Listar Publicaciones e Investigación por autor "Sandoval, Juan S."
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The application of proxy methods for estimating the cost of equity for unlisted companies : evidence from listed firms
Sarmiento Sabogal, Julio Alejandro; Sadeghi, Mehdi; Sandoval, Juan S.; Cayón Fallon, Edgardo (Springer New York LLC, 2021-03-13)The Campbell and Vuolteenaho (Am Econ Rev 94(5):1249–1275, 2004) two–beta model decomposes the systematic risk in the sensitivity of cash flow and discount rate change. We employed this model, which we call the Two Beta ... -
The disposition effect and the relevance of the reference period : evidence among sophisticated investors
Sarmiento Sabogal, Julio Alejandro; Rendón, Jairo Andrés; Sandoval, Juan S.; Cayón Fallon, Edgardo (Elsevier BV, 2019-12)The Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with ... -
Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
Sarmiento Sabogal, Julio Alejandro; Cayón Fallon, Edgardo; Collazos, María; Sandoval, Juan S. (Elsevier Inc., 2017-10)Purpose We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes. Design We use a non-parametric, asymmetric, Granger causality test to ...