Apropiación social del conocimiento - IFC

URI permanente para esta colecciónhttp://hdl.handle.net/10906/78241

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Latinamerican Dividends: do they fit in any theory?
(Universidad Icesi, 2007-01-01) Arcos Mora, Mauricio Alejandro
We test different predictions of the pecking order and trade-of theories for the dividends of a sample of Latin-American firms in seven countries covering the years 1999 to 2005. Most of the theoretical predictions are confirmed by the data; our tests also report a high speed of adjustment in the dividend levels of the firms in the sample. A simple model testing the effect of the payout level on the dividend yield, find some support for the tax advantage of capital gains over dividends
Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos
(Universidad Icesi, 2006-08-01) Alonso Cifuentes, Julio César
This paper evaluates the performance of different parametric and semiparametric methods, as well as the historical simulation method, to estimate the nexttrading- day VaR of 7 representative portfolios for 7 different Latin American countries. It is found that there is not a single model that outperforms the others. For a 95% confident level, parametric models with EWMA and TGARCH specification to update the volatility outperforms the others. On the other hand, those models over-estimate the “true” VaR for a 99% confidence level.