JEFAS Vol. 19 Nº 36 (2014)

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    Index tracking and enhanced indexation using a parametric approach
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Chávez-Bedoya Mercado, Luis C.; Birge, John R.
    Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index.
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    Modelo binomial para la valoración de empresas y los efectos de la deuda: escudo fiscal y liquidación de la firma
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Milanesi, Gastón Silverio
    This paper proposes a binomial model for company valuation, projecting scenarios of continuity or insolvency of the company, and comparing it with the discounted cash flow model. The Real Option Theory is used for estimating the value of the company, which results in an explicit trade-off between the advantages and the risk of taking on debts. The work is organized as follows: the model is introduced and developed, and then it is illustrated with the application of a case, comparing the results obtained with the discounted cash flow model. Variables like: leverage, tax rate and volatility are sensitive when analyzing the impact on the value of the company. Finally, the document describes the advantages of the proposed model.
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    Aid allocation, selectivity, and the quality of governance
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) In’airat, Mohammad
    The introduction of good governance in the economic growth and development agenda in the last two decades, along with the failure of aid conditionality to produce positive growth results, motivated ex-post selectivity instead of the ex-ante conditionality as a new approach to aid allocation. This paper aims to explore whether aid selectivity on the basis of the quality of governance is employed as a criterion in foreign aid allocation. The paper uses different instrumental variables as estimators to analyze the determinants of aid allocation over the period 2001–2010. The results produced strong evidence that countries with good governance are given preferential treatment by donors. Among the six governance indicators, it seems that voice and accountability and control of corruption are critical in the aid allocation decision.
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    Investment cash flow sensitivity under managerial optimism: New evidence from NYSE panel data firms
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Mohamed, Ezzeddine Ben; Fairchild, Richard; Bouri, Abdelfettah
    Investment cash flow sensitivity constitutes one important block of the corporate financial literature. While it is well documented in standard corporate finance, it is still young under behavioral corporate finance. In this paper, we test the investment cash flow sensitivity among panel data of American industrial firms during 1999-2010. Using Q-model of investment (Tobin, 1969), we construct and introduce a proxy of managerial optimism following Malmendier and Tate (2005a) to show the impact of CEOs’ optimism in the relationship between investment and internal cash flow. Our results report a positive and significant coefficient of investment to cash flow for the full sample. While, on estimations of our model using sub-sample of more and less constrained firms, we find that the sensitivity exists stronger only for totally constrained group. We find also that board characteristics can reduce investment policy's distortions.
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    Examining mean-volatility spillovers across national stock markets
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Natarajan, Vinodh Kesavaraj; Raja Singh, Azariah Robert; Priya, Nagarajan Chidham
    The study of the stock market in a country and the understanding of the influence of stock market crashes within and across the markets has been the subject matter of many researches academicians and analysts during recent times. In this study we investigate the mean-volatility spillover effects that happen across international stock markets. The study by taking into consideration the stock market returns based on various indices investigates the mean-volatility spillover effects using the GARCH in Mean model for the period January 2002 to (2011). The GARCH-M model seeks to provide useful insights into how information is transmitted and disseminated across stock markets. In particular the model examines the precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong mean and volatility spillover across some stock exchanges.
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    Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años
    (Universidad ESAN. ESAN Ediciones, 2014-06-30) Alonso, Julio César; Torres, Giselle
    There are many studies published in the literature on stylized facts in financial time series. However, for the Colombian case there is only one work that documents the stylized facts of the returns. Alonso and Arcos (2006) documented the presence of four stylized facts in the exchange rate series and the principal Colombian Stock Exchange Index (IGBC), using a daily sample for the period from January 21, 1999 to April 31, 2005. The aim of this document is to present five stylized facts on the behavior of the IGBC returns in its first 10 years. Furthermore, a wider range of statistical test is used to support the existence of those stylized facts. Evidence is provided for the following stylized facts: I) no efficiency of the market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect. In our case, the sample of the daily IGBC will be used for the period between July 3, 2001 and July 5, 2011.