El trabajo evalúa el estado de las prácticas de gobierno corporativo en las empresas que negocian acciones ordinarias en la Bolsa de Colombia. Esta tarea se lleva a cabo mediante la construcción de un Índice de Gobierno Corporativo construido con información pública. Por otra parte se mide...

In financial theory, the optimal allocation of assets and its relationship with profitability has been one of the main concerns; the question has always been if banks should focus or diversify their assets. In our case, we would like to answer this question focusing in diversification of the...

Classic financial theory relies on the absolute perfection of capital markets, which results in one of the milestones of theoretical corporate finance: the firm’s value is invariant to the choice of capital structure. As an extension to the aforementioned proposition by Modigliani and Miller...

To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of...

This work analyzes the relationship between real interest rates and commodity prices. According to Frankel’s hypothesis (1986-2006): "low real interest rates lead to high real commodity prices". However, some empirical evidence suggests that commodity prices can predict monetary policy. In...

En el presente trabajo se muestra evidencia para rechazar la Hipótesis de Mercado Eficiente (HME) a través de la anomalía efecto día (day effect). Se utilizan dos aproximaciones: la primera, bajo el supuesto de normalidad, estima un modelo lineal que corrobora los hallazgos de estudios...

This paper evaluates the effects of capital account controls adopted in the past years by the FLAR’s member countries (Bolivia, Colombia, Costa Rica, Ecuador, Perú and Venezuela) on the efficiency of the banking sector, the economic growth and the volatility of output, consumption, and...

We present an investment process that: (i) decomposes securities into risk factors; (ii) allows for the construction of portfolios of assets that would selectively expose the manager to desired risk factors; (iii) perform a risk allocation between these portfolios, allowing for tracking error...

Partiendo de la base teórica de que existe una relación positiva entre el desarrollo del mercado de capitales y el crecimiento económico, se construyen indicadores de tamaño, liquidez, riesgo, integración y eficiencia, para el mercado accionario colombiano. Para esto, se usan medidas...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...