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Extensión del modelo de tres factores de Fama y French, rendimientos de mercado y sustentabilidad corporativa

Author

Listed:
  • Raúl Silva Noreña

    (Universidad de las Américas, Puebla)

  • Nora Gavira Durón

    (Universidad de las Américas, Puebla)

  • Angélica Alonso Rivera

    (Universidad de las Américas, Puebla)

Abstract

Objetivo: demostrar si la sustentabilidad corporativa representa un factor que impacta los retornos de mercado de las empresas. Metodología: una extensión del modelo lineal de tres factores de Fama y French, analiza el exceso de rendimiento esperado sobre de la tasa libre de riesgo en función de la sensibilidad a tres factores (prima de riesgo sistemático, factor de tamaño de la empresa y factor capitalización); con un cuarto factor (sustentabilidad de la empresa), medido por su calificación ESG. Datos históricos mensuales del precio de las acciones de 505 empresas del SP500 de 2002 a 2021. Resultados: la sustentabilidad no representa un factor determinante en los rendimientos de mercado. Recomendación: utilizar rezagos en futuras investigaciones. Limitación: no considera las controversias en las calificaciones ESG, lo que podría modificar los resultados. Originalidad: la forma de medir el rendimiento considerando su evaluación de sustentabilidad. Conclusión: la sustentabilidad en las empresas tiene un costo económico en el corto plazo que impacta en los retornos, pero a mediano o largo plazo, representa un incentivo para inversionistas y clientes.

Suggested Citation

  • Raúl Silva Noreña & Nora Gavira Durón & Angélica Alonso Rivera, 2024. "Extensión del modelo de tres factores de Fama y French, rendimientos de mercado y sustentabilidad corporativa," 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(4), pages 1-21, Octubre -.
    • Handle: RePEc:imx:journl:v:19:y:2024:i:4:a:6
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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