Listar Publicaciones e Investigación por autor "Sarmiento Sabogal, Julio Alejandro"
Mostrando ítems 1-12 de 12
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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 ... -
Does attending a public or private university make a difference for students in Colombia?
Cayón Fallon, Edgardo; Correa Restrepo, Juan Santiago; Sarmiento Sabogal, Julio Alejandro (Econjournals, 2017-03-29)In this paper, we explore the difference in quality between public and private higher education institutions (HEIs) in Colombia. We test whether the differences in the national exam that measures student performance (Saber ... -
Economic news and colombian sovereign bonds
Sarmiento Sabogal, Julio Alejandro; Cayón Fallon, Edgardo; Villegas, Daniel; Hoyos, Alejandro; Altamar Barrios, Juan David (EuroJournals, 2013)This paper analyses the effect of surprises in local and international economic news on the Colombian local-currency government bond market. In this study, we categorize the different government bond issues into three ... -
The effects of the global financial crisis on the colombian local currency bonds prices : an event study
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro; Shukla, Ravi K. (Emerald Publishing Limited, 2016-09-12)Purpose The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC). Design/ ... -
Impact of commodities and global stock prices on the idiosyncratic risk of Bitcoin during the COVID-19 pandemic
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (LLC "CPC" Business Perspectives, 2021-11-24)In times of exogenous systemic shocks, such as the COVID-19 pandemic, it is important to identify hedge or safe haven assets. Therefore, this paper analyzes changes in the idiosyncratic risk of Bitcoin in a portfolio of ... -
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (MDPI AG, 2022-09-22)This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in the present study, the definition of returns is simply the “rate of change” of observed prices for different ... -
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 ... -
A test of the efficient market hypothesis with regard to the exchange rates and the yield to maturity in Colombia
Sarmiento Sabogal, Julio Alejandro; Hatemi J., Abdulnasser; Cayón Fallon, Edgardo (World Scientific and Engineering Academy and Society (WSEAS), 2016)This article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal ... -
A test of the market efficiency of the Integrated Latin American Market (MILA) index in relation to changes in the price of oil
Hernández Gamarra, Katerin; Sarmiento Sabogal, Julio Alejandro; Cayón Fallon, Edgardo (Econjournals, 2015-04-16)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 ... -
Testing contagion with propensity matching estimators : a three country empirical example
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (EuroJournals, 2014)We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign ... -
Testing for contagion from oil and developed markets to emerging markets : an empirical analysis using systemic risk parameter
Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro (Centrum Badan Socjologicznych, 2020)This paper analyses the volatility transmission from changes in prices in oil and developed stock markets to emerging markets. We test for volatility contagion from these two factors while allowing for interaction between ...