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 ...

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 ...

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 ...

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 ...

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/ ...

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 ...

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 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 ...

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 ...

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 ...