We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting...

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of a better and consistent...

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates....

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the ?financial sector. Paradoxically, up until the ?financial world crisis of 2007-2009, little attention was given to macroeconomic and ?financial interdependence. And, in spite of a...

This study tests the effects of risk management and hedging decisions on firms' market value. Using information on Colombian nonfinancial firms and the locale's most liquid derivatives market, we find that for a panel of eighty-one large Colombian corporations the growth rate of Tobin's <i>q</i>...

En este trabajo se presenta un modelo estadístico de alerta temprana que utiliza modelos de duraciónpara evaluar el estado corriente y pronosticar el estado futuro de la salud financiera de los bancos enColombia. En el artículo se discuten las ventajas que tiene utilizar modelos de duración...

A regular vine copula approach is implemented for testing for contagion among the exchange rates of the six largest Latin American countries. Using daily data from June 2005 through April 2012, we find evidence of contagion among the Brazilian, Chilean, Colombian and Mexican exchange rates....

The history of economic recessions has shown that every deep downturn has been accompanied by disruptions in the financial sector. Paradoxically, up until the financial world crisis of 2007-2009, little attention was given to macroeconomic and financial interdependence. And, in spite of a...

This study implements a regular vine copula methodology to evaluate the level of contagion among the exchange rates of six Latin American countries (Argentina, Brazil, Chile, Colombia, Mexico and Peru) from June 2005 to April 2012. We measure contagion in terms of tail dependence coefficients,...