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...

The purpose of the present study is to find evidence that if actively managed Colombian private pension open mutual funds can outperform a specific market benchmark such as a passively managed ETF. After doing a review of the existing literature on the subject, the data form thirty (30)...

The purpose of this paper is to study if there is a Granger causality relationship between the price of oil and the prices of the stocks that compose the Integrated Latin American Market (MILA) index. Our analysis found that from the perspective of the efficient market hypothesis, there is no...

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...

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...