Advanced Search
MyIDEAS: Login

Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta

Contents:

Author Info

  • Werner Kristjanpoller Rodriguez
  • Carolina Liberona Maturana

    ()
    (Universidad Federico Santa Maria, Chile)

Registered author(s):

    Abstract

    Este articulo se enfoca en el analisis de los modelos de prediccion de retornos financieros. En particular se estudian el modelo CAPM, el modelo Reward Beta y el modelo de tres factores de Fama y French. El objetivo es poder determinar mediante este analisis que modelo explica de mejor manera los resultados de los retornos accionarios chilenos. Las pruebas son realizadas bajo el procedimiento de formacion de portafolios, bajo la metodologia dispuesta por Fama y French (1992, 1995, 1996) y en la regresion de dos pasos utilizada por Fama y MacBeth (1973) y adaptada en el desarrollo del modelo Beta Reward por Bornholt (2007). Se concluye que el mejor modelo de prediccion de retornos para el mercado accionario chileno es el modelo de tres factores de Fama y French.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://econoquantum.cucea.udg.mx/Volumen_7_Num_1/suplemento2vol.7num.1.pdf
    Download Restriction: no

    File URL: http://econoquantum.cucea.udg.mx/?page_id=749
    Download Restriction: no

    Bibliographic Info

    Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

    Volume (Year): 7 (2010)
    Issue (Month): 1 (Julio - Diciembre)
    Pages: 121-140

    as in new window
    Handle: RePEc:qua:journl:v:7:y:2010:i:1:p:121-140

    Contact details of provider:
    Postal: Anillo Periférico Nte. No. 799, Núcleo Los Belenes, Edificio de Rectoría, planta alta, C.P.45000 Zapopan, Jal.
    Phone: 636 6270
    Fax: 633 6975
    Web page: http://econoquantum.cucea.udg.mx
    More information through EDIRC

    Related research

    Keywords: CAPM; Reward Beta; Modelo tres Factores de Fama y French.;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:qua:journl:v:7:y:2010:i:1:p:121-140. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sandra Ivett Portugal Padilla).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.