The Black-Litterman (BL) model has been proposed as an alternative to Markowitz's average-variance model for the structuring of financial asset portfolios, allowing the incorporation of perspectives of fundamental analysts and guaranteeing a high degree of diversification. This model is applied...

Spanish Abstract: Reflejan los mercados accionarios los fundamentales macroeconómicos de un país?. La hipótesis de eficiencia semifuerte (Fama 1970) implica que los mercados accionarios deben reaccionar inmediatamente, y sin sobre ni subreacción predecible, a las sorpresas en los anuncios...

Spanish Abstract: Los dos principales costos de transacción asociados a la liquidez en una bolsa de valores son el margen entre la oferta y la demanda (“bid-ask spread”), para transacciones menores, y el impacto en el precio (“price impact”) para transacciones de mayor volumen....

Does informed trading affect emerging stock markets? Market microstructure literature establishes that information asymmetry reduces liquidity and moves prices in the direction of the trade. We test for this theoretical implication by running the dynamic PIN model of Easley, Engle, O'Hara y Wu...

Foreign portfolio flows have been blamed for causing instability in emerging markets, especially during financial crises. This study measured the effect of foreign capital flows on volatility and exposure to world market risk in the six largest Latin American stock markets: Argentina, Brazil,...