Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters

Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters

ABSTRACT This article investigates the relationship between ex-post Equity Risk Premium (ERP) on the Colombian stock market and the economic cycles observed in the country using methodologies based on the Hodrick-Prescott and Kalman filters. Accordingly, a short-term econometric model is put forward...

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Bibliographic Details
Main Authors: Andrés Mauricio Gómez Sánchez, José Gabriel Astaiza Gómez
Format: Article
Language:Spanish
Published: Universidad Católica de Colombia 2015-01-01
Series:Revista Finanzas y Política Económica
Subjects:
risk premium
economic activity
economic cycle
Kalmanfilter
Hodrick-Prescott filter
Colombian stock market. prima por riesgo
actividad económica
ciclo económico
filtro de Kalman
filtro de Hodrick-Prescott
mercado accionario colombiano
Online Access:http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175

Internet

http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/131/175

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