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Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities

Author

Listed:
  • Rogelio Ladrón de Guevara Cortés

    (Universidad Veracruzana, México)

  • Salvador Torra Porras

    (Universidad de Barcelona, España)

  • Enric Monte Moreno

    (Universidad Politécnica de Catalunya, España)

Abstract

El objetivo de este artículo es comparar cuatro técnicas de reducción de la dimensionalidad usadas para extraer los factores de riesgo sistematico subyacentes generadores del rendimiento de acciones del mercado mexicano. La metodología utilizada compara los resultados producidos por Análisis de Componentes Principales (ACP), Análisis Factorial (AF), Análisis de Componentes Independientes (ACI) y Análisis de Componentes Principales Neuronal (ACPN) bajo tres diferentes perspectivas. Los resultados mostraron que en general: ACP, AF y ACI, produjeron factores de riesgo y betas similares; ACPN y ACI produjeron el mayor número de modelos completamente aceptados en el contraste econométrico; y, la interpretación de los factores de riesgo sistemático en las cuatro técnicas no fue constante. Se recomienda investigación adicional probando técnicas de extracción, metodologías de contraste econométrico e interpretación alternativas, considerando las limitaciones derivadas del alcance de este trabajo. La originalidad y principal contribución de este artículo radica en la comparación de estas cuatro técnicas el contexto financiero y mexicano. La principal conclusión es que dependiendo del propósito del análisis una técnica será más adecuada que otra.

Suggested Citation

  • Rogelio Ladrón de Guevara Cortés & Salvador Torra Porras & Enric Monte Moreno, 2021. "Comparison of Statistical Underlying Systematic Risk Factors and Betas Driving Returns on Equities," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-25, Septiembr.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:tnea:a:8
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics

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