Maestría en Administración Financiera (tesis)
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Ítem La influencia de la calificación ESG sobre los rendimientos de los ETFs de renta variable(Universidad EAFIT, 2024) Aponte Sarria, Jaime; Casas Riascos, José de Jesús; Téllez Falla, Diego FernandoThis study evaluates the performance of 1,075 U.S. domiciled ETFs during 2023 based on their ESG rating, in order to determine the relationship between rating and investor returns. To do so, performance measures such as Jensen's alpha and Sharpe ratio are calculated, and an expansion to the CAPM is performed through the Fama-French three-factor model. Using panel data, a positive and significant relationship was found between the ESG rating of the ETFs and their excess returns. However, when analyzing the ratings according to the ESG quality ranking established by MCSI, no significant differences were found between the excess returns of funds with high ratings and ETFs with average ratings, unlike what happened with funds located in the lower part of the ESG ranking, since they reflect a negative and significant impact on returns.Ítem Fusiones y adquisiciones en el contexto del sector financiero colombiano : medición de su efectividad desde un enfoque financiero(Universidad EAFIT, 2024) Valencia Jaramillo, Steven; Arrubla Valencia, Jonatan; Arango Mejía, Juan ManuelThe research addresses the phenomenon of mergers and acquisitions (M&A) in the Colombian financial sector from 2010 to 2023, a period characterized by intense banking consolidation activity, which was driven by the search for operational efficiency, market expansion and competitive strengthening. This study aims to analyze the effectiveness of M&A in terms of value creation for the involved entities and their impact on the country's economic development. This paper questions whether those operations act as true catalysts for value or, conversely, dilute corporate value and negatively affect the market dynamics. The theoretical framework is based on the Market Efficiency Theory, the Synergy Theory, the Diversification Theory, and the Theory of Shareholder Wealth Maximization. Together, they allow a deep look into the dynamics and impact of M&A in the financial sector. The research methodology combines descriptive and experimental approaches to assess the impact of M&A on critical financial management indicators. Data was collected through an exhaustive review of primary and secondary sources, followed by a quantitative analysis using descriptive statistics, the Difference in Differences (DiD) model, regression analysis, and correlation. Such quantitative analysis was processed via the statistical software R. This approach allows for a detailed evaluation of the impact of M&A on the profitability, productivity, operational efficiency and solvency of Colombian financial entities, as well as of their effect on market competitiveness and national economic development.Ítem Estructura de capital óptima de empresas del sector renting de vehículos en Colombia(Universidad EAFIT, 2024) Mejía Oquendo, Juan Diego; Jiménez Ramírez, Mariza; Durango Gutiérrez, María PatriciaThis project will answer the question of what the optimal capital structure of the vehicle rental sector in Colombia could be; the local economy is increasingly migrating towards a pay-per-use model, which is why companies need to balance their financial structure to leverage their growth. To do so, the financial statements of different companies in the same sector will be analyzed, addressing theories applied to capital structure, such as the CAPM, the theory of the trade-off between debt and capital, and others related, allowing to find the optimal structure by maximizing the value of the company and minimizing the cost of capital. This research could be a determining input permitting the reader to define the optimal capital structure for companies in the vehicle rental sector in Colombia.Ítem Efectos de las finanzas comportamentales en la gestión del riesgo de la tasa de cambio en las pymes en Colombia(Universidad EAFIT, 2024) Carvajal Gómez, Valentina; Argüelles Jaramillo, Santiago; Villamil Villamil, Fernando AlonsoThis research analyzes the effects of biases associated with behavioral finance on exchange rate risk management in SMEs companies in the Colombian real sector. Although behavioral finance has been widely studied in the investment field, it is relevant to analyze its impact on hedging decisions to anticipate and mitigate exchange rate risk. To this end, a survey was applied to thirty SMEs and thirty risk managers of financial institutions, in order to examine the intersection between the literature on behavioral finance and the decision-making process for managing the exchange rate risk of these firms. The results reveal the prevalence of cognitive biases in this process, suggesting the necessity to present strategies and recommendations to mitigate them.