Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana
31 páginas
- Autores:
-
Zuluaga Hurtado, Pablo Cesar
Roa Neira, Juan Felipe
- Tipo de recurso:
- Fecha de publicación:
- 2021
- Institución:
- Universidad de la Sabana
- Repositorio:
- Repositorio Universidad de la Sabana
- Idioma:
- spa
- OAI Identifier:
- oai:intellectum.unisabana.edu.co:10818/46818
- Acceso en línea:
- http://hdl.handle.net/10818/46818
- Palabra clave:
- Finanzas
Inversiones
Planificación estratégica
Países en desarrollo
- Rights
- License
- Attribution-NonCommercial-NoDerivatives 4.0 International
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana Finanzas Inversiones Planificación estratégica Países en desarrollo |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Coberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericana |
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Zuluaga Hurtado, Pablo Cesar Roa Neira, Juan Felipe |
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Pedraza Morales, Álvaro Enrique |
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Zuluaga Hurtado, Pablo Cesar Roa Neira, Juan Felipe |
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Finanzas Inversiones Planificación estratégica Países en desarrollo |
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Finanzas Inversiones Planificación estratégica Países en desarrollo |
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31 páginas |
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Pedraza Morales, Álvaro EnriqueZuluaga Hurtado, Pablo CesarRoa Neira, Juan Felipe2021-02-05T16:21:03Z2021-02-05T16:21:03Z2021-01-21http://hdl.handle.net/10818/46818280652TE1112731 páginasGracias a la integración económica y financiera, los inversionistas extranjeros han encontrado mayor diversidad y oportunidades de inversión en países emergentes. Estos inversionistas en ocasiones ven la necesidad de cubrir su riesgo cambiario por medio de coberturas con derivados de tasas de cambio. En algunos casos existen barreras para ejecutar este tipo de operaciones como lo es la liquidez o en el caso específico de los inversionistas minoritarios donde no pueden acceder a estos por no contar con un buen musculo financiero. Es por esta razón que esta investigación abordara una estrategia de cobertura proxy que iguale o mejore los resultados de una cobertura cambiaria tradicional. Para este efecto, se calculó la rentabilidad y la eficiencia de tres estrategias (Cubrir, cubrir tradicional y cubrir con proxies) para un portafolio en Renta variable con mayor ponderación en Latinoamérica para un inversionista americano que invierte en octubre de 2007 hasta junio del 2020. De los resultados encontrados se concluye que si es posible encontrar una manera más fácil y accesible de cubrir el riesgo cambiario de acuerdo con la teoría de la cobertura proxy.Thanks to economic and financial integration, foreign investors have found greater diversity and investment opportunities in emerging countries. These investors sometimes see the need to hedge their exchange risk through hedging with exchange rate derivatives. In some cases there are barriers to executing this type of operations such as liquidity or in the specific case of retail investors where they cannot access these because they do not have a good financial muscle. It is for this reason that this research will address a proxy hedging strategy that matches or improves the results of a traditional currency hedge. For this purpose, the profitability and efficiency of three strategies (hedging, traditional hedging and hedging with proxies) were calculated for a portfolio in Equities with the highest weighting in Latin America for an American investor who invests in October 2007 until June 2020. From the results found, it is concluded that it is possible to find an easier and more accessible way to cover the exchange rate risk according to the theory of proxy hedging.application/pdfspaUniversidad de La SabanaAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/http://purl.org/coar/access_right/c_16ecinstname:Universidad de La Sabanareponame:Intellectum Repositorio Universidad de La SabanaCoberturas Proxy : un enfoque desde un portafolio internacional concentrado en renta variable latinoamericanabachelorThesispublishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_7a1fFinanzasInversionesPlanificación