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Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo

  • Fernando Rubio

    (FERNCAPITAL S.A.)

Se intenta en esta investigación generar estrategias de inversión cuantitativas basadas principalmente en el análisis fundamental desarrollado por Graham y Dodd (1934). Mientras existe cierto consenso que dichas estrategias pueden generar retornos satisfactorios, existe dificultad en explicar la razón de dichos retornos. Se postula aquí, que dichos retornos están relacionados, al menos en parte, al flujo de resultados de las compañías. En lo global, se utiliza una muestra con información de las más importantes empresas que componen el mercado de Canadá, España, Europa, USA y Gran Bretaña. Se utiliza la metodología estándar aplicada por Fama y French (1992) y Lakonishok, Shleifer y Vishny (1994). Dicha metodología consiste en realizar, primero, una simulación histórica de las estrategias de inversión; para luego, realizar pruebas estadísticas basadas en análisis de regresión con mínimos cuadrados ordinarios. Los resultados muestran que, en resumen, según la evidencia empírica obtenida, al parecer mientras mayor sea el valor libro o el resultado por acción en relación al precio y mientras menor sea dicho precio, existirá un mayor potencial de retorno futuro de la acción. Se confirmaría en consecuencia la estrategia genérica de inversión propuesta por Graham y Dodd (1934). Finalmente, cuando se introduce el riesgo y los efectos tamaño y ratio BM, se concluye que la estrategia más robusta es comprar acciones de menor precio y con la mayor diferencia entre dicho precio y el resultado contable por acción del último año. Sin embargo, no debe descartarse que los hallazgos sean producto de data mining. Nota: se indica mas informacion bibliografica que la reportada.

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Paper provided by EconWPA in its series Finance with number 0503029.

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Length: 72 pages
Date of creation: 30 Mar 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0503029
Note: Type of Document - pdf; pages: 72
Contact details of provider: Web page: http://econwpa.repec.org

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