Benjamín García Martínez () (Tecnológico de Monterrey, Campus Ciudad de México) Arturo Lorenzo Valdés () (Tecnológico de Monterrey, Campus Ciudad de México)
Abstract
“Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portafolio when we have a nonefficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non observed risk factor that considers the information aj?0 (misspricing) and to select a portafolio that considers that the source of inefficiency is resulted from the omission of risk factors. The information contained in the residual covariance (S) resulting of the linear relation between the returns and a nonefficient index is related to the sub/supervaluación element (a) to find an exact structure of the determination of the expected returns of the assets on the basis of a linear model of risk factors, given a nonefficient Index and a N-active set. This work applies this methodology to 25 stock return excesses from the Mexican market and uses like observed factor the return excesses of the Indice de Precios y Cotizaciones (IPC) during the period January, 2004 to July, 2007.
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