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Coberturas financieras con derivados y su incidencia enel valor de mercado en empresas colombianas quecotizan en Bolsa

Author

Listed:
  • César Augusto Giraldo-Prietoa

    (Universidad de Antioquia, Colombia)

  • Gabriel Jaime González Uribe

    (Instituto Tecnológico Metropolitano, Colombia)

  • Cristhian Vesga Bermejo

    (Universidad Autónoma de Bucaramanga, Colombia)

  • Diana Carolina Ferreira Herrera

    (Universidad Piloto de Colombia, Colombia)

Abstract

La teoría financiera (Modigliani & Miller, 1958) plantea la gestión del riesgo como un asunto sin importancia debido a que los mismos accionistas hacían su gestión de cobertura diversificando sus portafolios; sin embargo, estudios posteriores entran en conflicto con dicha premisa y evidencian que la cobertura financiera empresarial mejora el desempeño e incrementa el valor de las mismas (Ahmed, Azevedo y Guney, 2014; Allayannis y Ofek, 1998; Allayannis y Weston, 2001). La gestión eficiente de riesgos de mercado se apoya en los derivados financieros y exige administradores estratégicos y eficientes en cobertura que agreguen valor, especialmente frente a choques y desequilibrios macroeconómicos y financieros. Evidencia empírica analiza el comportamiento de la Q-Tobin como indicador del efecto de las estrategias de cobertura de tipo de cambio asociado al valor de mercado. Este trabajo pretende encontrar evidencia en Colombia sobre el efecto del uso de derivados en el valor de mercado de la empresa. Su valor agregado radica en el análisis que se hace por sectores económicos, identificados por códigos CIIU y agrupados en 5 sectores macro (agropecuario, comercial, industrial o manufactura, servicios y construcción). La metodología empleada incluye la estimación de varios modelos de regresión en panel de datos, utilizando una regresión Pooled con estima-dores de efectos fijos y aleatorios mediante el estimador de máxima verosimilitud. En general, se encontró una prima por cobertura estadística y financieramente significativa para empresas expuestas a riesgos de tipo de cambio que usan derivados de un 6.3% de promedio sobre el valor de mercado. Adicionalmente, se encontraron resultados mixtos con relación a las variables analizadas en el modelo.

Suggested Citation

  • César Augusto Giraldo-Prietoa & Gabriel Jaime González Uribe & Cristhian Vesga Bermejo & Diana Carolina Ferreira Herrera, 2017. "Coberturas financieras con derivados y su incidencia enel valor de mercado en empresas colombianas quecotizan en Bolsa," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 17-18, Diciembre.
    • Handle: RePEc:nax:conyad:v:62:y:2017:i:5:p:17-18
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    References listed on IDEAS

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    More about this item

    Keywords

    Coberturas financieras; Instrumentos derivados; Riesgo de mercado; Valor de mercadoG320; G230; G130;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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