Maestría en Ciencias en Finanzas (tesis)
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Ítem Corporate and ESG performance : the moderating effect of environmental dimensions(Universidad EAFIT, 2024) Hurtado Rivera, Daniel; Gaitán Riaño, Sandra Constanza; Téllez Falla, Diego FernandoÍtem Measuring the Effectiveness of Renewable Hedging Strategies : the Case of Energy Retailers(Universidad EAFIT, 2024) Fernández López, Paola Andrea; Pantoja Robayo, Javier OrlandoÍtem Inference in the generalized true random-effects model using approximate Bayesian computation : disentangling the efficiency puzzle in the US bank industry(Universidad EAFIT, 2024) Rueda-Ramírez, Estephania; Ramírez-Hassan , Andrés; Ramírez-Hassan, AndrésÍtem Including Climate-Induced Jumps in Forward Price Trends in the Wholesale Energy Markets(Universidad EAFIT, 2024) Pascua Guerra, Luis Antonio; Pantoja Robayo, Javier OrlandoÍtem Active portfolio management process with sentimental factor. Iterative deep learning approach(Universidad EAFIT, 2023) Alemán Muñoz, Julián Alberto; Pantoja Robayo, Javier OrlandoÍtem Systemic Risk in Energy Markets : A Factor Time Series GAN Approach(Universidad EAFIT, 2022) Arenas Vásquez, Oscar Javier; Mosquera López, StephaníaÍtem Stock market reactions and trade exposure around the world : evidence from the US-China trade war(Universidad EAFIT, 2022) Pineda Jiménez, Julián; Cortés Durán, Lina Marcela; Trimarchi, LorenzoThis thesis aims to investigate the stock market reactions around the world to the US-China trade war using an event study. Specifically, we study abnormal returns and abnormal volatility on March 22, 2018, when the first tariff measures focused on China were debated in the US. Then, consistent with some theoretical models, we check the heterogeneity of the results according to specific firm characteristics. The most affected stocks were those of China, the US, and Asia. Size and trade exposure are related to lower abnormal returns and higher abnormal volatility, while productivity is related to higher returns and lower volatility. Finally, price reactions are used to measure exposure to the trade war and as explanatory variables over financial outcomes in the following years using a difference-in-differences approach. Firms that experienced lower abnormal returns showed a reduction in sales, employment, and capital growth. For abnormal volatility, the direction is the opposite, and it is significant. When we split the samples by firm characteristics, the effects are mainly present in firms that are larger, more productive, and more exposed to trade. Results have implications for policymakers regarding employment, managers in firm decisions, and investors in forecasting and risk management.Ítem Identificación no paramétrica de factores para el corte transversal de retornos de acciones latinoamericanas(Universidad EAFIT, 2022) Zuluaga Rendón, Simón; Agudelo Rueda, Diego AlonsoÍtem Efficiency and effectiveness of fundraising in crowdfunding model vs traditional models(Universidad EAFIT, 2022) Jaramillo Ochoa, Valeria Andrea; Gaitán Riaño, Sandra ConstanzaÍtem Corporate social responsibility and cost of equity : evidence from Latin America(Universidad EAFIT, 2022) Castellanos Rios, Santiago; Gaitán Riaño, Sandra ConstanzaÍtem Cross- Hedging emerging stock indexes in Latin America with commodities and financial futures contracts in time of crises(Universidad EAFIT, 2022) Arango Montoya, Valeria; Couleau, AnabelleÍtem Peer-selection and systematic risk : an unexplored relation(Universidad EAFIT, 2022) Lopera Parra, Luis Miguel; Restrepo Tobón, Diego AlexanderÍtem Institutional investors on investment agency costs : evidence from U.S. dual-class firms(Universidad EAFIT, 2021) Romero Castaño, Nicolás; Herrera Echeverri, Hernán H.Ítem Joint estimation of multi-country term structure models(Universidad EAFIT, 2021) Escobar David, Andrés Felipe; Restrepo Tobón, Diego AlexanderÍtem Numerical methods to value an option including risk aversion with a CRRA utility function(Universidad EAFIT, 2021) Manzur Guevara, Diego; Marín Sánchez, Fredy Hernán; Pareja Vasseur, Julián AlbertoÍtem 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 Machine learning investment strategies and the liquidity premium for the Colombian yield curve(Universidad EAFIT, 2020) Castro Mejía, Andrés Felipe; Almonacid Hurtado, Paula MariaÍtem Information disclosure and firm value : empirical evidence for MILA(Universidad EAFIT, 2020) Restrepo Castro, Luisa Fernanda; Téllez Falla, Diego FernandoInformation disclosure is an important aspect of a company’s governance policy, affecting investor’s decision-making and firm value. The purpose of this study is to estimate the effect of information disclosed on firm value for firms in the Integrated Latin American Market (MILA) countries over the period 2011-2017. We use Structural Equations Modelling (SEM), where our latent variable “Disclosure Quality” is measured using five textualanalysisvariablesasindicators. Wefindapositiveandstatisticallysignificanteffect of “Disclosure Quality” on Firm Value.Ítem Does board diversity matter on credit risk?(Universidad EAFIT, 2020) Giraldo Arango, Daniel; Gaitán Riaño, Sandra ConstanzaÍtem Customer churn prediction in insurance industries : a multiproduct aproach(Universidad EAFIT, 2020) Henao Madrigal, Mauricio; Laniado Rodas, Henry; Restrepo Tobón, Diego AlexanderCustomers in the insurance industry usually have multiple products under the same company. Due to the importance of costumers and the increase of quality and satisfaction given in services, churn prediction for multiproduct customers has become important to support customer satisfaction. An estimation was made, using survival models, to find the determinants that most affect multiproduct customer churn. Using data from a Latin American company, the estimation shows that the first product cancellation influences customer churn. The variables that have the strongest influence in churning are the number of cancelled products, the customers portfolio, the claims paid and the distribution channel. On the other hand, the variables that increase the life time of the customer in the company after the first cancellation are the maximum number of products the customer has had and having a health insurance after the first cancellation. This study contributes by identifying the significant variables that influence customer churn in the Latin American insurance industry, and estimating the time a customer will remain in the company after the first cancellation, which will help stakeholders on the achievement of a customer centered strategy.
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