Ítem Impacto del riesgo soberano en financiamiento de emisores corporativos y financieros en deuda externa(Universidad EAFIT, 2024) Pérez Rodríguez, Angie Tatiana; Londoño Lopera, Diana Carolina; Castaño Londoño, Laura Melissa; Alzate Arias, Hernán AlonsoÍtem Impacto de la divulgación de las políticas ASG en el costo de la deuda (KD) : análisis multivariable en compañías de los principales sectores de la economía europea(Universidad EAFIT, 2024) Arroyave Zapata, Daniel; Saldarriaga Parra, Alejandro; Téllez Falla, Diego Fernando; Restrepo Ochoa, Diana ConstanzaThe main objective of this study is to determine to what extent the level of disclosure of the investments made by companies, in the environmental, social and governance (ESG) in the cost of debt (Kd). The methodology used to resolve this question was a data panel type model, for which a database was built with companies from the main economic sectors in the European market, along with the main financial indicators and the scores of each pillar. ASG as predictors or independent variables, and Kd as response variable; additionally, control variables considered important were used, such as company size, liquidity, and growth, to give greater reliability to the model regressions. The results showed that companies that present better financial results have been able to make greater investments in socio-environmental aspects, which has allowed them to obtain a lower cost of debt; however, companies that already make high investments and obtain very high scores stop receiving this benefit and once again have a higher cost of debtÍtem Technological Transformations in Financial Forecasting : An Integrative Literature Review(Universidad EAFIT, 2024) Brüesch, Corsin Andri; Cruz Castañeda, VivianÍtem Análisis de la implementación de la tecnología blockchain en la industria de bienes raíces : perspectivas y desafíos para el sector fintech(Universidad EAFIT, 2024) Useche Rojas, Juan Camilo; Durango Gutiérrez, María PatriciaThis work evaluates the impact of Blockchain technology, reviewing its principles, accelerated growth, and immediate and long-term direction, emphasizing a special focus on activating this technology for the real estate sector, through a descriptive, predictive, and fundamental analysis of pioneering companies in the field. This is supported by a financial modeling methodology backed by backtesting and market capitalization weighting, allowing the valuation of assets used by these companies over time and determining their stock market relevance. Finally, the results will be examined to conclude the current and future effect of Blockchain on the real estate industry, as well as its financial viability and feasibility, both in the United States and Colombia.Ítem Los límites de inversión y asignación de capital determinados por la Ley 100 para el R.A.I.S. ¿contribuyen a la maximización de la mesada pensional del cotizante?(Universidad EAFIT, 2024) Hill Donadio, Martín; Colorado González, José AdolfoColombian legislation in Law 100 Decree 2955 of 2010 establishes the regulations under which Pension Fund Administrators (PFAs) must govern the investment of contributors' resources to the Individual Savings with Solidarity Regime (ISSR). This regime may or may not be optimal or efficient, considering that the challenge is to achieve the maximization of pension payments for contributors, closing the income gap between their active life and the pension period. Some contributors may not even attain a pension payment. In contributing to the expansion of pension coverage in the country, it is essential to ask: Is a law that is rigid regarding capital allocation, without flexibility to adapt to changing market conditions over time, appropriate?Ítem Impacto de las tasas de interés en la liquidez de los concesionarios automotores en Colombia durante el período 2015-2022(Universidad EAFIT, 2024) Echeverry Piedrahíta, Lina Marcela; Hernández Gómez, José Alejandro; Yepes Raigosa, David AlejandroCorporate liquidity plays a crucial role in financial management of companies, as proper management of liquid resources positively impacts economic performance, allowing business objectives to be achieved. Given the importance of the automotive sector to the Colombian economy, this research aimed to evaluate the impact of changes in interest rates on the liquidity of vehicle dealerships in the country during the period 2015-2022. For this, financial ratios, statistics, and regression models such as ordinary least