masterThesis
Efecto de fondos pasivos en el mercado de renta variable colombiano
Fecha
2019-03-18Registro en:
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TE10143
Autor
Pedraza, Álvaro
Institución
Resumen
Este documento examina la relación entre el precio de las acciones del mercado colombiano y el comportamiento de cada estilo de fondo de inversión extranjero. Las acciones del mercado muestran un comovimiento fundamental en flujos de inversión internacional, sin embargo, el beta y la correlación de mercado son afectados en una mayor relación por los volúmenes tranzados de cada estilo de fondo. Se consideran medidas de Momentum: Rezagado, Contemporáneo y Adelantado para cada uno, distinguiendo entre la hipótesis de la información y la formación de precios. La alta participación de fondos extranjeros pasivos en el Momentum Contemporáneo, generan mayor comovimiento en el precio de las acciones vs aquellas acciones que tienen una baja participación de este estilo de fondo.