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Evaluación de la consistencia de las betas en el modelo de CAPM mediante un análisis de bootstraps con memoria

Author

Listed:
  • Josué Alan Cantú Esquivel

    (Instituto Politécnico Nacional, México)

  • Salvador Cruz Aké

    (Instituto Politécnico Nacional, México)

  • Ana Lorena Jiménez Preciado

    (Instituto Politécnico Nacional, México)

Abstract

Esta investigación evalúa la estabilidad de la beta del CAPM en diez activos financieros mediante metodos de series de tiempo complementando el análisis con técnicas de bootstrapping, proponiendo incorporar un método basado en percentiles para un cálculo más realista de la sensibilidad de las acciones a oscilaciones sistemáticas del mercado. Se destaca la importancia de considerar las inconsistencias de la beta a lo largo del tiempo para evitar errores en la toma de decisiones y la gestión de riesgos. Los activos analizados son DVN, OXY, ON, FSLR, MRO, ENPH, APA, COP, STLD y MPC. Los resultados proporcionan evidencia empírica de la dinámica cambiante en la relación riesgo-rendimiento y su influencia en las estrategias de inversión. Finalmente, se propone una metodología de valoración alternativa que captura mejor la presencia de valores extremos en el mercado financiero.

Suggested Citation

  • Josué Alan Cantú Esquivel & Salvador Cruz Aké & Ana Lorena Jiménez Preciado, 2025. "Evaluación de la consistencia de las betas en el modelo de CAPM mediante un análisis de bootstraps con memoria," 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. 20(2), pages 1-21, Abril - J.
    • Handle: RePEc:imx:journl:v:20:y:2025:i:2:a:6
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    References listed on IDEAS

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    1. Malcolm Baker & Brendan Bradley & Jeffrey Wurgler, 2011. "Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly," Financial Analysts Journal, Taylor & Francis Journals, vol. 67(1), pages 40-54, January.
    2. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2009. "Is There an Intertemporal Relation between Downside Risk and Expected Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(4), pages 883-909, August.
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    Keywords

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    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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