JEFAS Vol. 19 Nº 36 (2014)

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4124

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  • Miniatura
    ÍtemSolo Metadatos
    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.
  • Miniatura
    ÍtemSolo Metadatos
    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.