Descripción del título
(Ex-post Equity Risk Premiu...
(This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward for each filter, incorporating monthly data from 2008 to 2014. This reveals better adjustments in the case of the Kalman filter. Furthermore, the models show that the relationship between variables that reflect economic activity and ERP are counter-cyclical but not simultaneous, with a lag of up to two periods)
Analítica
analitica Rebiun34020795 https://catalogo.rebiun.org/rebiun/record/Rebiun34020795 230421s2015 xx o 000 0 spa d https://dialnet.unirioja.es/servlet/oaiart?codigo=5343096 (Revista) ISSN 2248-6046 S9M oai:dialnet.unirioja.es:ART0000904563 https://dialnet.unirioja.es/oai/OAIHandler 17 DGCNT S9M S9M dc (Ex-post Equity Risk Premiums and Economic Cycles in Colombia. An Empirical Research Using Kalman and Hodrick-Prescott Filters) electronic resource] 2015 application/pdf Open access content. Open access content star (This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward for each filter, incorporating monthly data from 2008 to 2014. This reveals better adjustments in the case of the Kalman filter. Furthermore, the models show that the relationship between variables that reflect economic activity and ERP are counter-cyclical but not simultaneous, with a lag of up to two periods) LICENCIA DE USO: Los documentos a texto completo incluidos en Dialnet son de acceso libre y propiedad de sus autores y/o editores. Por tanto, cualquier acto de reproducción, distribución, comunicación pública y/o transformación total o parcial requiere el consentimiento expreso y escrito de aquéllos. Cualquier enlace al texto completo de estos documentos deberá hacerse a través de la URL oficial de éstos en Dialnet. Más información: https://dialnet.unirioja.es/info/derechosOAI | INTELLECTUAL PROPERTY RIGHTS STATEMENT: Full text documents hosted by Dialnet are protected by copyright and/or related rights. This digital object is accessible without charge, but its use is subject to the licensing conditions set by its authors or editors. Unless expressly stated otherwise in the licensing conditions, you are free to linking, browsing, printing and making a copy for your own personal purposes. All other acts of reproduction and communication to the public are subject to the licensing conditions expressed by editors and authors and require consent from them. Any link to this document should be made using its official URL in Dialnet. More info: https://dialnet.unirioja.es/info/derechosOAI Spanish Economía Financiera Riesgo Risk Premium Economic Activity Economic Cycle Kalman Filter Hodrick-Prescott Filter Colombian Stock Market D91 E21 E32 E44 G11 G12 G14 text (article) Gómez Sánchez, Andrés Mauricio. cre Astaiza Gómez, José Gabriel. cre Revista Finanzas y Política Económica, ISSN 2248-6046, Vol. 7, Nº. 1, 2015, pags. 109-129 Revista Finanzas y Política Económica, ISSN 2248-6046, Vol. 7, Nº. 1, 2015, pags. 109-129 Revista Finanzas y Política Económica, ISSN 2248-6046, Vol. 7, Nº. 1, 2015, pags. 109-129