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The Relationship Between Share Prices and DUPONT Model Components: Evidence from Mexican Stock Market

Author

Listed:
  • Luis Manuel Tovar Rocha

    (Universidad Anáhuac México Norte, México)

  • Julio Téllez Pérez

    (Universidad Anáhuac México Norte, México)

  • Gabriel Alberto Agudelo Torres

    (Instituto Tecnológico Metropolitano Medellín, Colombia)

Abstract

En este artículo se presenta la posible asociación entre los tres componentes (generación de beneficios, eficiencia de activos y apalancamiento financiero) de la razón DUPONT y los precios de las acciones. Se utilizó la estimación del Método Generalizado de Momentos (GMM) con una muestra de 23 empresas cotizadas en la Bolsa Mxicana entre 2008 y 2016, considerando un período de tres días antes y tres días después de la presentación de los resultados trimestrales. Se observa que la generación de beneficios y eficiencia son los componentes del modelo DUPONT que están fuertemente asociados con los precios de las acciones, mientras que el efecto de apalancamiento es el componente con menor impacto. Este trabajo empírico pretende ayudar a comprender la relación entre la información contable y los precios de las acciones. El estudio identifica variables que influyen en la toma de decisiones y no busca ser un modelo predictivo del valor de las acciones en el futuro. Esta investigación difiere de estudios anteriores porque considera el índice de volatilidad (VIMEX) como una variable de control.

Suggested Citation

  • Luis Manuel Tovar Rocha & Julio Téllez Pérez & Gabriel Alberto Agudelo Torres, 2022. "The Relationship Between Share Prices and DUPONT Model Components: Evidence from Mexican Stock Market," 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. 17(1), pages 1-13, Enero - M.
    • Handle: RePEc:imx:journl:v:17:y:2022:i:1:a:5
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    References listed on IDEAS

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    More about this item

    Keywords

    Valuation; financial analysis; multiples; financial ratios; volatility;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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