Maestría en Administración Financiera (tesis)
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Publicación Análisis de la influencia del gobierno corporativo sobre el desempeño financiero de empresas del índice Bovespa de la Bolsa de Valores de São Paulo, en el período 2015-2024(Universidad EAFIT, 2025-08-04) Ordoñez Latorre Carlos Fabian; Ruiz Joaqui Wilmer Emiro; Mejía Jaramillo,AlejandroThis research conducted a comparative analysis of the corporate governance of companies listed on the Ibovespa index of the São Paulo Stock Exchange (Brazil) to test whether the administrative practices measured by the corporate governance index have the expected effects on their financial performance or, on the contrary, evidence suggests agency problems linked to moral hazard, adverse selection, or other related events. The analysis was conducted in three dimensions of financial performance: operating, leverage, and share price, all from two perspectives: general, for the entire stock exchange; and individual, by economic activity of the industry.Publicación Estrategias corporativas y financieras para un portafolio de negocios diversificado, fundamentadas en la generación de valor para la compañía(Universidad EAFIT, 2025) Bolaños Muñoz, Diana Cristina; Villarraga Páramo, Jairo Andrés; Hernández Bonet, ÁlvaroPublicación Arbitraje basado en ineficiencias de la sonrisa de volatilidad en opciones europeas sobre el S&P 500(Universidad EAFIT, 2025) Torres Moreno, Juan Guillermo; Londoño Agudelo, Simón; Silva, Michael StepanianThis study analyzes the use of the implied volatility smile in European options on the S&P 500 to design quantitative arbitrage strategies in derivative markets. It examines how the shape of the smile varies under different volatility regimes and its impact on risk-adjusted profitability. The research will employ historical SPX options data, implied volatility estimates, and quantitative models. The goal is to identify strategies that take advantage of pricing mismatches in options to generate consistent returns in both high and low volatility scenarios. The results will contribute to the development of more efficient trading methodologies in derivative markets.Publicación Multifamily en Colombia(Universidad EAFIT, 2025) González Bermúdez, José Miguel; Isaza Mesa, Santiago; Durango Gutiérrez, María Patricia; Pérez Arbeláez, SebastiánPublicación Alternativa de financiación basada en la estructura de capital adecuada para una empresa del sector constructor en la ciudad de Pereira, Colombia(Universidad EAFIT, 2025) Escobar Montes, Camilo; Arango Londoño, Carlos MarioPublicación Evaluación de la eficiencia del mercado accionario colombiano frente al período exdividendo. Un análisis empírico en Python(Universidad EAFIT, 2025) Agudelo Quintero, Laura Carolina; Cardona Llano, Juan FelipeThe ex-dividend period generates a price adjustment that directly impacts investor returns. These variations depend on the timing of the market price measurement, whether before or after the ex-dividend date. Although in theory, the stock price should decrease by an amount equivalent to the dividend paid, this adjustment does not always occur proportionally. Therefore, this research aims to analyze and model the price behavior of three stocks in the Colombian stock market using statistical tools in Python, by means of historical information on the common stock prices of Bancolombia S.A., Ecopetrol S.A., and Grupo de Inversiones Suramericana S.A., along with dividend payment dates, in order to perform a comparative measurement of returns before and after the ex-dividend period. The objective is to identify potential abnormal returns that allow for an evaluation of the stock market's efficiency. This analysis is based on the efficient markets hypothesis in its semi-strong form, which states that financial asset prices immediately reflect all publicly available information, as suggested by the theoretical approach developed by Eugene Fama.Publicación ¿Cómo crece el sector productor de plantas en Colombia? : un enfoque según la Ley de Gibrat y el Modelo Gravitacional(Universidad EAFIT, 2025) Serna Velásquez, Mariana; Tsubota Nakamura, Tomonobu; Cortés Durán, Lina Marcela; Téllez Falla, Diego FernandoIn Colombia, the agricultural plays a crucial role in driving development and economic growth. It serves as the cornerstone of the productive chain, generating plant propagation stock, food, and raw materials, among other essentials inputs. This research analyzes the financial performance of Colombia's nursery sector from 2019 to 2023, using Gibrat's Law and the Gravity Model. The findings reveal that the growth of companies in this sector is predominantly determined by factors associated with their historical performance, in connection with the market's consumption capacity.Publicación El Ícaro del Hard Disccount : Justo & Bueno y el precio de volar demasiado alto(Universidad EAFIT, 2025) Moreno Suárez, Nicolás; Rosas Riaño, José Sebastián; Vergara Garavito, Judith CeciliaPublicación Relación entre la cobertura con derivados de divisas, volatilidad cambiaria y políticas de intervención del Banco Central : un análisis empírico(Universidad EAFIT, 2025) Aza Goyes, Manuel Alejandro; Rojas Ormaza, Brayan RicardoPublicación Análisis