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

Author

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  • Werner Kristjanpoller Rodriguez
  • Carolina Liberona Maturana

    () (Universidad Federico Santa Maria, Chile)

Abstract

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.

Suggested Citation

  • Werner Kristjanpoller Rodriguez & Carolina Liberona Maturana, 2010. "Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta," EconoQuantum, Revista de Economia y Negocios, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 7(1), pages 121-140, Julio - D.
  • Handle: RePEc:qua:journl:v:7:y:2010:i:1:p:121-140
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    More about this item

    Keywords

    CAPM; Reward Beta; Modelo tres Factores de Fama y French.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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
    • 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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