Seminarios de Negocios 2009

El propósito del seminario es convertirse en el lugar donde presentar nuevas investigaciones así como también ser un foro para aumentar el conocimiento mutuo entre los miembros del profesorado. Planeamos 40 minutos de exposición, seguido por 20 minutos de preguntas y de una discusión más informal.

Lugar: Sala de Conferencias. Campus Ditella
Horario: De 13h a 14h.
Contacto: negocios[at]
Teléfono: 5169-7301
- Seminarios 2009 -


  • 17 de diciembre de 2009. Nicolás Merener (UTDT).

Cobertura de riesgo hipotecario y opciones de tasas de interes
(con Jose Martinez, Oxford)


In the traditional Black-Scholes framework, demand has no impact on option prices, because options are perfectly hedgeable. In reality, trading options is a risky proposition, and risk averse dealers might require a premium to satisfy demand shocks. This is a "limits to arbitrage" mechanism that has been modeled by Garleanu (2007).
We explore the behavior of interest rate option prices in response to demand that originates in the US mortgage market. This is of interest for theoretical reasons, and for the economic significance of the US mortgage market. We run some preliminary empirical tests of demand effects and discuss their significance.


  • 3 de diciembre de 2009. Aurelia Lefaix-Durand (UTDT).

Comparing Customer and Supplier Perceptions of Value Offerings


Objective – This paper proposes a conceptual and operational framework that allows for the measurement and comparison of perceptions regarding value offerings between suppliers and their customers.

Methodology – A multiple case study in the North American supply chain for structural wood products was used to collect opinions of 6 Sales and Marketing Managers and 18 Purchasing Managers among their customers.

Findings – Although there is a remarkable consistency between customers’ and suppliers’ opinions on what constitutes the important dimensions of the value offering, discrepancies suggest that suppliers may overestimate the importance of operation costs for their customers as well as the importance of services and delivery, perhaps to the detriment of personal interactions and time-to-market improvements.

Conclusions and Future Research – At this early stage of development, the proposed framework helps in better understanding which value drivers are most important - and to which extent - in a specific business sector. It can serve organizations internally as well as externally with other stakeholders, providing a basis for discussing the value desired and actually delivered. Further development of this research includes a quantitative assessment of the relative importance of value drivers according to the preferred exchange orientation (i.e., transactional, relational or hybrid exchange).


  • 19 de noviembre de 2009. Guillermo Armelini (ESE, UAndes).

Who are the customer evangelists, and what are they worth? A network model to measure customer referral value


In this paper we propose a model to assess the value of customer referral activity. Customer referral value (CRV) represents the economic value a customer is likely to generate through recommendations to others. Previous research shows that this metric is a good proxy of people likelihood to attract new customers through recommendation. This article proposes a new methodology to estimate CRV using social network analysis in the model design and event history analysis in the statistical validation. A novel data set, which serves to test the model, combines the dynamics of social relationships among a set of customers over ten years with their consumption patterns. Compared with other methodologies that measure customers’ recommendation value, we show that this proposed approach is more robust, flexible, and easy to implement, and it accurately reflects the role of social interactions in influencing the likelihood that people recommend.


  • 4 de noviembre de 2009. Jaquie Pels (UTDT).

A Configurational Approach to Marketing


  • Viernes 30 de octubre de 2009. Marco Avellaneda (Courant Institute, NYU).

Statistical Arbitrage in the U.S. Equities Market
(Avellaneda, Marco and Lee, Jeong-Hyun)


We study model-driven statistical arbitrage strategies in U.S. equities. Trading signals are generated in two ways: using Principal Component Analysis and using sector ETFs. In both cases, we consider the residuals, or idiosyncratic components of stock returns, and model them as a mean-reverting process, which leads naturally to "contrarian'' trading signals.

The main contribution of the paper is the back-testing and comparison of market-neutral PCA- and ETF- based strategies over the broad universe of U.S. equities. Back-testing shows that, after accounting for transaction costs, PCA-based strategies have an average annual Sharpe ratio of 1.44 over the period 1997 to 2007, with a much stronger performances prior to 2003: during 2003-2007, the average Sharpe ratio of PCA-based strategies was only 0.9. On the other hand, strategies based on ETFs achieved a Sharpe ratio of 1.1 from 1997 to 2007, but experience a similar degradation of performance after 2002. We introduce a method to take into account daily trading volume information in the signals (using "trading time'' as opposed to calendar time), and observe significant improvements in performance in the case of ETF-based signals. ETF strategies which use volume information achieve a Sharpe ratio of 1.51 from 2003 to 2007.

The paper also relates the performance of mean-reversion statistical arbitrage strategies with the stock market cycle. In particular, we study in some detail the performance of the strategies during the liquidity crisis of the summer of 2007. We obtain results which are consistent with Khandani and Lo (2007) and validate their "unwinding'' theory for the quant fund drawndown of August 2007.


  • 17 de septiembre de 2009. Erica Salvaj (ESE, U Andes) joint with Marcelo Bucheli.

Corporate Political Activity of Multinationals from Newly Developed Countries in Emerging Economies: Spanish Multinational Corporations in Chile, 1990-2005


What political strategies do MNCs from recently developed countries follow when investing in an emerging economy? We analyze the case of Spanish MNCs investing in politically sensitive industries in Chile when a center-left party that distrusted foreign control over socially sensitive sectors ruled the country. Chile also had a private sector dominated by the opposition political right. We find that the Spanish MNCs turned their liability of newness and foreignness into advantages by appointing in their boards directors of Chile’s political center-left. This strategy legitimized their operations and decreased the risks of confrontation with the state.


  • 3 de septiembre de 2009. Jorge Colazo (UTDT).

