Apropiación social del conocimiento - IFC

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

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Aplicación de las teorías de la firma: operacionalización del CAPM para empresas de Colombia y latinoamericanas
(Universidad Icesi, 2010-01-01) Buenaventura Vera, Guillermo
To calculate the CAPM, we need to know variables such as risk-free rate, beta and market premium. The calculation of these parameters is given generally for application in strong equity markets (near efficiency) which is not the case of emerging markets, for this reason, the paper proposes a methodology for calculating parameters of the CAPM for emerging countries to make recommendations to facilitate its implementation.
Corporate governance index in emerging markets: Peruvian listed companies
(Emerald Group Publishing Ltd., 2016-01-01) Berggrun Preciado, Luis
Companies are wishing to incorporate good corporate governance practices into their organization in order to be more attractive to investors, knowing whether this influences their financial indicators and profitability or not. This, in fact, is beneficial for investors so they know that a company who applies the principles of corporate governance (CG) presents best management practices and transparent information, safeguarding the interests of all its stakeholders, which helps their investment decision; reducing market uncertainty, making it more efficient and liquid. The research focuses on the companies listed in the Stock Exchange of Lima that had implemented CG strategies in their organizations
Cost of Capital when Dividends are Deductible
(Sociedade Brasileira de Finanças, 2011-01-01) Benavides Franco, Julián
When calculating Tax Savings, TS we are confronted with a strange mix of accounting accrual and market value when involving TS in the calculation of the Weighted Average Cost of Capital, WACC or the Cost of Equity, Ke. Firms earn the right to TS once they accrue the interest expense and they actually earn the TS when taxes are paid. Tax savings and the discount rate () we use to calculate their value are involved in the calculation of WACC and Ke. Textbook WACC formulation is a very special and unique case that is not typical. Based on previous findings, we derive a general approach to those formulas that take into account any kind of TS related to the financing decision of a firm and any date when the TS is earned. These formulations can be used to introduce any type of externality that creates value through tax savings not captured by neither the cost of debt nor the cost of equity. In this paper we develop the formulations for Ke, the cost of levered equity and the average cost of capital when dividends, interest on equity or monetary correction of equity are deductible. This is the case of Brazil. We show that using the proper formulation the most known valuation methods, i) Firm value with Free Cash Flow and WACC for the FCF; ii) value with the Capital Cash Flow and WACC for the CCF; iii) equity value with the Cash Flow to Equity and Ke, the levered cost of equity plus debt; iv) Adjusted Present Value, APV are consistent and give identical results.
Diseño metodológico de la evaluación de proyectos energéticos bajo incertidumbre en precios : caso de cogeneración de energía en una empresa en Cali
(Universidad Icesi, 2013-01-01) Buenaventura Vera, Guillermo; Nuñez Viveros, Carlos Andrés; Gallego Hidalgo, Gabriel José
Energy resources in the industry have increased in importance and competitiveness, representing the second or third major item in the cost of manufacture. The fluctuating behavior of historical costs, as well as the uncertainty of their future trend, accentuated by the imminent removal of the tax contribution on electricity (20% of the tariff), has led to questioning whether energy co-generation projects will be viable in the near future. This paper shows, from the development of an innovative methodology to assess the feasibility of the implementation of projects of co-generation based on three simulations that used statistical information and mathematical projections, as well as a performing a sensitivity analysis of the expected behaviors of future prices of electrical energy and fuels.
Efectos de la regulación bursátil sobre la efi ciencia de los mercados de valores . Comparación entre España y Reino Unido
(Routledge, 2010-06-01) Tobar Arias, Jose Elias
Este trabajo presenta el primer estudio comparado sobre la rentabilidad obtenida por los directivos en sus operaciones con acciones propias en dos mercados de valores caracterizados por marcos legales diferentes: España y Reino Unido. Analiza si las diferencias en el grado de regulación y coerción del «abuso de mercado» producen diferencias en el grado de eficiencia del mercado. Esto permitirá expresarnos sobre el grado de efectividad de los denominados close periods o periodos de censura implantados en Reino Unido o sobre el mayor rigor en el cumplimiento de los plazos fijados por ley para el anuncio pùblico de las operaciones de directivos. Los resultados evidencian que las mayores restricciones establecidas en el Reino Unido no impiden que los directivos obtengan rentabilidades anormales, detectadas por igual en ambos países, pero sí contribuyen positivamente sobre la transparencia del mercado y la correcta formación de precios al favorecer la forma semi-fuerte de eficiencia.
Fund flows and performance in Brazil
(Elsevier, 2015-02-01) Berggrun Preciado, Luis
