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Impact of Leverage, Solvency and Size Effect on Mexican Capital Market Firms Returns

Author

Listed:
  • Miriam Sosa

    (Universidad Autónoma Metropolitana, México)

  • Alejandra Cabello

    (Universidad Nacional Autónoma de México, México)

  • Edgar Ortiz Calisto

    (Universidad Nacional Autónoma de México, México)

Abstract

El objetivo es analizar el impacto del apalancamiento (deuda de corto y largo plazo), el Retorno sobre Activos (ROA) y el tamaño de la empresa sobre los rendimientos accionarios de 52 empresas que cotizan en la Bolsa Mexicana de Valores (BMV) para el periodo 2011(1T)-2021(2T). En la metodología, se implementan tres modelos panel: Mínimos Cuadrados Ordinarios Agrupados (MCO), Modelo de Efectos Fijos (MEF) y Modelo de Efectos Aleatorios (REM). Los resultados sugieren un efecto negativo estadísticamente significativo del tamaño de la empresa sobre el rendimiento de las acciones, mientras que existe un impacto positivo y estadísticamente significativo del ROA y la solvencia sobre el rendimiento de las acciones. La principal recomendación es que, los inversores presten atención, no solo al tamaño y rentabilidad de la empresa, sino también al nivel de endeudamiento, de tal forma que, los precios del mercado reflejen mejor el nivel de riesgo asociado a los diversos activos. La principal limitación es que, dada la disponibilidad de los datos, solamente se abarca empresas cotizadas en la bolsa, por lo que, no se sabe cuál es el efecto en empresas de menor tamaño. La originalidad radica en que la estructura de capital y su impacto en el valor de mercado de las empresas mexicanas ha sido escasamente estudiado. Además, se utiliza una amplia muestra de empresas, así como diversas metodologías de datos de panel para comparar los resultados. Se concluye que sí hay impacto significativo del tamaño y rentabilidad operativa, pero no hay impacto significativo del nivel endeudamiento en los rendimientos accionarios de las empresas de la BMV.

Suggested Citation

  • Miriam Sosa & Alejandra Cabello & Edgar Ortiz Calisto, 2024. "Impact of Leverage, Solvency and Size Effect on Mexican Capital Market Firms Returns," 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. 19(2), pages 1-15, Abril - J.
    • Handle: RePEc:imx:journl:v:19:y:2024:i:2:a:3
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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