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Sesgos en los modelos de sincronización tradicionales

Author

Listed:
  • Ferruz, Luis

    (Universidad de Zaragoza)

  • Muñoz, Fernando

    (Universidad de Zaragoza)

  • Vargas, María

    (Universidad de Zaragoza)

Abstract

This paper represents, to the best of our knowledge, the first attempt to bring together all of the biases affecting traditional timing models that have been identified in the literature. These biases are the cause of spurious coefficients and our aim is to propose certain corrective measures. The biases analysed in this paper are related with volatility timing, as well as return timing; the incorporation of public information; the dynamic trading effect; the options implied in timing activities; infrequent trading and the variations in market conditions.// En este artículo se reúne por primera vez todos los sesgos evidenciados por la bibliografía que afectan a los modelos de sincronización (timing) tradicionales generando coeficientes espurios y se intenta aplicar las correcciones oportunas. Algunas de estas correcciones se proponen en el trabajo. Estos sesgos tienen relación con la consideración de la sincronización en riesgo —además de en rentabilidad—, con la incorporación de información pública, con el efecto de la negociación dinámica, con la opción implícita en las actividades de sincronización, con el efecto de la negociación infrecuente, así como con la variación en las condiciones del mercado.

Suggested Citation

  • Ferruz, Luis & Muñoz, Fernando & Vargas, María, 2010. "Sesgos en los modelos de sincronización tradicionales," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(308), pages 937-976, octubre-d.
  • Handle: RePEc:elt:journl:v:77:y:2010:i:308:p:937-976 DOI: http://dx.doi.org/10.20430/ete.v77i308.460
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    File URL: http://www.eltrimestreeconomico.com.mx/index.php/te/article/view/460/502
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    References listed on IDEAS

    as
    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    2. Carmen M. Reinhart, 2000. "Mirage of Floating Exchange Rates," American Economic Review, American Economic Association, vol. 90(2), pages 65-70, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    sesgos en modelos de sincronización; efecto de la negociación dinámica; fondos de inversión; opciones; efecto de sincronización pasiva; información pública; efecto de estrechez del mercado; sincronización en volatilidad;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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