estratégicaPaíses en desarrolloDemirgüç-Kunt, A., Pedraza, A., & Ruiz Ortega, C. (2020). Banking sector performance during the covid-19 crisis. Demirguc-Kunt A, Pedraza A, Ruiz-Ortega C. Banking Sector Performance During the COVID-19 Crisis. World Bank Policy Research Working Paper, 9363.BIS. (2019). Foreign Exchange Turnover in April 2019: Preliminary Global Result. Triennial Central Bank Survey, September, 24Chincarini, L. B. (2007). The effectiveness of global currency hedging after the Asian crisis. Journal of Asset Management, 8(1), 34¿51. https://doi.org/10.1057/palgrave.jam.2250059Cornuejols, G., & Tütüncü, R. (2006). Optimization methods in finance. Optimization Methods in Finance, January, 1¿345. https://doi.org/10.1017/CBO978051175388Development, I., & Guide, D. I. (2012). Deutsche Bank DBIQ Optimum Yield Commodity Basket Indices. 44(November), 1¿5Escobar, L., & Pedraza, A. (2019). Active Trading and (Poor) Performance: The Social Transmission Channel. World BankFidora, M., Fratzscher, M., & Thimann, C. (2007). Home bias in global bond and equity markets: The role of real exchange rate volatility. Journal of International Money and Finance, 26(4), 631¿655Froot, K. A. (1993). Currency Hedging Over Long Horizons. Currency Hedging Over Long Horizons, 4355. https://doi.org/10.3386/w4355Goodwin, T. H. (1998). The information ratio. Financial Analysts Journal, 54(4), 34¿ 43. https://doi.org/10.2469/faj.v54.n4.2196Guedj, I., Li, G., & McCann, C. (2011). Futures-Based Commodity ETFs. The Journal of Index Investing, 2(1), 14¿24. https://doi.org/10.3905/jii.2011.2.1.014Hauser, S., Marcus, M., & Yaari, U. (1994). Investing in Emerging Stock Markets: Is it worthwhile hedging foreign exchange risk? The Journal of Portfolio Management, 20(3), 76¿81. https://doi.org/10.3905/jpm.1994.76Huang, M. Y., & Lin, J. B. (2011). Do ETFs provide effective international diversification? Research in International Business and Finance, 25(3), 335¿344. https://doi.org/10.1016/j.ribaf.2011.03.003Indices, D. J., & Methodology, I. (2013). S & P Gsci. AugustKohlscheen, E., Avalos, F., & Schrimpf, A. (2017). When the walk is not random: Commodity prices and exchange rates. International Journal of Central Banking, 13(2), 121¿158. https://doi.org/10.2139/ssrn.2740946Leaño, M., & Pedraza, A. (2018). Ownership concentration and market liquidity: Evidence from a natural experiment. Economics Letters, 167, 56-59.Morales, L. de las N. (2008). Volatility spillovers between equity and currency markets: Evidence from major Latin American countries. Cuadernos de Economia - Latin American Journal of Economics, 45(132), 185¿215. https://doi.org/10.4067/S0717-68212008000200002Morales, A. E. P., Fuentes, O., Searle, P., & Stewart, F. (2017). Pension funds and the impact of switching regulation on long-term investment. The World Bank.Ornelas, J. R. H., Pedraza, A., Ruiz-Ortega, C., & Silva, T. (2019). Winners and Losers When Private Banks Distribute Government Loans. Development Research.Pedraza, A. (2019). Strategic information aggregation and learning from prices. Journal of Corporate Finance, 58: 208-225Pedraza, A. (2020). Informed trading in business groups. The World Bank Economic Review, 34 (2): 351-370Pedraza, A., Pulga, F., and Vasquez, J. (2020). Costly Index Investing in Foreign Markets. Journal of Financial Markets, 51, 100509Pedraza, Alvaro and Pulga, Fredy (2018). Asset Price Effects of Peer Benchmarking: Evidence from a Natural Experiment. International Review of Economics & Finance 62 (2019): 53-65.. Santaella, J., Department, B. for I. S. M. and E., & Wirtschaftsabteilung, B. für I. Z. (Basel). W. (2015). Currency Carry Trades in Latin America: Report. Bank for International Settlements, Monetary and Economic Department. https://books.google.com.co/books?id=2uhKjwEACAAJSharpe, W. F. (1994). The Sharpe Ratio. The Journal of Portfolio Management, 21(1), 49¿58. https://doi.org/10.3905/jpm.1994.409501Verma, R., & Ozuna, T. (2005). Are emerging equity markets responsive to crosscountry macroeconomic movements? Evidence from Latin America. Journal of International Financial Markets, Institutions and Money, 15(1), 73¿87. https://doi.org/10.1016/j.intfin.2004.02.003Ziegel, E. R. (2002). Analysis of Financial Time Series. 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