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Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicacion del modelo CAPM

  • Cesar Corredor Velandia

    ()

  • Rafael de Jesus Mejia Pertuz

    ()

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    Este documento aplica el modelo capm para una muestra de 38 acciones (80% del mercado) que se cotizaron en la Bolsa de Valores de Colombia durante 2007 y 2008. Las acciones se agruparon en cinco sectores económicos, encontrándose los siguientes resultados: 1. Todos los sectores oscilan en torno a su media; 2. Los sectores Industrial, Inversiones/Valores y Energía/Recursos Naturales presentan una mayor volatilidad, mientras que Entidades Financieras y Comercio/Servicios son menos volátiles; 3. Todos los sectores tienen una relación positiva con los rendimientos del portafolio y se obtuvieron Betas significativos. Finalmente, se aplicó un ejercicio a nivel individual para todas las acciones y se encontró que la mitad presentan Betas significativos. Se evidenció que al usarse la agregación por sectores hay una mayor capacidad predictiva del modelo y una disminución en las dispersiones que ocurren individualmente, y se comprobó el efecto positivo que tiene el crecimiento del mercado sobre la disminución del riesgo.

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    File URL: http://publicaciones.unitecnologica.edu.co/index.php/revista-economia-region/article/download/54/131
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    Article provided by UNIVERSIDAD TECNOLÓGICA DE BOLÍVAR in its journal REVISTA ECONOMÍA & REGIÓN.

    Volume (Year): (2011)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000411:008784
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