Examinando por Materia "VALORES BANCARIOS"
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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 ¿Conviene cubrir el riesgo de inflación con TES UVR? La evidencia en Colombia(Universidad Eafit, 2019) Alegría Lozano, Carolina; Agudelo Rueda, Diego AlonsoThis study focuses on the determinants of the differential return between fixed-rate TES (Colombian Treasury Bonds) and UVR TES ( inflation protected) in order to predict when it´s better to invest in either. We find that there are macro or market variables that can predict in some degree which of the two types of bonds will have greater ex-post holding return. In particular, we find that both a greater spread between the ex-ante yields of TES fixed rate and UVR TES (in UVR), and the monetary policy expansion cycle predict a greater ex-post holding return in pesos of TES fixed rate in relationship with UVR for terms of one and two years. For longer terms, positive relations were obtained with the spread, the Central bank intervention rate, the term premium, and annual inflation. Given that all these variables are proxies of higher future inflation, we conclude that the varying demand for inflation coverage may explain to some degree which of the two types of TES will be more profitable. Unexpectedly, the expected inflation variable from Reuters showed no predictive power.Ítem La emisión de bonos en Colombia(Universidad EAFIT, 2007) Llano Mejía, Natalia; Rengifo Higuita, RamiroÍtem Índice de sentimiento del inversionista colombiano (ISIC)(Universidad EAFIT, 2020) Mejía Guerra, Juan Sebastián; Coronel Andrade, Fabricio; Mora Cuartas, Andrés MauricioÍtem Inversión en TES : una recomendación desde el análisis macroeconómico colombiano(Universidad EAFIT, 2023) Santos López, Juan David; Neira Orozco, Juan Diego; Hurtado Rendón, Álvaro ArturoThis work analyzes the relationship between macroeconomic variables and the profitability of Treasury Bonds (TES) in Colombia. An empirical approach based on the Vector Autoregressive (VAR) methodology is used to examine this relationship. Based on the literature review, it is identified that macroeconomic variables such as interest rate, Gross Domestic Product (GDP), and Consumer Price Index (CPI) can directly or inversely affect the profitability of TES. The proposed methodology is based on a VAR model that considers TES yield as the dependent variable and GDP, inflation, and interest rate as independent variables. Official data sources such as the National Administrative Department of Statistics (DANE), the Central Bank of Colombia, and the Colombian Stock Exchange (BVC) are used. The results of the statistical analysis indicate that the interest rate, GDP, and CPI have a direct and significant relationship with the profitability of TES, implying that an increase in these variables can lead to an increase in bond profitability. Furthermore, it is found that the lagged CPI with a two-month delay do not have a significant relationship with TES profitability. The findings are consistent with previous research and supported by the Fisher expectations model. The results have important implications for investors and the Colombian government, enabling informed decision-making and adjustments to economic policy. The work proposes a robust methodology and utilizes appropriate statistical analysis to address the relationship between the variables under study.Ítem Spreads of sovereign bonds issued in local and foreign currency : determinants for Colombia(Universidad Eafit, 2020) Marín Castaño, Deisy Johana; Agudelo Rueda, Diego AlonsoÍtem The disposition effect in bonds and stocks : new evidence from an emerging market(Universidad EAFIT, 2019) Hincapié Salazar, Juliana; Agudelo Rueda, Diego Alonso