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Estimación de riesgo con transacciones discontinuas

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  • Jorge Gregoire

Abstract

La existencia de fricción en los mercados de capital genera demoras en el ajuste de los precios y anomalías en los retornos observados, produciéndose finalmente un problema econométrico de error en las variables en aplicaciones del modelo de mercado usual. Estos problemas se estudian para el mercado accionario chileno y puede concluirse que para reducir los sesgos de estimación del parámetro de riesgo beta, parece conveniente incorporar términos de adelanto y rezago para el retorno del índice de mercado, de acuerdo al método de coeficientes agregados de Dimson.

Suggested Citation

  • Jorge Gregoire, 1987. "Estimación de riesgo con transacciones discontinuas," Estudios de Economia, University of Chile, Department of Economics, vol. 14(2 Year 19), pages 257-272, December.
    • Handle: RePEc:udc:esteco:v:14:y:1987:i:2:p:257-272
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