
Julio Alejandro Sarmiento-SabogalPontifical Xavierian University · Department of Business Administration
Julio Alejandro Sarmiento-Sabogal
PhD
About
39
Publications
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98
Citations
Introduction
Additional affiliations
January 1999 - December 2015
January 1999 - August 2015
September 2014 - present
Education
June 2010 - April 2015
January 1993 - July 1998
Publications
Publications (39)
Governments worldwide conceive financial education as a crucial tool for enhancing the financial well-being of families. However, the relationship between financial knowledge and financial behaviors remains inconclusive, particularly in developing countries where a limited number of studies have explored this connection. This study employed a subje...
Governments worldwide conceive financial education as a crucial tool for enhancing the financial well-being of families. However, the relationship between financial knowledge and financial behaviors remains inconclusive, particularly in developing countries where a limited number of studies have explored this connection. This study employed a subje...
The Campbell and Vuolteenaho (Am Econ Rev 94(5):1249–1275, 2004) two–beta model decomposes the systematic risk in the sensitivity of cash flow and discount rate change. We employed this model, which we call the Two Beta Decomposition Model (TBDM) and found that this model is useful to compute the cost of capital for unlisted companies (UCs) via a p...
The Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with its measure, we found that US institutional and mutual fund present some evidence of DE when we used trades as the unit of measu...
Purpose
We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes.
Design
We use a non-parametric, asymmetric, Granger causality test to test our hypothesis.
Findings
We find that the bond market with less than or equal to 5 years of maturity seems to be efficient when...
In this paper, we explore the difference in quality between public and private higher education institutions (HEIs) in Colombia. We test whether the differences in the national exam that measures student performance (Saber Pro) between public and private institutions is statistically significant by employing a propensity matching score approach bas...
Purpose
The purpose of this paper is to perform an event study using high frequency data on peso-denominated Colombian government bonds to measure the effects of news during the global financial crisis (GFC).
Design/methodology/approach
Using standard event study methodology, the authors want to see if a surprise (originating from macroeconomic ne...
This article investigates the informational efficiency of the Colombian stock market with regard to the information contained in the exchange rates as well as the yield to maturity. Since the underlying data is non-normal with time-varying volatility we make use of tests that are based on bootstrap simulations with leverage adjustments in order to...
The purpose of this paper is to study if there is a Granger causality relationship between the price of oil and the prices of the stocks that compose the Integrated Latin American Market (MILA) index. Our analysis found that from the perspective of the efficient market hypothesis, there is no empirical evidence that there is a Granger causality rel...
Finance literature suggests the use of the Accounting Beta (BACC) as a proxy for the Capital Asset Pricing Model (CAPM) market beta to estimate the cost of equity capital when the stock price is not available. Previous researchers have aimed to achieve this objective by determining the correlation between accounting variables and the market beta. H...
We analyse the effect of the Global Financial Crisis (GFC) on portfolios of USD denominated sovereign bonds. We use propensity matching estimators in order to measure the average difference in the volatility of sovereign spreads between the non-crisis and crisis period. We use a parsimonious factor model of local and global variables to create a se...
The present paper calculates systematic risk within the context of the Capital Asset Pricing Model in order to investigate the significance of financial leverage. It develops a multinomial model with two theoretically predicted targets in the unleveraged/leveraged process, namely the proxy levered beta and an error term. This model allows us to add...
EVA® (Economic Value Added) is a commonly used financial indicator that measures the real profitability of a firm for a specific period of time. The main concept behind EVA® is that the real profitability of the firm is a function of its cost of capital, net operational profits after taxes (NOPAT) and the invested capital in the firm (IC). Is withi...
The objective of this proposal is to provide useful information to the clients of the Colombian mortgage market from the perspective of financial risk. This is done for the purpose of giving the client a complete understanding of the implied financial risks in inflation adjusted mortgages. Our proposal suggests that it is possible to measure and qu...
El objetivo principal de esta propuesta es enriquecer la información que se presenta al futuro deudor hipotecario, desde una perspectiva de riesgos financieros, en el momento de tomar la decisión con respecto a la financiación de su vivienda en créditos denominados en UVR. Para este propósito se utilizó el VaR Histórico como medida de riesgo para c...
