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Efectos de “ángeles caídos” en el mercado accionario colombiano: estudio de eventos del caso Interbolsa

  • José E. Gómez-González

    ()

  • Luis Fernando Melo Velandia

    ()

En este documento realizamos un estudio de eventos para estudiar los efectos del anuncio de problemas de liquidez y toma de posesión por parte de la Superintendencia Financiera de Colombia de la firma comisionista de bolsa Interbolsa S.A. en noviembre de 2012 sobre el rendimiento de las acciones transadas en la Bolsa de Valores de Colombia. Utilizamos datos diarios y diferentes ventanas de tiempo para el evento, y estimamos los retornos usando tres modelos alternativos (CAPM, CAPM con tasa libre de riesgo y modelo de tres factores) en los que modelamos la varianza condicional usando un modelo EGARCH (1,1). En general, encontramos que el evento afectó significativamente los rendimientos de las firmas listadas en la Bolsa en todos los modelos y para todas las ventanas de tiempo utilizadas.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 010977.

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Length: 11
Date of creation: 03 Sep 2013
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Handle: RePEc:col:000094:010977
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