• Detección de patrones en señales temporales.

    Gabriel Perez Lance | UCEMA

    Por Gabriel Pérez Lance

    Serie Documentos de Trabajo. Diciembre de 2019.

    Una señal representa la evolución de una magnitud física a través del tiempo. El modo en que esa función temporal cambia, aporta información y puede contener determinados patrones. El conocimiento del momento en que tiene lugar un patrón previamente especificado, es de suma importancia para muchas aplicaciones. Se analiza cómo aplicar la teoría de la información y los conceptos de convolución y correlación de señales, para determinar en qué momento tiene lugar un determinado evento dentro de una señal dada. Se utilizan los modelos desarrollados en un caso concreto, de modo tal de observar su utilidad y contrastar los resultados con las observaciones realizadas.

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  • Empirical Efficiency Measurement in Higher Education: An Overview

    Por Vanesa D´Elía y Gustavo Ferro

    Serie de Documentos de Trabajo. Diciembre de 2019.

    This paper reviews the most recent empirical literature that assesses efficiency in higher education. We analyze 76 studies ranging from 1997 to 2018 and classify them according to the methodologies applied and to the definitions used to describe the outputs, inputs, quality and the context variables. We find that 72 percent of the empirical studies use non-parametric approaches. The most recent studies use panel data. The degrees completed are the most frequently used output variable, and only 9 papers include quality variables. Moreover, while only few parametric papers take observed heterogeneity into account, more than 40 percent include environmental variables to address for observed heterogeneity. This review is useful for researchers interested in measuring efficiency, for policy makers and for other educational stakeholders.

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  • Intuitive Mathematical Economics Series. Linear Functions, their Matrix Form and the Geometry of Linear Systems of Equations

    Sergio Pernice | UCEMA

    Por Sergio Pernice

    Serie Documentos de Trabajo. Diciembre de 2019.

    Matrices, their products, linear systems, and the underlying geometric ideas are presented in an intuitive and practical way for economics students and other students of the social sciences. Python Jupyter notebooks are used to present examples that enforce the geometric ideas.

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  • Risk on-Risk off: A regime switching model for active portfolio management

    José Dapena, Juan Serur y Julián Siri

    Por José P. Dapena, Juan Serur y Julián Siri

    Serie Documentos de Trabajo. Diciembre de 2019

    Unlike passive management, where investors almost do not buy and sell securities, active management involves a set of trading rules that govern investment decisions regarding mainly market timing. In this paper, we take the basics of active management and the two fund separation approach, to exploit the fact that an investor can switch between the market portfolio and the risk free asset according to the perceived state of the nature. Our purpose is to evaluate if there is an active management premium by testing performance with our own non-conventional multifactor model, constructed with a Hidden Markov Model which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there is present a premium for actively manage the strategies, giving evidence against the idea that “active managers” destroy capital. We then propose the volatility spread as the active management factor into the Carhart´s model used to evaluate trading strategies with respect to a benchmark portfolio.

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  • Bus rapid transit and property values in Buenos Aires: Combined spatial hedonic pricing and propensity score techniques

    Mariana Conte Grand y Vanesa D´Elía

    Por Mariana Conte Grand, Vanesa D´Elía y Sonia León

    Research in Transportation Economics, Elsevier. 23 de enero de 2020.

    This study estimates the impact on property value of one of the first Bus Rapid Transit (BRT) in Buenos Aires, Argentina. Data comes from two real estate internet sites for neighborhoods surrounding the BRT. The empirical methodology is innovative since it combines traditional spatial hedonic pricing with matching and weighted regressions, using propensity score estimates. Robustness checks are based on trimmed samples. BRT has a non significant impact on property prices, which can be attributed to the fact that this BRT lies on a traditional corridor and people that come downtown for work are those that use it most.

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  • The Effect of Horizontal Mergers on Efficiency and Market Power: An Application to the Argentine Hamburger Market

    Germán Coloma, UCEMA

    Por Germán Coloma

    Serie Documentos de Trabajo. Diciembre de 2019.

    This paper analyzes the behavior of the Argentine hamburger market during the period 2013-2018, to see if an important merger that occurred by the end of 2015 (the BRF/MRP merger) had any discernable market-power or efficiency effects. To do this, we run an econometric demand-and-supply model, and we find that there is an appreciable cost reduction that more than counterbalances the price increases induced by the merger. This implies that total consumers’ surplus may have grown as a consequence of the merger.