This study analyzes how fund flows react to past performance in the dynamic Brazilian equity fund market over the period from 2001 to 2012. The study also tests for a “smart money” effect (Zheng, 1999), or whether funds that receive more money subsequently outperform those that receive less money. We find that investor flows chase past performance, and document some differences in the flow–performance relationship between retail and institutional funds. We do not find evidence of a “smart money” effect for the entire sample of funds. Nonetheless, flows in small and retail funds, which are often seen as populated by less sophisticated investors, do anticipate future fund performance.
Governance codes: facts or fictions? a study of governance codes in Colombia
(Universidad Icesi, 2011-01-24T21:11:58Z) Mongrut Montalvan, Samuel; Benavides Franco, Julián
This article studies the effects on accounting performance and financing decisions of Colombian firms after issuing a corporate governance code. We assemble a database of Colombian issuers and test the hypotheses of improved performance and higher leverage after issuing a code. The results show that the firms’ return on assets after the code introduction improves in excess of 1%; the effect is amplified by the code quality. Additionally, the firms leverage increased, in excess of 5%, when the code quality was factored into the analysis. These results suggest that controlling parties commitment to self restrain, by reducing their private benefits and/or the expropriation of non controlling parties, through the code introduction, is indeed an effective measure and that the financial markets agree, increasing the supply of funds to the firms.
Idiosyncratic volatility and stock returns: Evidence from the MILA
(Elsevier Ltd, 2016-05-01) Cardona, Emilio
This paper examines the association between idiosyncratic volatility and stock returns in the MILA from 2001 to 2014. Based on portfolio strategies that rely on one- or two-way sorts, we find that idiosyncratic risk is not a predictor of returns in the whole period or during high or low volatility months in the integrated market. We confirm the lack of an idiosyncratic volatility effect in a multivariate setting conducting errors-in-variables-free panel regressions. Overall, unsystematic risk is not a priced factor in the MILA, in line with predictions of several pricing models and recent literature in the U.S. market. © 2016 Elsevier B.V.
El Nuevo Entorno Financiero
(Universidad Icesi, 2011-01-01) Lopez Avila, Cesar Omar; Ochoa Díaz, Héctor
Este capítulo presenta artículos en las áreas de finanzas y contabilidad que estudian diferentes aspectos que afectan al quehacer de las empresas y los practicantes de la disciplina en el presente entorno. Cuando la crisis financiera de 2007 y 2008 parece extenderse y afectar el crecimiento de las economías desarrolladas, ante los temores de sostenibilidad fiscal y una ausencia de liderazgo, es cada vez más relevante el estudio de cómo las empresas pueden responder ante estas crisis, este es el tema analizado por Grosse en su artículo “La crisis financiera global y las respuestas de compañías latinoamericanas”. El capítulo se compone de dos artículos de los conferencistas especiales invitados en el marco del Simposio “Análisis y propuestas creativas ante los retos del nuevo entorno empresarial”, y de tres artículos publicados en Estudios Gerenciales que participaron en las sesiones simultáneas de finanzas y que, por su relevancia para el tema central de este capítulo, fueron reimpresos de su versión publicada final En primer lugar, el profesor Robert Grosse estudia cómo ciertas empresas mexicanas han respondido a las más recientes crisis financieras. Utilizando un marco de trabajo estructurado alrededor del efecto que la crisis tiene en la estructura de costos, de ingresos y el perfil de riesgos de la empresa, así como el efecto de la crisis en los trabajadores y las respuestas de corto y largo plazo para cada dimensión, se analizan las estrategias de las empresas Proeza, Cemex, Famsa y Alfa. El modelo se esquematiza comoCRR+P (Costs, Revenues, Risk plus People).
Patrones del IGBC y Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para datos intra-día
(Universidad Icesi, 2009-09-01) Alonso Cifuentes, Julio César
This paper evaluate the performance of 17 different parametric and non-parametric specifications and high frequency data for Colombian exchange market index (IGBC). We model the variance of the return using GARCH-M and TGARCH models that take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We estimate those models under two assumptions of the behavior of the returns: Normal distribution and t distribution. These exercise is performed for two different ten-minute intraday samples: 2006-2007 and 2008-2009. For the first sample, we found that the best model is a GARCCH-M (1,1) with the hour-of-the-day effect. For the 2008-2009 sample, we found that the model with the correct conditional VaR coverage would be the GARCH-M with the day-of-the-week effect, and the hour-of-the-day effect.
¿Qué tan buenos son los patrones del IGBC para predecir su comportamiento?: una aplicación con datos de alta frecuencia. Financial market and its patterns: a forecast evaluation with high frequency data
(Universidad Icesi, 2008-03-01) Alonso Cifuentes, Julio César
Using 18 different specifications of the GARCH-M model and high frequency data for the Colombian exchange market index (IGBC), we evaluate the out-of-sample performance of the models. The models considered take in account the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect. We evaluate 1000 one-step-ahead rolling forecasts for each of the 18 models. Using different descriptive statistics and the Granger and Newbold (1976) test and the Diebold and Mariano (1995) test, we found that the best model would be the GARCH-M without the leverage effect, the day-of-the-week effect, and the hour-of-the-day effect.
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.

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