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Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno

Author

Listed:
  • Kristjanpoller Rodríguez, Werner
  • Morales Jure, Mauricio

Abstract

Resumen: La teoría de precios por arbitraje establece que el retorno esperado de un portafolio de activos está relacionado con factores que caracterizan la economía y se puede asociar a variables macroeconómicas. En este estudio se realiza una contrastación empírica de la teoría de precios por arbitraje, en la vertiente macroeconómica, para un conjunto de acciones transadas en el mercado accionario chileno. Se concluye que las variaciones sorpresivas del índice mensual de actividad económica, del índice de precios al consumidor y del precio del cobre son estadísticamente significativas en la estimación de los retornos accionarios, mientras que las variaciones del índice del mercado accionario, de las tasas de interés de corto y largo plazo y del precio del petróleo no son relevantes.

Suggested Citation

  • Kristjanpoller Rodríguez, Werner & Morales Jure, Mauricio, 2011. "Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno," Revista Lecturas de Economía, Universidad de Antioquia, CIE, June.
    • Handle: RePEc:col:000174:008971
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    File URL: http://aprendeenlinea.udea.edu.co/revistas/index.php/lecturasdeeconomia/article/view/9993/9220
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    More about this item

    Keywords

    Teoría de precios por arbitraje; mercado accionario; eficiencia de mercado;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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