Performance persistence: The case of Colombia’s pension and severance pay funds
This paper studies performance persistence for mandatory, voluntary and severance pay funds in Colombia. We test for persistence in terms of raw and style-adjusted returns for consecutive and mul - tiple periods. This document also explores whether an investor following strategies based on persisten...
- Autores:
-
Berggrun Preciado, Luis
Jaramillo, Fernando
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2011
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/83457
- Acceso en línea:
- http://www.redalyc.org/articulo.oa?id=71623420003
http://repository.icesi.edu.co/biblioteca_digital/handle/10906/83457
- Palabra clave:
- Economía
Cesantías
Indemnización laboral
Despido de empleados
Economics
- Rights
- openAccess
- License
- https://creativecommons.org/licenses/by-nc-nd/4.0/
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Berggrun Preciado, LuisJaramillo, Fernandolberggru@icesi.edu.coChile de Lat: 30 00 00 S degrees minutes Lat: -30.0000 decimal degrees Long: 071 00 00 W degrees minutes Long: -71.0000 decimal degrees2018-05-09T13:38:39Z2018-05-09T13:38:39Z2011-01-01http://www.redalyc.org/articulo.oa?id=71623420003http://repository.icesi.edu.co/biblioteca_digital/handle/10906/83457instname: Universidad Icesireponame: Biblioteca Digitalrepourl: https://repository.icesi.edu.co/This paper studies performance persistence for mandatory, voluntary and severance pay funds in Colombia. We test for persistence in terms of raw and style-adjusted returns for consecutive and mul - tiple periods. This document also explores whether an investor following strategies based on persistence can attain statistical and economically significant excess returns. Our results indicate the presence of performance persistence for some funds in the very short run. However, investors pursuing portfolio strategies based on this sort of predictability would have been unable to obtain significant excess returns. More importantly, these findings support the notion of weak-form market efficiency.15-30 páginasDigitalapplication/pdfengDepartamento de Administración de la Facultad de Ciencias Económicas y Administrativas de la Universidad de ChileFacultad de Ciencias Administrativas y EconómicasContaduría Pública y Finanzas InternacionalesDepartamento Contable y FinancieroChileEL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos Todo persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2EconomíaCesantíasIndemnización laboralDespido de empleadosEconomicsPerformance persistence: The case of Colombia’s pension and severance pay fundsinfo:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85Comunidad Universidad Icesi – InvestigadoresORIGINALberggrun_performance_persistence_2011.pdfberggrun_performance_persistence_2011.pdfapplication/pdf175288http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/83457/1/berggrun_performance_persistence_2011.pdfb1e96b371dc3c6d2aec679b82ebaa611MD5110906/83457oai:repository.icesi.edu.co:10906/834572018-05-11 14:28:24.021Biblioteca Digital - Universidad icesicdcriollo@icesi.edu.co |
| dc.title.eng.fl_str_mv |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| title |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| spellingShingle |
Performance persistence: The case of Colombia’s pension and severance pay funds Economía Cesantías Indemnización laboral Despido de empleados Economics |
| title_short |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| title_full |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| title_fullStr |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| title_full_unstemmed |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| title_sort |
Performance persistence: The case of Colombia’s pension and severance pay funds |
| dc.creator.fl_str_mv |
Berggrun Preciado, Luis Jaramillo, Fernando |
| dc.contributor.author.spa.fl_str_mv |
Berggrun Preciado, Luis Jaramillo, Fernando |
| dc.subject.spa.fl_str_mv |
Economía Cesantías Indemnización laboral Despido de empleados |
| topic |
Economía Cesantías Indemnización laboral Despido de empleados Economics |
| dc.subject.eng.fl_str_mv |
Economics |
| description |
This paper studies performance persistence for mandatory, voluntary and severance pay funds in Colombia. We test for persistence in terms of raw and style-adjusted returns for consecutive and mul - tiple periods. This document also explores whether an investor following strategies based on persistence can attain statistical and economically significant excess returns. Our results indicate the presence of performance persistence for some funds in the very short run. However, investors pursuing portfolio strategies based on this sort of predictability would have been unable to obtain significant excess returns. More importantly, these findings support the notion of weak-form market efficiency. |
| publishDate |
2011 |
| dc.date.issued.none.fl_str_mv |
2011-01-01 |
| dc.date.accessioned.none.fl_str_mv |
2018-05-09T13:38:39Z |
| dc.date.available.none.fl_str_mv |
2018-05-09T13:38:39Z |
| dc.type.eng.fl_str_mv |
info:eu-repo/semantics/article |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
| dc.type.local.spa.fl_str_mv |
Artículo |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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publishedVersion |
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http://www.redalyc.org/articulo.oa?id=71623420003 |
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http://repository.icesi.edu.co/biblioteca_digital/handle/10906/83457 |
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instname: Universidad Icesi |
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reponame: Biblioteca Digital |
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repourl: https://repository.icesi.edu.co/ |
| url |
http://www.redalyc.org/articulo.oa?id=71623420003 http://repository.icesi.edu.co/biblioteca_digital/handle/10906/83457 |
| identifier_str_mv |
instname: Universidad Icesi reponame: Biblioteca Digital repourl: https://repository.icesi.edu.co/ |
| dc.language.iso.eng.fl_str_mv |
eng |
| language |
eng |
| dc.rights.uri.none.fl_str_mv |
https://creativecommons.org/licenses/by-nc-nd/4.0/ |
| dc.rights.accessrights.eng.fl_str_mv |
info:eu-repo/semantics/openAccess |
| dc.rights.license.none.fl_str_mv |
Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
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http://purl.org/coar/access_right/c_abf2 |
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https://creativecommons.org/licenses/by-nc-nd/4.0/ Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) http://purl.org/coar/access_right/c_abf2 |
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openAccess |
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15-30 páginas |
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Digital |
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application/pdf |
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Chile de Lat: 30 00 00 S degrees minutes Lat: -30.0000 decimal degrees Long: 071 00 00 W degrees minutes Long: -71.0000 decimal degrees |
| dc.publisher.spa.fl_str_mv |
Departamento de Administración de la Facultad de Ciencias Económicas y Administrativas de la Universidad de Chile |
| dc.publisher.faculty.spa.fl_str_mv |
Facultad de Ciencias Administrativas y Económicas |
| dc.publisher.program.spa.fl_str_mv |
Contaduría Pública y Finanzas Internacionales |
| dc.publisher.department.spa.fl_str_mv |
Departamento Contable y Financiero |
| dc.publisher.place.none.fl_str_mv |
Chile |
| institution |
Universidad ICESI |
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http://repository.icesi.edu.co/biblioteca_digital/bitstream/10906/83457/1/berggrun_performance_persistence_2011.pdf |
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cdcriollo@icesi.edu.co |
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