Diego Agudelo

Universidad EAFIT

Carrera 49 N° 7 sur – 50

Bogotá, Antioquia 00000

Colombia

Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)

Carrera 49 No. 7 South - 50

Bogotá

Colombia

SCHOLARLY PAPERS

31

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1

Scholarly Papers (31)

1.

Does Information Asymmetry Matter in Emerging Markets? Evidence from Six Latin American Stock Markets

Center for Research in Economics and Finance (CIEF), Working Papers, No. 11-20
Number of pages: 20 Posted: 09 Mar 2014
Universidad EAFIT, Independent and Independent
Downloads 107 (247,618)

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information asymmetry, liquidity, PIN models, transaction cost, Probability of informed trading, emerging markets, market microstructure

2.

Liquidez En Los Mercados Accionarios Latinoamericanos: Estimando El Efecto Del Mercado Integrado Latinoamericano (MILA) (Stock Market Liquidity in Latin America: Estimating the Effect of the Integrated Latin American Market (MILA))

Center for Research in Economics and Finance (CIEF), Working Papers, No. 12-21
Number of pages: 44 Posted: 26 Feb 2014
Universidad EAFIT, Universidad de San Andrés, Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM)
Downloads 107 (247,618)

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Liquidez, costos de transacción, integración bursátil

3.

Waves and Determinants in the Activity of Mergers and Acquisitions: The Case of Latin America

Center for Research in Economics and Finance (CIEF), Working Papers, No. 12-22
Number of pages: 29 Posted: 25 Feb 2014
Lina Cortes, Diego Agudelo and Samuel A. Mongrut
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Universidad EAFIT and Instituto Tecnologico y de Estudios Superiores de Monterrey (ITESM)
Downloads 88 (281,601)

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Mergers and Acquisitions, Mergers and Acquisitions Waves, Latin American Economics, PCSE, Counting Models

4.

Who Knows Better in an Emerging Market? The Performance of Institutions, Foreigners and Individuals

Center for Research in Economics and Finance (CIEF), Working Papers, No. 15-25
Number of pages: 44 Posted: 24 Feb 2016 Last Revised: 29 Dec 2016
Diego Agudelo, James Byder and Paula Yepes
Universidad EAFIT, Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidad EAFIT
Downloads 50 (379,698)

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Institutional investor, foreign investors, individual investors, Informed trading, bid-ask spread decomposition

5.

A History of Violence: The Impact of Early Violence Exposure on Financial Risk Preferences

Center for Research in Economics and Finance (CIEF), Working Papers, No. 15-24
Number of pages: 26 Posted: 24 Feb 2016
James Byder, Diego Agudelo and Mateo Castro
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Universidad EAFIT and Universidad EAFIT
Downloads 45 (396,708)

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Risk aversion, mutual funds, early childhood, violence

6.

Anuncios Macroeconómicos Y Mercados Accionarios: El Caso Latinoamericano (Macroeconomics and the Stock Market: The Case of Latin America)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 11-17
Number of pages: 21 Posted: 12 Mar 2014
Diego Agudelo and Angelo Gutierrez
Universidad EAFIT and Universidad EAFIT
Downloads 45 (396,708)

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Mercados accionarios, Anuncios macroeconómicos, Macroeconomía, Eficiencia de Mercado, Modelos ARCH-GARCH, modelos de serie de tiempo, mercados accionarios latinoamericanos

7.

La Curva De Rendimientos a Plazo Y Las Expectativas De Tasas De Interes En El Mercado De Renta Fija En Colombia 2002-2007 (Long Run Yield Curve and Fixed-Income Market Expected Interest Rates in Colombia 2002-2007)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 08-11
Number of pages: 32 Posted: 01 Oct 2014
Diego Agudelo and Mónica Arango Arango
Universidad EAFIT and Independent
Downloads 43 (403,883)

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Hipótesis de Expectativas, Hipótesis de la prima por liquidez, Estructura temporal de la tasa de interés, Mercado de Capitales, Renta fija

8.

Asimetría En La Información Y Su Efecto En Los Rendimientos En Los Mercados Accionarios Latinoamericanos (Information Assymetry Effects on Latin American Stock Markets)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 12-19
Number of pages: 27 Posted: 26 Feb 2014
Independent, Independent and Universidad EAFIT
Downloads 41 (411,236)

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Information asymmetry, Informed trading, PIN model, emerging markets, market efficiency, Latin-American stock markets, market microstructure

9.

Liquidity Spillover Effects of Equity Offerings Over Dual-Class Shares

Center for Research in Economics and Finance (CIEF), Working Papers, No. 14-27
Number of pages: 13 Posted: 12 Feb 2016
Mateo Vasco and Diego Agudelo
EAFIT University and Universidad EAFIT
Downloads 39 (418,812)

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Stock liquidity, Equity offerings, Event studies, Emerging markets

10.

