Papers by Eduardo Sandoval
The paper examines the effect of exchange rate risk on the conditional relationship between beta ... more The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in international equity markets from January 1978 through September 2004. We use an extension of the model introduced by Pettengill, Sundaran, and Mathur (PSM Model, 1995) and adapted by several authors afterwards. The empirical results show evidence in international markets that are compatible with the PSM model and some international studies addressing returns that are unhedged against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, the conditional relationship between beta risk and return appears asymmetric and presents a lower beta risk premium than the one takes place under unhedged returns in up-market months. A main business implication of the findings follows: international equity market administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world stock market conditions similar to those discussed throughout the paper.
En este artículo investigamos el desempeño de los estilos de inversión Value y Growth en los merc... more En este artículo investigamos el desempeño de los estilos de inversión Value y Growth en los mercados accionarios europeos de acuerdo a la clasificación de MSCI en los subperiodos previo, durante y post crisis financiera subprime. El desempeño se mide a través del alfa de Jensen. Como benchmark o modelo generador de retornos de equilibrio se usa un APT con tres factores de riesgo sistemáticos de mercado, ortogonales entre sí, basados en el comportamiento del mercado accionario de; Estados Unidos, Europa desarrollada y Europa emergente. Los resultados muestran que el mercado de Bélgica fue el más expuesto a destruir riqueza en el periodo de la crisis. Por el contrario, Rusia presentó la mayor fortaleza relativa exhibiendo el más alto desempeño. En el periodo previo a la crisis, Grecia es el que más destaca mientras que el periodo post crisis lo es Turquía. Se concluye que existe la necesidad de que Estados Unidos perfeccione su gobierno corporativo a fin de minimizar problemas de riesgo moral que se traspasan a los mercados accionarios de los países de Europa desarrollada al momento de presentarse eventos de crisis financiera global.
Cuadernos de economía, 2005
Following the Brown-Warner simulation approach and using Chilean daily security return data we ex... more Following the Brown-Warner simulation approach and using Chilean daily security return data we examine the specification and power of three parametric t-tests commonly employed in event studies: the standardized, the cross-sectional and the portfolio t-test. Our findings show that although individual security returns and security abnormal returns are evidently nonnormal, the cross-sectional mean abnormal returns converge to normality as the sample size increases. Thus, in event study setting involving event period of one day, methods based on the use of parametric t-tests seem to be well specified, at least at the 5% significance level. In terms of power, our simulation results show the standardized t-test always more likely to detect the presence of an abnormal return that its two parametric competitors: the cross-sectional and the portfolio t-test. We also find, however, that the power of the three t-tests is very sensitive to either the sample size or the length of the event period.
Clinical Autonomic Research, 2002
We sought to determine whether there was an association between specific neuropsychiatric deficit... more We sought to determine whether there was an association between specific neuropsychiatric deficits and autonomic dysfunction in patients with Alzheimer's disease (AD). We studied 20 patients and 20 age-matched control subjects with neuropsychiatric tests (Blessed, Cornell depression and NPI scores) and autonomic tests (Deep breath (HRdb), 30:15 ratio and orthostatic hypotension (Bpoh)). The 30:15 ratio was consistently reduced in AD patients as compared to control subjects (1.05+/-0.07 for patients and 1.18+/-0.1 for controls, p 0.001). Whereas there were no significant differences in the HRdb and presence of Bpoh. In AD patients with an abnormal 30:15 ratio, there were significant abnormalities in the Blessed score and in the apathy, delusions and aberrant motor behavior items of the NPI. The other autonomic tests did not correlate with any neuropsychiatric score. The relationship between abnormal cortical function and impaired 30:15 ratio suggested that a lack of cortical modulation of autonomic circuits may underlie cardiovascular instability in these patients.
Cuadernos de economía, 2004
Using the approach of , we analyze the unconditional versus conditional cross-sectional CAPM rela... more Using the approach of , we analyze the unconditional versus conditional cross-sectional CAPM relationship between portfolio beta-risk and return in the Argentinean, Brazilian, Chilean, and Mexican stock markets. We develop extensions to the original model to control for extra risk factors documented in the empirical literature: size, book-to-market ratio and momentum. The paper also presents the first testing of the market integration hypothesis among the Latin American stock markets.
... 2009 THE PRICING OF EXCHANGE RATE RISK IN UP AND DOWN WORLD STOCK MARKET PERIODS Eduardo Sand... more ... 2009 THE PRICING OF EXCHANGE RATE RISK IN UP AND DOWN WORLD STOCK MARKET PERIODS Eduardo Sandoval, Universidad de Concepción Arturo Vásquez, University of Texas Pan-American ABSTRACT This ...
Journal of Business Economics Research, Sep 2, 2011
In this paper we examine whether Economic Value Added (EVA TM ) is a good predictor of shareholde... more In this paper we examine whether Economic Value Added (EVA TM ) is a good predictor of shareholder value creation (SVC) for a group of Latin American companies. We also examine whether EVA TM is a better predictor of SVC than competing accounting-based measures of managerial performance. The relationship of these predictors to SVC is paramount in a study of factors influencing shareholder value creation such as the compensation of a firm's executives. Our results show strong correlations between EVA TM and SVC. They also indicate that EVA TM outperforms competing measures even after controlling for the potential effects that these last metrics have on SVC. Moreover, they reveal different levels of SVC sensitivity to changes in EVA TM across countries and significant differences in EVA's association with SVC across industries.
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Papers by Eduardo Sandoval