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El peligro de utilizar betas calculadas

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  • Fernandez, Pablo

    ()
    (IESE Business School)

  • Carabias, Jose M.

    (IESE Business School)

Abstract

En este artículo se muestra que es un error enorme utilizar las betas calculadas con datos históricos para calcular la rentabilidad exigida a las acciones o para medir la gestión de una cartera de valores. Por 7 razones: porque cambian mucho de un día para otro; porque dependen de qué índice bursátil se tome como referencia. porque dependen mucho de qué periodo histórico (5 años, 3 años,…) y de qué rentabilidades (mensuales, anuales,…) se utilicen para su cálculo; porque con mucha frecuencia no sabemos si la beta de una empresa es superior o inferior a la beta de otra empresa; porque tienen muy poca relación con la rentabilidad posterior de las acciones; y porque la correlación (y la R2) de las regresiones que se utilizan para su cálculo son muy pequeñas. Debido a estas 7 razones podemos afirmar que o bien la beta calculada con datos históricos no es una buena aproximación al riesgo de la empresa, o bien el CAPM no funciona (hay más factores que afectan a su rentabilidad exigida, además de la covarianza de la rentabilidad de una empresa con la rentabilidad del mercado, la tasa sin riesgo y la prima de riesgo del mercado), o bien, ambas cosas a la vez.

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Bibliographic Info

Paper provided by IESE Business School in its series IESE Research Papers with number D/685.

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Length: 30 pages
Date of creation: 17 Mar 2007
Date of revision:
Handle: RePEc:ebg:iesewp:d-0685

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Postal: IESE Business School, Av Pearson 21, 08034 Barcelona, SPAIN
Web page: http://www.iese.edu/
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Related research

Keywords: beta; rentabilidad exigida a las acciones; rentabilidad para los accionistas;

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