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  • Unraveling the value premium: a reward for risk or mispricing?

    Claudio Serur, José Dapena, Juan Serur y Julián Siri

    Por Claudio Serur, José Dapena, Juan Serur y Julián Siri

    Serie Documentos de Trabajo. Noviembre de 2019.

    A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper is to test the value factor, but not limited to the traditional Price-To-Book ratio, but explor-ing diverse alternatives constructed on different metrics in order to determine if it possible to obtain excess returns relative to the traditional one. In addition, these factors were blended dif-ferent quality factors. First, we tested the so-called high mispricing portfolios, with long posi-tions in value/high quality stocks and short positions in growth/low quality stocks. When blend-ing these portfolios with quality factors, we observe quite an improvement in terms of Sharpe Ratio and maximum drawdowns relative to pure value portfolios. In this case, we see that ex-cluding riskier low-quality stocks reduces the overall risk of the portfolio. Regarding the low mispricing portfolio, the results show that growth/high quality stocks outperform value/low qual-ity stocks. This is consistent with the hypothesis of behavioral-based theories as we see that only undervalued and high-quality stocks generate excess returns. Finally, we test the results against the three-factor Fama-French models, achieving statistically significant alphas in some cases.

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  • Tributación sin representación: Argentina desde 1983

    Jorge Streba - UCEMA

    Por Jorge M. Streb

    Revista Ensayos de Política Económica (UCA). Noviembre de 2019.

    La Argentina no es representativa ni federal por dos anomalías constitucionales: se viola la representación del pueblo porque las provincias con la mayoría de habitantes (Buenos Aires, Córdoba, Mendoza y Santa Fe) tienen una minoría de representantes en la Cámara de Diputados; la coparticipación de impuestos no se basa en criterios objetivos, equitativos y solidarios, por lo que la provincia de Buenos Aires es pisoteada (recibió un tercio de los recursos por habitante de otras provincias en 2016). Ambas son legados de gobiernos de facto, conservadas por un Congreso no representativo. Se proponen dos reformas: (i) una representación proporcional a la población en la Cámara de Diputados, para acabar con un Congreso donde una minoría decide cuánto tributar y cómo gastarlo; (ii) un régimen de coparticipación basado en repartir los mismos recursos por habitante a todos los distritos: como sería devolutivo si todos aportaran lo mismo, es equitativo; como los distritos ricos aportan más, es solidario. Las reformas son impracticables si Buenos Aires provincia no reclama sin cesar a través de todos los medios legítimos.

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  • A model free approach to the pricing of downside risk in argentinean stocks

    José Dapena, Juan Serur y Julián Siri de UCEMA

    Por José P. Dapena, Juan A. Serur y Julián R. Siri

    Serie Documentos de Trabajo. Noviembre de 2019.

    The return dynamics of Argentina's main stock index, the SP Mer.Val., show a high level of volatility, signaling a higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the Argentinean capital markets lacks variety of hedging contracts. The basic availability of put options depends on the possibility of short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the domestic market. Since data processing power has geometrically increased in the last decades and some mathematic formulas that were helpful for calculation had been surpassed by data gathering and processing that helps to find a better estimate when necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using real data and programming an algorithm to perform calculations instead of resorting the standard Black-Scholes-Merton formulae, by means of a model free approach to acknowledge the issue.

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  • Escribir para aprender: mi experiencia en un programa MBA

    Marcos Gallacher | UCEMA

    Por Marcos Gallacher

    Serie Documentos de Trabajo. Noviembre de 2019.

    Este trabajo analiza el potencial que tiene para el aprendizaje de alumnos de programas de MBA, la elaboración de un trabajo monográfico de libre elección. Se presentan algunos de los desafíos que enfrentan los programas de MBA, y se contrastan las características de formas de “aprendizaje pasivo” basado en clases convencionales, con las de “aprendizaje activo” donde el alumno toma mayor iniciativa.

    Se detallan algunas de las dificultades experimentadas por los alumnos en completar un ejercicio monográfico.

    Se presentan experiencias del autor en la dirección de monografías focalizadas en tres áreas temáticas. (a) límites de la empresa, (b) recursos humanos y (c) organización de la empresa. Se argumenta que muchos de los trabajos realizados han permitido tanto el crecimiento intelectual de los alumnos, como así también han generado información valiosa sobre economía de las organizaciones.

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