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Comportamiento asintótico del rendimiento sobre el capital y de la razón precio-utilidad

Author

Listed:
  • Francisco Venegas Martínez

    (Instituto Politécnico Nacional)

  • Eduardo Hernández Pérez

    (UNAM)

Abstract

The cost of capital is an indicator of the profitability of a company. Very often, this indicator in conjunction with the return on equity (ROE) is used in analyzing investment projects. Many studies have shown that the cost of capital tends to a long-term value, which reveals a mean reversion dynamics. This research examines the behavior of the return on capital by means of the Vasicek model. Moreover, under certain conditions, the capital cost is estimated through the Vasicek model. Finally, it shows that the return on equity and the inverse of the multiple price-book value are consistent with dynamics showing mean reversion

Suggested Citation

  • Francisco Venegas Martínez & Eduardo Hernández Pérez, 2009. "Comportamiento asintótico del rendimiento sobre el capital y de la razón precio-utilidad," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(1), pages 14-28.
    • Handle: RePEc:ega:rafega:200902
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    More about this item

    Keywords

    Decisiones de inversión; múltiplos financieros; utilidades anormales;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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