Exploring the Association between Temporal Dispersion and Virtual Team Performance


A relatively new research stream inquires into phenomena related to temporal separation, or temporal dispersion (TD) in distributed virtual teams. There is little empirical work to date on the association of TD with different indicators of team performance. This paper explores the relation between TD, product quality and product development speed, using open source software development teams as research framework. TD is defined and operationalized into two dimensions: coverage and overlap, and an exploratory regression model is tested on data collected from multiple archival sources comprising 100 open source software development distributed project teams. Results show that TD has a negative association with software interrelease time and that TD interacts with product complexity in its association with product quality.


  • 6 de agosto de 2009. Federico Sturzenegger (UTDT-Banco Ciudad) joint with Pablo Gluzmann (UNLP-CONICET).

Rewriting history: real income growth and income distribution
during Argentina's democracy


We use the shifts in Engel curves estimated from household surveys to estimate CPI biases in Argentina between 1985 and 2005. We find that real earning levels increased during this period between 4.3 and 5.7% faster per year than previously estimated. More surprisingly,relative to conventional wisdom, that income distribution has improved throughout this period.


  • 30 de julio de 2009. Javier Estrada (IESE)

Geometric Mean Maximization:
An Overlooked Portfolio Approach?


Academics and practitioners usually optimize portfolios on the basis of mean and variance. They set the goal of maximizing risk-adjusted returns measured by the Sharpe ratio and thus determine their optimal exposures to the assets considered. However, there is an alternative criterion that has an equally plausible underlying idea; geometric mean maximization aims to maximize the growth of the capital invested, thus seeking to maximize terminal wealth. This criterion has several attractive properties and is easy to implement, and yet it does not seem to be very widely used by practitioners. The ultimate goal of this article is to explore potential empirical reasons that may explain why this is the case. The data, however, does not seem to suggest any clear answer, and, therefore, the question posed in the title remains largely unanswered: Are practitioners overlooking a useful criterion?


  • 2 de julio de 2009. Guido Sandleris (UTDT). 

The Costs of Emerging Market Financial Crises: Output, Productivity and Welfare
 (joint work with Mark Wright)


Financial crises in emerging market countries appear to be very costly: output falls are often dramatic, while a host of partial welfare indicators — from suicide rates to infant mortality — deteriorate as well. The magnitude of these costs is puzzling both from an accounting perspective — factor usage does not decline as much as output, resulting in large falls in measured productivity — and from a theoretical perspective — we have no theory as to why technology should deteriorate during a crisis, and these economies are usually too closed to international trade for terms of trade changes to have a large effect on welfare. One hypothesis often suggested to explain these costs is that financial crises decrease the efficiency of the resource allocation mechanism in the economy. We present a framework for measuring the impact on measured TFP, output and welfare of this decrease. This framework allows us also to decompose the welfare costs into the contributions from changes in the efficiency of allocation, changes in technology, changes in the efficiency of government spending, and changes in the terms of trade. We apply this framework to the Argentine crisis of 2001 using a combination of national accounts and a unique establishment level data.


  • 4 de junio de 2009. Guillermo Dabos (Udesa).

Firm Cultural Values as an Antecedent of Employee Psychological Contracts: Its Alignment and Fulfillment


In a sample of employees and supervisors from a Japanese-owned multinational firm, the present study investigates how managerial assessments of the organization’s cultural values relate to subordinates’ psychological contracts. As predicted, results indicate that the cultural value of harmony, reinforcing group membership and company support, is positively related to both relational and balanced psychological contract obligations. However, as expected, harmony is unrelated to transactional obligations. Another cultural value, customer-focus, promoting external adaptation and responsiveness to customer demands, was less consistently related to psychological contract obligations. The degree of alignment between employee and employer obligations in the employee psychological contract was positively related to contract fulfillment, while the core components of this alignment mediated the relationship between harmony and contract fulfillment. To conclude, the study discusses the role of an organization’s cultural values as a re-enforcer of mutual and reciprocal obligations in the context of employment relationship.


  •  8 de mayo de 2009. Steve Zanakis (Florida International University).

Strategic Customer Satisfaction and Value With an Application to Online Learning Effectiveness


  • 7 de mayo de 2009. Francisco de Santibañez (King's).

An End to U.S. Hegemony? The Strategic Implications of China’s Growing Presence in Latin America


El objetivo de esta presentación es discutir sobre como la creciente influencia económica que China viene ganando en Latino América cambiará el escenario político en los próximos años. La importancia de este tema radica en que el ámbito en el que se conducirán negocios en Argentina y en otros paises será diferente al que muchos suponen. Entre otras razones esto se debe a que el fin de la hegemonía estadounidense en LA traerá consigo mayores conflictos entre estados -algunos encolumnándose detrás de los EEUU y otros detrás de China- y a que las naciones latinoamericanas tendrán que liderar con un nuevo socio comercial, China, que tiende a manejarse en forma mercantilista.


  • 1 de abril de 2009. Fernando Bernstein (Duke).
The Role of Component Commonality in Product Assortment Decisions
We consider a manufacturing setting in which a firm decides the number of variants to offer in the market. Each variant is produced according to a bill of materials that dictates the components used in its fabrication. There are product-specific (or dedicated) components and components that are common to a subset (or all) of the variants. Each product variant may represent, for example, a color//design combination of a garment or a specific configuration of a personal computer. Customers choose a product variant according to a choice model. We characterize the structure of the optimal assortment and derive the optimal replenishment policy for the common and dedicated components. We investigate the effect of component commonality on product assortment decisions and compare its benefits under different demand characteristics. We show that, depending on the structure of the production system, commonality may not lead to increased assortment offerings (relative to a system without commonality).