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Ph.D. Mellado-Cid, Cristhian

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cmellado@ucsc.cl
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Ph.D. Mellado-Cid, Cristhian

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Now showing 1 - 4 of 4
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    Publication
    Improving the volatility of the optimal weights of the Markowitz model
    (Economic Research-Ekonomska Istraživanja, 2022)
    Ortiz, Roberto
    ;
    Contreras, Mauricio
    ;
    The main practical problems that are faced by portfolio optimisation under the Markowitz model are (i) its lower out-of-sample performance than the naive 1=n rule, (ii) the resulting asset weights with extreme values, and (iii) the high sensitivity of those asset weights to small changes in the data. In this study, we aim to overcome these problems by using a computation method that shifts the smaller eigenvalues of the covariance matrix to the space that houses the eigenvalue spectrum of a random matrix. We evaluate this new method using a rolling sample approach. We obtain portfolios that show both more stable asset weights and better performance than the 1=n rule. We expect that this new computation method will be extended to several problems in portfolio management, thereby improving their consistency and performance.
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    Publication
    Real earnings management and corporate governance: A study of Latin America
    (Routledge, 2020) ;
    Saona, Paolo
    This article analyses the impact of ownership structure features and institutional settings on real activities manipulation. The analysis is based on a sample of listed companies in the underexplored Latin American market for the period of 2004–2016. Panel-data-based G.M.M. System Estimation is used in the empirical analysis. The results confirm that the monitoring role of the majority owner is crucial in mitigating managerial opportunistic behaviour. Here, opportunistic behaviour refers to engaging in real activities manipulation that reduces the informative content of financial statements. However, analysis of insider ownership revealed that managers had a negative impact on transparency. We observed that as insider ownership increases, managers engage more actively in real earnings management. We also find that the institutional ownership and the quality of the regulatory system proved to be effective mechanisms in reducing real activities manipulation.
  • Publication
    Options trades, short sales and real earnings management
    (Accounting and Business Research, 2019) ;
    Jory, Surendranath R.
    ;
    Ngo, Thanh N.
    We study the link between measures of stock options’ volatility and firms’ real earnings management (RM). We hypothesise that RM causes uncertainty in the value of a firm’s common stock and, as a result, increases the volatility spread and skew of the firm’s options. Spread and skew proxy for investors’ uncertainty in the value of the options underlying a stock. Consistent with our hypothesis, we find an association between a firm’s use of RM, and the volatility spread and skew in the firm’s options, more precisely in its put options. We also study the link between short selling and the extent of RM but do not find a consistent relationship between the two.
  • Publication
    Virtual integration of financial markets: A dynamic correlation analysis of the creation of the Latin American integrated market
    (Munich Personal RePEc Archive, 2015) ;
    Escobari, Diego
    This paper investigates the role of virtual integration of financial markets on stock market return co-movements. In May of 2011 the Chilean, Colombian, and Peruvian stock markets virtually integrated their stock exchanges and central securities depositories to form the Latin American Integrated Market (MILA). We utilize the dynamic conditional correlation model propose by Engle (2002) to identify a statistically significant positive correlation between these markets. Moreover, we find strong evidence that the creation of the MILA increased the levels of dynamic correlation between stock returns. A higher correlation was also found during the dot-com bubble and the 2007 financial crises. Our results imply a decline in gains from international diversification by holding portfolios consisting of diverse stocks of these countries.