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Valorización por Arbitraje de Bonos y Acciones Chilenas Mediante el Método de Componentes Principales

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  • Natalia Gallardo
  • Andrés Sagner

Abstract

In this paper we estimate the factor model given by the Arbitrage Pricing Theory (APT), using a statistical model that has not yet been applied to Chilean financial market returns: the Principal Components Method. Using bond and stock indexes, we identify four factors of systematic risk for the period between January 2000 and June 2009. The economic interpretation of these factors relates to changes in the slope of the yield curve, aggregate demand, commodities prices and real estate returns. The correlation analysis between the identified factors and a set of macroeconomic variables corroborates this interpretation.

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Bibliographic Info

Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 557.

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Date of creation: Mar 2010
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Handle: RePEc:chb:bcchwp:557

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  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  2. Palle Andersen & Ramon Moreno, 2005. "Financial integration: an overview," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and monetary policy in emerging markets, volume 23, pages 1-8 Bank for International Settlements.
  3. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
  4. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
  5. Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2007. "Estimating the Output Gap for Chile," Working Papers Central Bank of Chile 455, Central Bank of Chile.
  6. Rodrigo Fuentes & Jorge Gregoire & Salvador Zurita, 2005. "Factores Macroecon�micos en Retornos Accionarios Chilenos," Working Papers Central Bank of Chile 315, Central Bank of Chile.
  7. Roll, Richard & Ross, Stephen A, 1980. " An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
  8. Burmeister, Edwin & McElroy, Marjorie B, 1988. " Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 43(3), pages 721-33, July.
  9. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  10. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
  11. Harman, Harry H., 1976. "Modern Factor Analysis," University of Chicago Press Economics Books, University of Chicago Press, edition 3, number 9780226316529, June.
  12. Huberman, Gur, 1982. "A simple approach to arbitrage pricing theory," Journal of Economic Theory, Elsevier, vol. 28(1), pages 183-191, October.
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