Rendimiento Ex-Dividendo Como Indicador De Eficiencia En Un Mercado Emergente: Caso Colombiano 1999-2007 (Ex-dividend Return as Indicator of Efficiency in a Emerging Stock Market: The Case of the Colombian Stock Market 1999-2007)

Journal of Economics, Finance & Administrative Science, Vol. 17, No. 33, 2012
Number of pages: 10 Posted: 05 Dec 2012
Diego Agudelo and Elizabeth Arroyave
Universidad EAFIT and University of Medellin
Downloads 39 (418,812)

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Mercados financieros, Eficiencia de mercado, Rendimiento ex-dividendo, Costos de transacción, Estrategias especulativas, Efectos impositivos, Microestructura de mercados

11.

Calidad De Mercado Y Reformas Al Sistema Transaccional. El Caso De X-Stream En El Mercado Accionario Colombiano (Market Quality and Structural Changes in the Trading System: The Case of X-Stream on the Colombian Stock Exchange)

Documentos de trabajo Economía y Finanzas No 13-7
Number of pages: 31 Posted: 10 Feb 2014
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Downloads 38 (422,854)

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Market quality, liquidity, volatility, trading systems, trading activity, market microstructure

12.

Realidad O Sofisma? Poniendo a Prueba El Análisis Técnico En Las Acciones Colombianas (Reality or Sophism? Testing Technical Analysis for Stocks in Colombia)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 09-06
Number of pages: 45 Posted: 25 Apr 2014
Diego Agudelo and Jorge Uribe
Universidad EAFIT and Universidad EAFIT
Downloads 35 (435,004)

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Data snooping, análisis técnico, mercado accionario colombiano, eficiencia de mercado, Simulación, Bootstrapping

13.

Behavioral Finance. Una introducción a los conceptos y aplicaciones (Behavioral Finance. An Introduction to Concepts and Applications)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 18-15
Number of pages: 47 Posted: 16 Jan 2019
Diego Agudelo
Universidad EAFIT
Downloads 34 (439,134)

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Behavioral Finance, finanzas comportamentales, sicología del comportamiento financiero, sesgos cognitivos, sesgos basados en heurísticas, sesgos sociales, límites al procesamiento mental, límites al arbitraje

14.

Liquidez En Los Mercados Accionarios Colombianos: Cuánto Hemos Avanzado En Los Últimos 10 Años? (Liquid Funds in Colombian Stock Market: How Have We Improved in the Last 10 Years)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 10-08
Number of pages: 43 Posted: 23 Apr 2014
Diego Agudelo
Universidad EAFIT
Downloads 33 (443,339)

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Liquidez, Mercado Accionario, Bolsa de Valores, Microestructura de mercados

15.

Do News Improve Liquidity Through Improved Information or Visibility? Evidence from Emerging Markets

Center for Research in Economics and Finance (CIEF), Working Papers, No. 13-37
Number of pages: 18 Posted: 10 Feb 2016
Diego Agudelo, Lina Cortes and Mateo Vasco
Universidad EAFIT, Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and EAFIT University
Downloads 27 (471,491)

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Informed trading, liquidity, news, emerging markets, market microstructure

16.

Do Local or Foreign Traders Know More in an Emerging Market? A Possible Solution of the Puzzle

Center for Research in Economics and Finance (CIEF), Working Papers, No. 07-06
Number of pages: 54 Posted: 17 Sep 2014
Diego Agudelo
Universidad EAFIT
Downloads 27 (471,491)

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international finance, information, investors, liquidity

17.

Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis

Center for Research in Economics and Finance (CIEF), Working Papers, No. 15-27
Number of pages: 34 Posted: 22 Feb 2016
Laura Cardona, Marcela Gutiérrez and Diego Agudelo
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT
Downloads 25 (482,079)

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Volatility transmission, MGARCH, decoupling hypothesis, emerging markets, conditional correlation

18.

Friend or Foe? Foreign Investors and the Liquidity of Six Asian Markets

Center for Research in Economics and Finance (CIEF), Working Papers, No. 10-07
Number of pages: 38 Posted: 23 Apr 2014
Diego Agudelo
Universidad EAFIT
Downloads 25 (482,079)
Citation 1

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Liquiduty, markets, demand

19.

Reacción De Los Mercados Accionarios Latinoamericanos a Los Anuncios Macroeconomicos (Latin-American Stock Market's Reaction to Macroeconomic Announcements )

Center for Research in Economics and Finance (CIEF), Working Papers, No. 09-07
Number of pages: 39 Posted: 25 Apr 2014
Diego Agudelo, Marcela Alvarez and Yesica Osorno
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT
Downloads 22 (498,583)

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Mercados Emergentes; Mercados accionarios internacionales; Anuncios macroeconómicos; Eficiencia de mercado

20.

