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Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013

Author

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  • Diana Milena Carmona Munoz
  • Marcos Vera Leyton

Abstract

El presente artículo de investigación estima los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40, a través de la aplicación del modelo de tres factores de Fama y French en el periodo 2009- 2013. Este modelo, a partir de la evaluación de componentes microeconómicos, busca identificar las variables que potencialmente pueden tener influencia en la estimación de retornos de los activos y, de esta manera, lograr generar mayores niveles de información al mercado y a los agentes para la toma de decisiones de inversión. Luego de realizar los procedimientos, se puede establecer que, para los activos seleccionados, las carteras de menor capitalización generan los mayores rendimientos para los inversionistas, dentro las cuales se destaca la participación de manera ponderada de activos del mercado peruano; estos, por la naturaleza de las empresas y las condiciones de la economía, permitieron el surgimiento y la potencialización de activos de inversión que generan mayores condiciones de rentabilidad.

Suggested Citation

  • Diana Milena Carmona Munoz & Marcos Vera Leyton, 2017. "Evaluación de los factores de riesgo en los activos de renta variable que conforman el índice S&P MILA 40: aplicación del modelo de tres factores de Fama y French en el periodo 2009-2013," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 9(2), pages 301-317, November.
    • Handle: RePEc:col:000443:016479
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    References listed on IDEAS

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    More about this item

    Keywords

    factor; rentabilidad; riesgo; valoración.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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