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Predictibilidad del Mercado Accionario Colombiano

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  • Jose Ignacio Lopez

Abstract

Con base en el universo de emisores del mercado de renta variable en Colombia se construye un índice de precios, retornos y dividendos para el período 1995- 2017. La serie de retornos totales del mercado accionario, que muestra un promedio histórico de 19.07% (0.60 en unidades de volatilidad), permite analizar la predictibilidad del mercado en el corto (menos de un ano), mediano y largo plazo (entre 2 y 5 anos). Los modelos de predictibilidad de corto plazo tienen poco poder de predicción, pero dicho poder crece con el horizonte de tiempo. El análisis de largo plazo muestra que los movimientos del ratio dividendo-precio se explican en su mayoría por cambios en los rendimientos futuros. Las variables económicas que más aportan en términos de poder explicativo en las regresiones de pronóstico de mediano y largo plazo son la tasa de crecimiento de los créditos de vivienda, la tasa de cambio real y los retornos del índice S&P500. Estos resultados sugieren la existencia de ciclos de los retornos del mercado accionario, consistentes con una prima de riesgo variante en el tiempo.

Suggested Citation

  • Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," Documentos CEDE 16086, Universidad de los Andes, Facultad de Economía, CEDE.
    • Handle: RePEc:col:000089:016086
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    More about this item

    Keywords

    Predictibilidad; Prima de Riesgo; Rendimiento Dividendo;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business

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