Medidas Intradiarias De Liquidez Y De Costos De Transacción Asociados En La Bolsa De Valores De Colombia (Intraday Liquidity Measures of Transaction Costs on the Colombian Stock Exchange)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 11-18
Number of pages: 24 Posted: 09 Mar 2014
Diego Agudelo
Universidad EAFIT
Downloads 19 (515,589)

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Liquidez, Actividad Bursátil, Bolsa de Valores, Microestructura de mercados, Costos de Transacción

Are Foreigners the Vectors of Contagion? A Study of Seven Emerging Markets

Number of pages: 37 Posted: 31 Dec 2016 Last Revised: 28 Apr 2017
Diego Agudelo and Damier Múnera
Universidad EAFIT and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Downloads 17 (546,209)

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Contagion, Foreign flows, Institutional investors, Individual investors, Emerging Markets

Are Foreigners the Vectors of Contagion? A Study of Six Emerging Markets

Center for Research in Economics and Finance (CIEF), Working Papers, No. 18-17
Number of pages: 37 Posted: 11 Dec 2018
Diego Agudelo and Damier Múnera
Universidad EAFIT and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Downloads 1 (665,168)

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Contagion, Foreign flows, Institutional investors, Individual investors, Emerging Markets

22.

Do Foreign Portfolio Flows Increase Risk in Emerging Stock Markets? Evidence from Six Latin American Countries 1999-2008

Center for Research in Economics and Finance (CIEF), Working Papers, No. 11-19
Number of pages: 38 Posted: 01 Oct 2014
Diego Agudelo and Milena Castaño
Universidad EAFIT and Independent
Downloads 17 (526,938)

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Foreign portfolio flows, Emerging Markets, market risk, ARCH-GARCH, VAR

23.

Rendimiento Ex-Dividendo Como Indicador De Eficiencia En Un Mercado Emergente: Caso Colombiano 1999-2007 (Ex-Dividend Return as Indicator of Efficiency in an Emerging Stock Market: The Case of the Colombian Stock Market 1999-2007.)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 12-20
Number of pages: 37 Posted: 26 Feb 2014
Elizabeth Arroyave and Diego Agudelo
University of Medellin and Universidad EAFIT
Downloads 15 (538,383)

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Financial Markets, Market Efficiency, Ex-dividend return, speculative strategies, transaction costs, tax effects on returns, market microstructure

24.

Muddying the Waters: Who Induces Volatility in an Emerging Market?

Center for Research in Economics and Finance (CIEF), Working Papers, No. 18-19
Number of pages: 57 Posted: 06 Dec 2018
Paula A Yepes-Henao, Diego Agudelo and Ramazan Gencay
Universidad EAFIT, Universidad EAFIT and Simon Fraser University (SFU)
Downloads 13 (550,062)

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Emerging markets; stock volatility; intraday volatility measure; noise trading; foreign investors; retail investors

25.

Market Quality and Structural Changes in the Trading System: The Case of X-Stream on the Colombian Stock Exchange

Center for Research in Economics and Finance (CIEF), Working Papers, No. 14-28
Number of pages: 20 Posted: 24 Feb 2016
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Downloads 13 (550,062)

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Liquidity, Volatility, Market microstructure, Market quality, Trading activity, Trading systems

26.

Are Foreigners the Vectors of Contagion? A Study of Seven Emerging Markets

Number of pages: 37 Posted: 31 Dec 2016
Diego Agudelo and Damier Múnera
Universidad EAFIT and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Downloads 10 (567,802)

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Contagion, Foreign flows, Institutional investors, Individual investors, Emerging Markets

27.

Actividad Bursátil En Los Mercados Accionarios Colombianos: Determinantes Y Evolución 1997-2007 (Stock-Market Activity in Colombia: Determinants and Evolution 1997-2007)

Center for Research in Economics and Finance (CIEF), Working Papers, No. 09-05
Number of pages: 44 Posted: 25 Apr 2014
Diego Agudelo
Universidad EAFIT
Downloads 10 (567,802)

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Actividad bursátil, bolsa de valores, liquidez

28.

How Does Information Disclosure Affect Liquidity? Evidence from an Emerging Market

Center for Research in Economics and Finance (CIEF), Working Papers, No. 18-18
Number of pages: 31 Posted: 11 Dec 2018
Ignacio Arango and Diego Agudelo
Universidad EAFIT and Universidad EAFIT
Downloads 9 (573,789)

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Liquidity, Asymmetric Information, Informed Trading, News releases, Emerging Markets.

29.

Determinantes Y Pronostico De La Actividad Bursátil Del Mercado Accionario Colombiano (Determinants and Prediction of the Stock Market Activity of the Colombian Stock Market)

Journal of Economics, Finance & Administrative Science, Vol. 23, No. 44, 2018
Number of pages: 25 Posted: 25 Jul 2018
David Agudelo, Diego Agudelo and Julián Peláez
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Universidad EAFIT and Universidad EAFIT
Downloads 9 (573,789)

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Actividad Bursátil, Mercados Accionarios, Modelos ARMA Y GARCH, Valor Transado

30.

Measuring the Effectiveness of Volatility Auctions

Center for Research in Economics and Finance (CIEF), Working Papers, No. 18-16
Number of pages: 35 Posted: 11 Dec 2018
Carlos Castro, Diego Agudelo and Sergio Preciado
Universidad del Rosario, Universidad EAFIT and Infovalmer
Downloads 7 (585,732)

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Circuit breakers, synthetic control, event studies, volatility auction, tracking portfolios

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Portfolio active management, Black-Litterman Model, MILA, diversification, Fund performance evaluation, portfolio fixed-income hedge