de tendencias en la investigación mundial sobre finanzas verdes(Universidad EAFIT, 2025) Hoyos Llanos, Oscar Hernán; Duque Hurtado, Pedro LuisPublicación Análisis comparativo de la gestión activa vs pasiva de un portafolio accionario en el mercado de valores colombiano : acercamiento por medio de Markowitz(Universidad EAFIT, 2025) Álvarez Antía, Jerónimo; Ángel Correa, Andrés; Mejía Jaramillo. AlejandroThis study seeks to compare the performance of active and passive portfolio management strategies within the Colombian equity market. The research specifically investigates whether passive management, replicated through the iShares MSCI COLCAP ETF, is able to match or exceed the outcomes of an active strategy implemented using the Markowitz optimization model. To this end, historical daily price data for the constituent stocks of the COLCAP index were analyzed over a five-year period. A quantitative and exploratory methodology was employed, incorporating backtesting simulations with semiannual portfolio rebalancing, and evaluating performance and risk metrics such as volatility, Sharpe ratio, and Sortino ratio. The findings indicate that, in the Colombian market, the additional risks associated with attempting to outperform the index are not compensated by a sufficiently attractive expected alpha. Consequently, within the context of an emerging economy, passive management emerges, in general terms, as the most appropriate alternative for retail investors.Publicación Sobre tasa al impuesto de renta : un golpe a la rentabilidad del sector financiero(Universidad EAFIT, 2025) Vallejo Ramos, Oswaldo José; Medina Arango, Oscar EduardoThe financial system is the backbone of any country's economy, enabling the efficient flow of resources between savers and investors, which in turn drives economic development and financial stability. In Colombia, this sector has faced significant pressure in recent years due to changes in fiscal policies, particularly the implementation of an income tax surcharge. While introduced as a tool to increase revenue and fund essential projects, this measure has raised concerns about its potential repercussions on profitability and competitiveness. The income tax surcharge, in effect since 2018, aims to increase the contribution of highly profitable sectors to the collective well-being. However, this additional tax burden has raised questions about its impact on profit margins, the attraction of foreign investment, and credit stability within a key sector like finance. In this context, this research project seeks to evaluate the quantitative effects of the surcharge on Colombian financial entities during the 2018-2024 period, encompassing a comprehensive analysis to identify trends and strategies. This research aims to provide a comprehensive assessment of the income tax surcharge's effects on the Colombian financial sector. It will foster a deeper understanding of how fiscal policies can influence the performance of a strategic sector and propose solutions aimed at balancing state revenue collection with the sector's sustainability.Publicación Análisis de generación de valor económico y riesgo de insolvencia financiera mediante los modelos EVA y Z-Score : estudio aplicado a una empresa agroindustrial del Valle del Cauca(Universidad EAFIT, 2025) Moreno Camargo, Deiber Alexander; Tamara Ayus, Armando LeninThis research analyzes the ability of an agro-industrial company located in Valle del Cauca, Colombia, to create economic value while managing the risk of financial insolvency. Two complementary models were applied: Economic Value Added (EVA) to determine whether the company generates returns above its cost of capital, and Altman's Z-Score to assess the likelihood of bankruptcy using key financial ratios. The analysis covers historical financial statements and projections from 2019 to 2029. Findings indicate consistent value creation throughout the period, although the Z-Score remains within the gray zone, suggesting a moderate but persistent financial risk. Based on the results, strategic recommendations are made to reinforce the company’s financial structure and reduce exposure to insolvency.Publicación Nuevos instrumentos de financiación para la construcción de vivienda y otros destinos(Universidad EAFIT, 2025) Figueredo Salinas, Nicolás; Hernández Taba, Carlos Mario; Lotero Pérez, Julián; Durango Gutiérrez, María PatriciaThis paper examines the urgent need to diversify funding sources for housing projects in Colombia, given the growing housing deficit and the sustained increase in households living under rental conditions. In a context where over 40% of households are renters and builder’s credit remains the dominant financing mechanism, the need to explore alternative financial schemes that reflect evolving dynamics in the real estate market becomes increasingly evident. Drawing on regulatory, sectoral, and financial analyses, the study identifies and evaluates instruments such as private equity, private debt, leasing, crowdfunding, public-private partnerships (PPPs), collective investment trusts, and the tokenization of real estate assets. It also highlights the Build-to-Rent (BtR) model as a viable strategy for expanding the supply of long-term rental housing particularly for