that the bank’s bankruptcy had on both markets was analyzed, comparing volatilities as well as returns prior to the day of the event, during the event and after it.Ítem Peer-selection and systematic risk : an unexplored relation(Universidad EAFIT, 2022) Lopera Parra, Luis Miguel; Restrepo Tobón, Diego AlexanderÍtem Relación entre el cash holding y el costo del patrimonio (Ke) aplicado a economías emergentes (BRICS)(Universidad EAFIT, 2021) Cifuentes Chávez, Paola Alexandra; Vergara Garavito, Judith Cecilia