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Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta

Listed author(s):
  • Werner Kristjanpoller Rodriguez
  • Carolina Liberona Maturana


    (Universidad Federico Santa Maria, Chile)

Registered author(s):

    Este articulo se enfoca en el analisis de los modelos de prediccion de retornos financieros. En particular se estudian el modelo CAPM, el modelo Reward Beta y el modelo de tres factores de Fama y French. El objetivo es poder determinar mediante este analisis que modelo explica de mejor manera los resultados de los retornos accionarios chilenos. Las pruebas son realizadas bajo el procedimiento de formacion de portafolios, bajo la metodologia dispuesta por Fama y French (1992, 1995, 1996) y en la regresion de dos pasos utilizada por Fama y MacBeth (1973) y adaptada en el desarrollo del modelo Beta Reward por Bornholt (2007). Se concluye que el mejor modelo de prediccion de retornos para el mercado accionario chileno es el modelo de tres factores de Fama y French.

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    Article provided by Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia. in its journal EconoQuantum, Revista de Economia y Negocios.

    Volume (Year): 7 (2010)
    Issue (Month): 1 (Julio - Diciembre)
    Pages: 121-140

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    Handle: RePEc:qua:journl:v:7:y:2010:i:1:p:121-140
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