This article aims to shed light on the issues that stock brokers face upon implementing
the binomial model when valuating corporate bonds with a multiple
exercise option for the issuer. To that end, the proposed methodology is used
to valuate this type of instrument in the company Transportadora de Gas del Interior Internacional Ltda. (TGI). In the...
Dividendos potenciales y flujos de caja: un análisis regional para América Latina Se examina el valor que el mercado asigna a los componentes del flujo de caja del accionista, incluidos los dividendos potenciales. Se estudia empresas transadas de cinco países de América Latina. El modelo incluye cuatro variables: valor de mercado del patrimonio, lo...
Se examina el valor que el mercado asigna a los componentes del flujo de caja del accionista, incluidos los dividendos potenciales. Se estudia empresas transadas de cinco países de América Latina. El modelo incluye cuatro variables: valor de mercado del patrimonio, los dividendos pagados, cambio en la inversión de patrimonio y cambio en activos líq...
Many financial consultants, authors and teachers include changes in liquid assets (potential dividends) in the cash flows. This practice is against basic financial theory. We present economic, theoretical and empirical arguments to support the position to use only paid dividends in the cash flows. Hence when valuing cash flows we should consider pa...
The purpose of this paper is to clarify some of the difficulties that a practitioner may find in implementing the binomial model for valuing a corporate bond with multiple embedded options in emerging markets. Especially, when faced with the dilemma of determining which should be the proxy variables for the risk-free rate, sovereign risk and countr...
Muchos consultores, autores y profesores de Finanzas incluyen los cambios en los activos liquidos (dividendos “potenciales”) en los flujos de caja. Esta practica es contraria a la teoria basica de las finanzas. Presentamos razones economicas, teoricas, y empiricas para apoyar la tesis. Por lo tanto, al valorar flujos de caja, debemos considerar sol...
We examine the value market assigns to components of the cash flow to equity including potential dividends. We study non financial publicly traded firms from five Latin American countries. The model includes four variables: market value of equity, dividends paid, change in equity investment and change in liquid assets (potential dividends) and are...
An extensive body of knowledge has been developed around the theoretical relationship between the assumption that support the theory of the cost of capital and those that support the Portfolio-Capital Asset Pricing Model. The main discussion concerning how these theories are related is focused in the use of beta as a measure of systematic risk for...
Real Option Analysis (ROA) has become a very interesting method to evaluate real investment projects as it supports decision-making on project selection and timing. Black and Scholes' method was initially applied to financial options, but it has turned out an interesting method to evaluate real investment projects and it is a good tool for investor...
En años recientes se ha generado gran interés alrededor de la importancia de la incertidumbre en la evaluación de proyectos de inversión. En este contexto, el análisis de opciones reales, mediante el uso de los supuestos teóricos de la fórmula Black-Scholes, se presenta como una propuesta para que el inversionista cuente con herramientas para la se...
Relative multiple valuation is one of the most widely used firm valuation techniques by financial practitioners in developed economies. However, in emerging countries as Colombia, this technique presents a particular problem. Multiples, which are the basis for relative valuation, are generally based on information gathered in developed economies; a...
ABSTRACT
Value-at-Risk (VaR) has become one of the most used techniques in financial risk management. The purpose of this paper is to address how well the technique holds in
an illiquid stock environment, such as the one in the Colombian stock market. Our objective
is to measure the efficiency of Valueat-Risk in terms of the coefficient of variatio...
The Weighted Internal Rate of Return (WIRRo) is used to eliminate inconsistencies of traditional Internal Rate of Return (IRR) assumptions and instead to explicitly include Net Present Value NPV assumptions. The WIRR has been developed by authors who have analyzed the model. However, when implementing each authors proposals, procedures and solutio...
O objetivo principal desta proposta é de enriquecer a informação que se apresenta ao futuro devedor hipotecário, partindo de uma perspectiva de riscos financeiros, no momento de tomar a decisão no que diz respeito ao financiamento de sua habitação em créditos denominados em UVR. Para este propósito se utilizou o VaR Histórico como medida de risco p...