Augusto Castillo

Augusto Castillo
Universidad Adolfo Ibáñez · School of Business

Doctor of Philosophy, Finance, UCLA

About

25
Publications
3,451
Reads
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74
Citations
Citations since 2017
8 Research Items
38 Citations
2017201820192020202120222023024681012
2017201820192020202120222023024681012
2017201820192020202120222023024681012
2017201820192020202120222023024681012
Additional affiliations
September 1996 - March 2000
August 1996 - March 2000
University of California, Los Angeles
Position
  • PhD Student
January 1996 - February 2008
Pontificia Universidad Católica de Chile
Position
  • Professor (Associate)

Publications

Publications (25)
Article
In this paper we explore how a cognitive bias known as heaping (or rounding to a higher level) influences the dividend policy of companies. Recent articles have shown that dividend size and the level of several information uncertainty variables help to explain changes in the likelihood of rounding dividends. Using data from the US that covers the 1...
Article
Heaping is defined as a cognitive bias to round numbers even if precise results are desired. This article targets on dividends in four key European markets (Germany, France, the UK, and Switzerland) over the 1981-2019 period. We hypothesize and report that the change of currency in Germany and France (they both adopted the Euro in January 1999) sig...
Article
Full-text available
In this paper i analyze the problem faced by an investor expecting to receive a cash flow in a foreign currency. The investor is assumed to be exposed to long-term exchange rate risk, having no access to long-term forward contracts to hedge perfectly. Under non stochastic interest rates the investor is able to hedge perfectly using short-term forwa...
Article
In this article, we contribute to a branch of literature that examines cognitive biases that influence corporate decision making. We examine whether Latin American firms round their dividend distributions based on a managerial heaping heuristic. Heaping is a bias to round numbers even though precise results are desired. Our study focuses on dividen...
Article
Full-text available
Popular models for computing hurdle rates and valuation of companies were developed in the context of the USA tax code, which has two peculiar features. First, it computes taxes based on a nominal income basis. Second, it does not allow for integration between corporate taxes on earnings and personal taxes on dividends. Some Latin American countrie...
Article
Full-text available
En este artículo se analiza cómo lograr la cobertura óptima de un flujo de caja en presencia de riesgo de tipo de cambio, riesgo de precio en el producto que se vende, e incertidumbre respecto a los costos y a la cantidad por vender. Se presenta una solución analítica para las estrategias de cobertura óptimas en estos casos, si se dispone de futuro...
Article
Full-text available
This paper analyses how to achieve optimal hedging of a cash flow to be received at a future date T, when facing price risk, cost and quantity uncertainty. We explore and compare the case where the only instrument available to hedge is a regular forward contract (to hedge the price uncertainty), the case where we only have access to a linear-type w...
Article
Full-text available
Taxes affect a company’s optimal capital structure, value and cost of capital, but their impact depends on the tax regime of the country where the company operates. The OECD classifies the tax regimes of its member countries in seven groups. In this paper we offer a general model that encompasses those seven groups. We show that tax benefits of deb...
Article
Full-text available
In this paper we obtain expressions for both the tax benefit of debt and the return on equity, when the company and the debt grow, under the non-integrated tax system prevailing in the USA. Then we develop the equivalent expressions under a totally integrated tax system. The main contribution of this paper is the extension and generalization of the...
Article
Full-text available
This paper analyzes the problem faced by an investor expecting to receive an uncertain amount of cash flow in a foreign currency on a certain future date T. The investor is also assumed to be exposed to long-term exchange rate risk, and has access only to short-term futures contracts to hedge. A closed form solution for both the optimal hedging str...
Article
Full-text available
En este artículo se discute cómo lograr cobertura óptima si se es un inversionista local con inversiones en el exterior. Se analiza la conveniencia de efectuar cobertura de riesgo cambiario a través del uso de contratos forward de tipo de cambio.
Article
Full-text available
This paper discusses how to achieve optimal hedging of a cash flow when facing exchange rate risk, price risk of the product the company sells and costs and quantity uncertainty. We present an analytical solution of the optimal hedging strategies when futures on the good produced and on the exchange rate are available. An easy regression-based meth...
Article
Full-text available
This paper discusses how to achieve optimal hedging of a cash flow when facing exchange rate risk, price risk of the product the company sells and costs and quantity uncertainty. We present an analytical solution to the optimal hedging strategies when futures on the good produced and on the exchange rate are available. An easy regression-based meth...
Article
Full-text available
In a perfect capital market ex-dividend day share prices should fall by exactly the amount of the dividend. However, empirical evidence shows that stock prices drop by less than the dividend amount. The most popular explanations for this anomaly are tax or market microstructure related. We examine ex-dividend day behavior of stocks on the main Chil...
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Full-text available
Aquí se describen distintos tipos de opciones de rescate anticipado que incluyen bonos de empresas. También se presenta un modelo de valoración de bonos con rescate anticipado cuando las tasas de interés siguen un proceso estocástico, inspirado en el modelo de valoración de opciones americanas desarrollado por Longstaff y Schwartz (2001), conocido...
Article
Full-text available
This paper discusses how to achieve the optimal hedging of a cash flow when facing price risk of the product the company sells, when we are also in the presence of cost and quantity uncertainty. We present an analytical solution to the optimal hedging strategy in the general case and in some particular situations. We also obtain an expression to me...
Article
Full-text available
This paper analyzes corporate bond valuation of a straight bond, and the convertibility feature, when interest rates are stochastic and the firm value is determined by the interaction of a series of stochastic variables. The sensitivity of the corporate debt value to some key parameters is also explored. The methodology applied here is based on a h...
Article
Full-text available
In this paper we analyze the problem faced by a firm who is exposed to long-term exchange rate risk, having no access to long-term forward contracts that would allow hedging the exchange risk perfectly. We analyze how much of the long-term exchange rate risk faced by the firm can be eliminated using short-term maturity contracts, identifying under...
Article
Full-text available
This paper examines the long-run, post-issue stock price performance of 377 firms that issued below-investment-grade bonds during the 1976- 1989 period. Three different methodologies are used, that control for the usual sources of bias affecting long run performance studies (new listing bias, rebalancing bias, skewness bias, and non-random sampling...
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Este Documento es producto del trabajo de Académicos del Departamento de Administración
Article
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This paper analyzes the impact of security offering announcements on stock prices for a sample of 172 issues of securities in the Chilean financial market, during the 1993-2002 period. We found that the authorization of bond issues given by the SVS (Superintendencia de Valores y Seguros) produced no significant abnormal returns, and that the author...

Questions

Questions (2)
Question
The usual formulas do not consider the required adjustment. We propose a way to do it in our las paper

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