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Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno

Author

Listed:
  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

La presente investigación intenta replicar el trabajo de Fama y French (1992) para el mercado chileno, dentro de cierto marco de limitaciones generales. Específicamente, el objetivo de la investigación es evaluar el rol conjunto del beta de mercado, el tamaño, la razón utilidad a precio, el leverage y la razón bolsa a libro en la explicación de corte transversal de los retornos promedios de las acciones en el mercado bursátil chileno. El estudio consta de tres partes: La primera presenta la evolución del problema revisando los principales trabajos sobre el tema, en particular el de Fama y French (1992). La segunda presenta la metodología a emplear, la cual es la misma que la utilizada por Fama y French (1992), salvo que aquí se utiliza además de la información anual, información trimestral. Finalmente, en la tercera parte, se presentan los resultados del estudio. Estos permiten concluir que existe diferencia entre los resultados de las regresiones que usan información trimestral y los que usan información anual. En particular, respecto a la combinación de variables explicativas más significativas, se puede apreciar que en el corto plazo la variable más importante y que absorbe el poder explicativo de las restantes es la razón utilidad a precio. En un plazo mas largo, la combinación más adecuada es más difícil de establecer, pero al parecer la razón libro a bolsa y el beta de mercado son las más importantes.

Suggested Citation

  • Fernando Rubio, 2004. "Corte Transversal De Los Retornos Esperados En El Mercado Accionario Chileno," Finance 0402002, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0402002
    Note: Type of Document - pdf; prepared on WinXP; pages: 39
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0402/0402002.pdf
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    3. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    4. Roll, Richard & Ross, Stephen A, 1994. "On the Cross-sectional Relation between Expected Returns and Betas," Journal of Finance, American Finance Association, vol. 49(1), pages 101-121, March.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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    Cited by:

    1. Juan Benjamin Duarte Duarte & Zulay Yesenia Ramirez Leon & Katherine Julieth Sierra Suarez, 2014. "Size Effect Study In The Major Stock Market Of America, Estudio Del Efecto Tamano En Los Principales Mercados Bursatiles De Latinoamerica," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 41-50.
    2. Juan Benjamín Duarte Duarte & Zulay Yesenia Ramírez León & Katherine Julieth Sierra Suárez, 2013. "Evaluación del efecto tamano de empresa en los mercados bursátiles de América Latina," Revista Ecos de Economía, Universidad EAFIT, December.

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    More about this item

    Keywords

    Chile; bolsa; acciones; corte transversal; retorno; riesgo;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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