Maestría en Administración

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/3896

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    ÍtemAcceso Abierto
    Analysis of the reaction of mining stocks to the development of copper prices
    (Universidad ESAN, 2017) Wallenstein, Thilo
    The mining sector is still one of the most fundamental ones in today´s economy, providing raw material to probably every industry. Accordingly, mining has a great influence on stock markets and investors worldwide. Following this importance of the mining industry, some research has been conducted, analyzing the development of mining stocks and its influencing factors. This research has so far neglected copper, as probably the second most important mineral after gold, and the influence of copper future prices on copper mining companies´ stock returns. Furthermore, it missed consideration of an international perspective, as most research focused on single stock markets, majorly in the United States of America. A last detected research gap, is the influence of the global financial crisis of 2008 on stock returns in the mining industry. This has partly been considered for individual stock exchanges (Lima), but not on an international scale.
  • Miniatura
    ÍtemAcceso Abierto
    Micro & small caps liquidity and stock return : an analysis of the US market
    (Universidad ESAN, 2018) Rojas Martínez, Harold Gustavo
    In this study we analyze the impact of different liquidity factors on the expected returns of the small caps listed in the USA stock market and find evidence that the mentioned effect exists. We show the existence of a premium driven by small caps that is not captured by the size factor but instead by their liquidity; this was done through performing linear regressions on models built as an extension of the Fama & French three-factor model. We learned that the liquidity factor exists and is bigger and statistically significant in the small caps than it is in the big caps, which corroborates what is stated in the literature. The importance of this investigation lays down in the potential application when deciding to build a portfolio that takes advantage of the liquidity effect of the small caps in addition to the standard ‘size effect’.