middle-income segments. Finally, the paper proposes a roadmap with specific recommendations for Camacol, aimed at fostering strategic alliances, advocating feasible regulatory reforms through the guild’s channels, and consolidating pilot projects that demonstrate how these alternative mechanisms can serve as sustainable drivers of housing development.Publicación Comparación de la eficiencia de portafolios : un análisis entre la teoría de Markowitz y un modelo basado en Random Forest(Universidad EAFIT, 2025) Vargas Galvis, Estefanía; Botero Ramírez, Juan CarlosThis study compares the efficiency of investment portfolio construction using two approaches: the classic Markowitz Theory and a model based on Random Forest. Thus, it can be said that while Markowitz optimizes the portfolio under parametric and linear assumptions, Random Forest leverages the ability to capture nonlinear and dynamic patterns in complex financial data, especially in volatile markets. The research is based on real data from the 30 most liquid stocks in the S&P 500, between 2020 and 2024, evaluating the performance of both models through key metrics such as the Sharpe Ratio, variance, and return predictive capacity in January 2025. The results obtained will demonstrate whether the Random Forest model can match or exceed Markowitz's efficiency in the risk-return relationship, offering an adaptive and robust alternative for portfolio management in current financial environments.Publicación Evaluación de modelos Z-score para predecir la insolvencia en el contexto empresarial colombiano : análisis y propuesta aplicativa(Universidad EAFIT, 2025) Ibarbo Marín, Juliana; Moreno Valencia, Marco Andrés; Baldoquín de la Peña, Maria GulnaraPublicación Estrategia de cobertura con forward para la exportación de aguacate Hass(Universidad EAFIT, 2025) Calderón Perdomo, María Alejandra; Sánchez Holguín, Nathalia; Manco López, Oscar OswaldoIn this research work, a hedging strategy is developed for companies dedicated to the export of Hass avocado to markets that can be volatile and unpredictable, as is currently the case with the U.S. market as a result of the trade policies with which Donald Trump's second term in office began. In this sense, the proposed financial hedging strategy is based on the instrument of forward contracts to reduce the risk of price fluctuations and maximize profits for Hass avocado exporting companies. In order to evaluate the effectiveness of this strategy, three export scenarios were analyzed: one with full hedging (100% to 60 days), one with partial hedging (70% to 90 days) and one without hedging (0% to 120 days), which consider exchange rate speculations in situations of currency depreciation and appreciation.Publicación Modelo de clasificación de insolvencia en Entidades Prestadoras de Salud (EPS) mediante redes neuronales(Universidad EAFIT, 2025) Muñoz Calderón, Cindy Lorena; Silva Castro, Jaime Andrés; Támara Ayús, Armando LeninHealth Provider Entities (EPS) are the institutions responsible for managing the resources of Colombia’s healthcare system, thereby ensuring the provision of basic health services. This research aims to develop an insolvency classification model for EPS using the statistical technique of neural networks. The database comprises 51 EPS registered in the EMIS University database, providing financial variables to the model, complemented by non-financial variables (location and age). Four classification models are built and compared using Altman’s Z-Score model as a reference. Among them, the decision tree model stands out for its accuracy in predicting financial insolvency. Additionally, the constructed models identify the variables with the greatest impact on default risk, including ROE, net profit/loss, and current ratio, which significantly influence insolvency risk.Publicación Construcción de un modelo de transporte óptimo del cobre para la empresa minera Zijin-Continental Gold Ltd. Evaluación de costos y riesgos(Universidad EAFIT, 2025) Restrepo David, Faide Lidey; Orozco Echeverry, César AugustoPublicación Desarrollo de una política de gestión del riesgo cambiario : caso aplicado a una organización importadora colombiana(Universidad EAFIT, 2025) Salazar Bautista, Iván Esteban; Alonso Villamil, FernandoCosalco Colombia S.A.S. imports raw materials and equipment for distribution in the domestic flexographic industry. Generating obligations with third parties in foreign currency and a direct exposure to foreign exchange risk. This field work developed a Foreign Exchange Risk Management Policy in three stages: (1) identification and measurement of transaction, conversion and economic risks, through tools such as Net Flow Exposed, Net Position and Scenario Analysis; (2) definition of the foreign exchange policy, establishing objectives, indicators, exposure levels and hedging instruments, supported by a survey applied to the financial team; and (3) configuration of a governance structure for its implementation. As a result, a short position for the analyzed risk subcategories was evidenced and a conservative approach based on forward contracts was proposed. It was concluded that the policy designed responds to the needs of the organization and represents an alternative to mitigate foreign exchange risk.