The present paper calculates the systematic risk within the context of the capital asset pricing model to investigate the significance of financial leverage on systematic risk. Rather than testing the unlevered beta directly, we develop a multinomial model with theoretically predicted targets in...

Purpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/methodology/approach Using standard event study methodology, the authors want to...

The purpose of this paper is to clarify some of the difficulties that a practitioner may find in implementing the binomial model for valuing a corporate bond with multiple embedded options in emerging markets. Especially, when faced with the dilemma of determining which should be the proxy...

We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious...

This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three constant-duration portfolios to correct for mismatching maturities among...

EVA® (Economic Value Added) is a commonly used financial indicator that measures the real profitability of a firm for a specific period of time. The main concept behind EVA® is that the real profitability of the firm is a function of its cost of capital, net operational profits after taxes...

Value-at-Risk (VaR) has become one of the most used techniques in financial risk management. The purpose of this paper is to address how well the technique holds in a thinly traded environment, such as the one in the Colombian stock market. Our purpose is to measure the efficiency of...

An extensive body of knowledge has been developed around the theoretical relationship between the assumption that support the theory of the cost of capital and those that support the Portfolio-Capital Asset Pricing Model. The main discussion concerning how these theories are related is focused...

Many financial consultants, authors and teachers include changes in liquid assets (potential dividends) in the cash flows. This practice is against basic financial theory. We present economic, theoretical and empirical arguments to support the position to use only paid dividends in the cash...

We have examined the value that the market assigns to different components of the cash flow to equity including quot;potentialquot; dividends. We study non financial publicly traded firms of five Latin American countries: Argentina, Brazil, Chile, Mexico and Peru during the period 1991-2007. The...