squares (OLS) were calculated. The study revealed that high interest rates negatively impact operating cash flows and liquidity of automotive dealerships. Factors such as efficient accounts receivable management, tangible assets, and positive ebitda improve cash flow generation; however, high indebtedness, concentration of short-term debt, and excessive asset growth diminish liquidityÍtem Desempeño financiero y la calificación de gobernanza en compañías del sector tecnológico en Latinoamérica(Universidad EAFIT, 2024) Mesa Gómez, Deysy Milena; Olarte Morales, Alejandra; Yepes Raigosa, David AlejandroConsidering the projection that technology companies have, as well as the global trend towards measuring ESG indicators as a reference for good business performance, especially those related to governance, this study analyzed whether there is a relationship between corporate governance compliance standards and the financial performance of organizations in the technology sector in Latin America. For this analysis, information was taken from companies in this sector and their financial performance, measured as ROA, ROE, Tobin's Q and Price-to-Book was analyzed; likewise, the Governance pillar rating (GScore) indicated by Refinitiv was reviewed for each of the reference companies. After using OLS and GLS regressions, the study found a positive and statistically significant relationship between the governance pillar rating and the financial performance of companies in the technology sector in Latin America between 2013 and 2022.Ítem Diseño de un modelo para la proyección, seguimiento y control del flujo de efectivo en las pymes del sector manufacturero, comercializador y servicios. Caso aplicado a los clientes de Covalentte SAS(Universidad EAFIT, 2024) España García, Daniela; Torres Sepúlveda, Carlina Yamile; Orozco Echeverry, César AugustoThe main objective of this field work was to develop a model that allows building projections, monitoring and control of cash flow in SMEs in the manufacturing, trading and services sectors, being tested in companies that are currently clients of Covalentte SAS, a company dedicated to providing accounting, tax, and legal advisory services to organizations with different business activities. To develop the model, the financial statements, accounting information, indicators and cash flow structure of the companies under study were analysed, in order to incorporate quantitative forecasting methods based on time series to predict future results in the short and medium term, as well as simulation for decision making. Finally, it was possible to test the model in 15 companies from different sectors which, through the execution of a survey, allowed validating the level of acceptance of the process, being the service companies those who gave it a better valuation because their sales, which in most cases are cash and do not incorporate the inventory component in their working capital structure, simplify with it their cash flow management, allowing informed decition maling by the companies managers.Ítem Optimización de portafolios : integración de modelos de aprendizaje automático y estrategias tradicionales para una gestión eficiente de inversiones(Universidad EAFIT, 2024) Agudelo Niño, Yolanda María; Cruz Castañeda, VivianÍtem Incidencia de las coberturas con derivados financieros en el valor de mercado en empresas del MILA (2018-2022)(Universidad EAFIT, 2024) Castañeda Cuadros, Brayan Iván; Giraldo Prieto, César AugustoThe present study examines the impact of financial derivatives hedging on the market value of a sample of 40 companies listed on the MILA between 2018 and 2022, whose emerging economies exhibit historical volatility. To do so, 10 companies from each country (Chile, Colombia, Peru, and Mexico) were analyzed. The information was treated as panel data using a fixed-effects linear regression model, with the Q Tobin as the dependent variable serving as an indicator of market value associated with financial derivatives hedging strategies. The results consistently indicate that, for the selected sample, the use of financial derivatives does not have a significant impact on their value, and, contrary to expectations, they also do not add value. Regarding the strategies maintained in these portfolios by the analyzed companies, it was found that they are rarely important within the corporate financial structure, and their results are questionable. The study is of interest to investors, entrepreneurs, and other stakeholders interested in understanding the implications of engaging in financial derivatives hedging.