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Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno

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Author Info

  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el leverage y la razón bolsa a libro en la explicación de corte transversal de los retornos promedios de las acciones en el mercado bursátil chileno. El estudio consta de tres partes: La primera presenta la evolución del problema revisando los principales trabajos sobre el tema, en particular el de Fama y French (1992). La segunda presenta la metodología a emplear, la cual es la misma que la utilizada por Fama y French (1992), salvo que aquí se utiliza además de la información anual, información trimestral. Finalmente, en la tercera parte, se presentan los resultados del estudio. Estos permiten concluir que existe diferencia entre los resultados de las regresiones que usan información trimestral y los que usan información anual. En particular, respecto a la combinación de variables explicativas más significativas, se puede apreciar que en el corto plazo la variable más importante y que absorbe el poder explicativo de las restantes es la razón utilidad a precio. En un plazo mas largo, la combinación más adecuada es más difícil de establecer, pero al parecer la razón libro a bolsa y el beta de mercado son las más importantes.

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File URL: http://128.118.178.162/eps/fin/papers/0402/0402002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0402002.

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Length: 39 pages
Date of creation: 02 Feb 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0402002

Note: Type of Document - pdf; prepared on WinXP; pages: 39
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Web page: http://128.118.178.162

Related research

Keywords: Chile; bolsa; acciones; corte transversal; retorno; riesgo;

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References

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  1. 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.
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  3. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  4. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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