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Una propuesta para evaluar pronósticos de rendimientos de acciones cuando las distribuciones empíricas no son normales estacionarias

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  • José Carlos Ramírez

    (Tecnológico de Monterrey, Campus Ciudad de México)

  • Rogelio Sandoval Saavedra

    (Secretaría de Hacienda y Crédito Público)

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    Abstract

    This paper deals with the main problems related to predictability of asset returns when data series are not normally stationary distributed. The statistical analysis includes several normality tests on returns series of Banamex-30 stocks first, and then an application of mixture of probability distributions and stochastic processes to series, which are not normal stationary. As a means to avoid the normality assumption when forecasting asset returns, we introduce a second-order Markov model.

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    File URL: http://codex.colmex.mx:8991/exlibris/aleph/a18_1/apache_media/KKQC4GTNCY59Q4CTIVV5E4KYTFTVUK.pdf
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    Bibliographic Info

    Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

    Volume (Year): 18 (2003)
    Issue (Month): 2 ()
    Pages: 237-277

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    Handle: RePEc:emx:esteco:v:18:y:2003:i:2:p:237-277

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    Web page: http://www.colmex.mx/centros/cee/
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    1. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October.
    2. Affleck-Graves, John & McDonald, Bill, 1989. " Nonnormalities and Tests of Asset Pricing Theories," Journal of Finance, American Finance Association, vol. 44(4), pages 889-908, September.
    3. Ball, Clifford A & Torous, Walter N, 1985. " On Jumps in Common Stock Prices and Their Impact on Call Option Pricing," Journal of Finance, American Finance Association, vol. 40(1), pages 155-73, March.
    4. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
    5. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
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