The trading app Robinhood maintains a list of the 100 stocks most widely held by its users. Using a novel dataset of stock popularity with Robinhood user, I focus on new securities that enter the list. I document the strong effect that salience of new Top 100 listing events has on the attention...

Our paper analyzes the performance of different methods to adjust beta. Specifically, we compare the standard OLS regression method with the Blume and the t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the...

The biggest challenge in testing mutual funds for manager skill is the lack of a probability distribution of returns under the null hypothesis of no skill. A methodology based on randomly trading portfolios and non parametric statistical tests is explored, and a test of skill is proposed....

After building up foreign currency-denominated (FC) liabilities over several years, the balance sheets of Colombian firms might be particularly vulnerable to a shift in external conditions. This paper undertakes four exercises in order to get a better understanding of these vulnerabilities....

Using the 2003 and 2008 Quality of Life Surveys, this paper identifies the factors that affect housing tenure decisions in Colombia. Households with higher incomes are more likely to purchase than to rent, and the choice of formal housing is positively associated with wealth. Households eligible...

This paper examines the determinants of the high intermediation spread observed in the Colombian banking sector for over two decades. A reduced-form equation is estimated on the basis of a bank profit maximization model that permits a decomposition into operational costs, financial taxation,...

After several decades of financial repression with some partial attempts at liberalization, Colombian policymakers set out to complete the liberalization process in the early nineties, reducing financial taxation, freeing interest rates, facilitating entry/exit, and eliminating capital account...

We theoretically establish a market microstructure bias embedded in the estimate of industry-adjusted idiosyncratic variance and empirically show that the bid-ask spread eliminates the observed time trend in aggregate idiosyncratic variance (Campbell, Lettau, Malkiel, and Xu, 2001). These...

Reference-day risk has been previously identified as a type of sampling variation phenomenon, and its effect on the estimation of stock returns and their volatility and market betas have been documented. Using a dataset of daily equity mutual fund returns, we extend previous studies to analyze...

This paper deals with three aspects related to the value added tax in Colombia. First, we show that althogh the VAT's "productivity" is at an acceptable level according to international standards, it has recently been declining. Second, we estimate tax evasion/elusion for 1994. Our results...