IDEAS home Printed from https://ideas.repec.org/a/ris/joefas/0060.html
   My bibliography  Save this article

Estudio del efecto tamaño en el mercado bursátil colombiano

Author

Listed:
  • Duarte, Juan

    (Universidad Industrial de Santander, Santander, España)

  • Ramirez, Zulay

    (Universidad Industrial de Santander)

  • Mascareñas, Juan

    (Universidad Complutense de Madrid)

Abstract

En el presente artículo se analiza la rentabilidad histórica de las empresas que cotizan en la bolsa de valores de Colombia, desde enero de 2004 hasta junio de 2012, con el fin de determinar la posible presencia de una prima de riesgo en las empresas de menor tamaño con relación a las de mayor tamaño. Dicha prima se cono- ce como Efecto Tamaño y se ha encontrado que sigue siendo significativa después de ajustar los datos al riesgo por el modelo de valoración de activos (Capital Asset Pricing Model, CAPM). Los resultados obtenidos en el presente trabajo para el mercado de valores de Colombia no muestran la presencia de una prima de riesgo adicional debida al tamaño de las empresas, rechazando tanto el efecto tamaño como el efecto invertido.

Suggested Citation

  • Duarte, Juan & Ramirez, Zulay & Mascareñas, Juan, 2013. "Estudio del efecto tamaño en el mercado bursátil colombiano," Journal of Economics, Finance and Administrative Science, Universidad ESAN, vol. 18(00), pages 24-27.
    • Handle: RePEc:ris:joefas:0060
    as

    Download full text from publisher

    File URL: http://zl.elsevier.es/en/revista/journal-of-economics-finance-and-352/resumen/study-of-the-size-effect-90231774
    File Function: Full text
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Orlando E. Contreras & Roberto Stein Bronfman & Carlos Enrique Vecino, 2014. "Diseno y evaluación retrospectiva de una estrategia de inversión en el mercado bursátil colombiano mediante la maximización del ratio de Sharpe," Revista Lebret, Universidad Santo Tomás - Bucaramanga, vol. 6, pages 303-320, December.

    More about this item

    Keywords

    Efecto tamaño; Modelo de valoración de activos; Anomalía del mercado financiero;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:joefas:0060. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ESAN Ediciones (email available below). General contact details of provider: https://edirc.repec.org/data/esannpe.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.