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Apropiación social del conocimiento - EPPMC

URI permanente para esta colecciónhttp://hdl.handle.net/10906/78209

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Examinando Apropiación social del conocimiento - EPPMC por Autor "Berggrun Preciado, Luis"

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    Currency Hedging for a Dutch Investor: The Case of Pension Funds and Insurers
    (Netherlands Central Bank, Research Department, 2015-10-01) Berggrun Preciado, Luis
    This paper analyzes the risk reduction effectiveness of currency hedging international portfolios from the perspective of an average Dutch pension fund and insurer during the period 1999-2004. Several portfolios and approaches to hedging are analyzed. Passive hedging seems to be efficient in reducing the volatility of a foreign bond portfolio whereas the risk reduction achieved for a foreign equity portfolio is not significant. The case of mixed (bonds and equities) portfolios and hedging is also analyzed. No significant risk reduction (at the same level of returns as that of an unhedged portfolio) was attained using a static hedging approach and portfolio optimization under short sale constraints. Using a selective (dynamic) hedging approach based on the forward premium, showed similar results; the volatility of an unhedged and hedged portfolio was virtually the same. Nevertheless, this selective hedging strategy had a positive impact improving the hedged portfolio returns.
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    Dividend payout policies: Evidence from Latin America
    (Elsevier, 2016-05-01) Berggrun Preciado, Luis
    This paper examines dividend payout policies for firms in six Latin American countries from 1995 to 2013. As predicted by the pecking order and trade-off models, the dividend payout is positively linked to profitability and negatively related to past indebtedness and investment opportunities. We also find that the target dividend payout ratio is positively related to governance indicators at the country level. In addition, the speed to which firms adjust their dividends to changes in earnings is lower in high governance countries in the region. Thus, firms smooth dividends more in countries with higher governance scores. We do not find evidence supporting the lifecycle theory nor illiquidity effects on dividends levels.