Ítem Inversión ASG frente a inversión tradicional en Colombia. Un asunto de eficiencia(Universidad EAFIT, 2024) Ochoa Jiménez, Isaac; Restrepo Ochoa , Diana ConstanzaAlthough investing under environmental, social and governance (ESG) criteria has recently gained interest, the academic literature still does not allow to conclude whether acting in accordance with such criteria partially sacrifices the pecuniary benefit or efficiency sought in the traditional investment. This research analyzes whether investment that incorporates ESG criteria presents differences with respect to traditional investment, by comparing its risk-return relationship in the Colombian stock market in the period 2015-2022. To do this, two indices were built under ESG criteria, and their performance was compared with the MCSI Colcap index, where the latter, as the general index of the Colombian stock market, represents traditional investment. The results of the study reflect that, when studying the entire samples based on the Sharpe ratio, ESG investment was more efficient than traditional investment. However, during the pandemic period, the latter performed better. The explanation of why these results were presented for ESG investment will give rise to other studies on the subject.Ítem Mitigación del riesgo de mercado a través de derivados agrícolas para la producción de panela en Santander – Colombia(Universidad EAFIT, 2024) Cárdenas Caro, John Wilson; Osorio León, Elizabeth; Giraldo Arango, MateoIn Colombia, the sugarcane sector is the second most important agroindustry in economic and social terms after coffee, with a 5.9% share in the agricultural GDP, positioning the country as the second largest producer in the world, after India (Ministerio de Agricultura y Desarrollo Rural, 2021). With a direct socioeconomic impact on nearly 350 thousand families, an approximate generation of 280 thousand jobs and more than 200 thousand hectares of cultivated area in 2019 (Elpais.com.co, 2022), the different factors that affect price formation through the interactions of supply and demand deserve special attention. In this paper we will consider how, through agricultural derivatives, it is possible to mitigate the market risk to which agents of the panelero sector, whose production is massively concentrated in the department of Santander, Colombia, are exposed. Through the formation of such derivative, with an underlying proxy based on sugar cane and the behavior observed in the Chicago Mercantile Exchange (CME), it is intended to provide an alternative to mitigate the risks associated with the volatility observed in income in recent years, and contribute to the strengthening, stability and productivity of this industry.Ítem Análisis de la rentabilidad y solidez del sistema financiero bancario en Colombia(Universidad EAFIT, 2024) Vélez Alzáte, Melina; Gallego Laverde, Andrea María; Téllez Falla, Diego FernandoIn this study, the main determinants of banking profitability, measured or represented through traditional indicators such as ROE (Retorn on Equity) and ROA (Retorn on Assets), are analyzed for the five most representative commercial banks in Colombia from January 2015 to December 2022. For this purpose, an econometric model is proposed using panel data methodology, which includes other financial indicators and macroeconomic variables to measure the sensitivity of these profitability indicators to changes in the economic cycle. The results suggest that movements or fluctuations in non-performing loans and provisions are statistically significant and have a direct influence on banking profitability.Ítem Estrategia de cobertura de tasa de cambio para una empresa exportadora de empaques para flores “Koen Pack Colombia S.A.S.”(Universidad EAFIT, 2024) Descanse Álvarez, Yerly Yurany; Arango Pérez, Reina Alexandra; Durango Gutiérrez, María PatriciaÍtem Impacto de la carga financiera en las empresas del sector de la construcción de vivienda residencial en Colombia como punto de control en la rentabilidad(Universidad EAFIT, 2024) Monroy Agudelo, Andrés Eduardo; Álvarez Cordero, Oscar Fernando; Cadavid Gil, AlejandroThe current research examines how the financial burden affects companies in the residential housing construction sector in Colombia and how this indicator affects the profitability of housing real estate projects. There are the following particular objectives of this study: • Identify the main elements of the financial burden that affect residential housing construction companies in Colombia. • Evaluate the relationship between the financial burden and profitability of residential housing conÍtem Impacto en la rentabilidad para las urbanizaciones residenciales de Medellín : Sistema fotovoltaico on-grid(Universidad EAFIT, 2024) Núñez Cadavid, Diego Fernando; Jaramillo Villa, Isabel Cristina; Giraldo Prieto, César Augusto