Browsing Artículos y borradores de administración – Working papers by Subject "Emerging markets"

Now showing items 1-7 of 7

    • Financial autarchy as contagion prevention : the case of colombian pension funds 

      Cayón Fallon, Edgardo; Thorp, Susan (Routledge, 2014-12-05)
      Regulations restricting investment by pension funds in high-risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. We analyze contagion from U.S. equity markets to ...

    • Firm profitability and expected stock returns : evidence from Latin America 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (Elsevier Inc., 2020-01)
      Despite their higher valuation ratios, larger size, and higher investment needs, profitable firms outperform, in both raw and risk-adjusted returns, unprofitable firms in Latin America. The positive effect of firm profitability ...

    • Immunity and infection : emerging and developed market sovereign spreads over the global financial crisis 

      Cayón Fallon, Edgardo; Thorp, Susan; Wu, Eliza (Elsevier BV, 2018-03)
      We compare sovereign bond spreads during the international financial crisis across groups drawn from 43 countries, including 20 emerging economies. We extend traditional factor analyses and utilize propensity score matching ...

    • Industry momentum in Latin America 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (Elsevier Inc., 2023-03)
      We examine whether high-return industries outperform low-return industries in Latin America. Differences in performance between recent winner and loser industries are very often indistinguishable from zero. Evaluating the ...

    • Is board turnover driven by performance in family firms? 

      González Ferrero, Maximiliano; Guzmán Vásquez, Alexander; Pablo, Eduardo; Trujillo Dávila , María Andrea (Elsevier Inc., 2019-04)
      We study director turnover as a corporate governance mechanism in family firms; specifically, the effect that family involvement in management, ownership, and control has on director turnover (direct effect) and on director ...

    • Profitability of momentum strategies in Latin America 

      Berggrun, Luis; Cardona, Emilio; Lizarzaburu Bolaños, Edmundo R. (Elsevier BV, 2020-07)
      This article examines performance of momentum portfolios in Latin America. Conventional momentum produces zero risk-adjusted returns. Residual and model-based momentum strategies are also unable to deliver positive and ...

    • 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 ...