Aplicación del modelo CAPM para la valoración de acciones en el mercado integrado latinoamericano MILA
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Firacative Ropero, Edwin Francisco
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Trabajo de grado - Maestría
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EspañolFecha de publicación
2015
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El presente trabajo aplica el modelo CAPM y evalùa su validez para la valoración de acciones en el Mercado Integrado Latinoamericano (MILA):. Primero se caracterizaron de manera comparativa los mercados bursàtiles de Colombia, Chile y Perú. Luego se aplicó el modelo CAPM obteniendo los parámetros que caracterizan cada uno de los activos de una muestra seleccionada en un primer periodo base. Finalmente, se analizó la validez del modelo construyendo carteras de inversiòn y probando los resultados reales contra los teóricos predichos por el modelo CAPM en un segundo periodo de prueba. Finalmente se concluye que el modelo CAPM no es válido para los mercados bursátiles del MILA debido a varias posibles causas como son: - poca profundidad de los mercados bursátiles, – problemas metodológicos debidos a fuentes de información escasas o de baja calidad e - incumplimiento de algunos de los supuestos del modelo.
Abstract. This work applies the CAPM model and assesses their validity for the valuation of shares in the Integrated Latin American Market (MILA). First were characterized comparatively the stock markets of Colombia, Chile and Peru. Then the CAPM was applied obtaining the parameters characterizing each of the assets of a selected sample at first base period. Finally, the validity of the model was analyzed constructing investment portfolios and proving actual results against the theoretical predicted by the CAPM model in a second trial. Finally it is concluded that the CAPM is not valid for the stock markets of MILA due to several possible causes such as: - shallow depth of stock markets, - methodological problems due to sources of scarce information or poor quality and - failure of some of the model assumptions
Abstract. This work applies the CAPM model and assesses their validity for the valuation of shares in the Integrated Latin American Market (MILA). First were characterized comparatively the stock markets of Colombia, Chile and Peru. Then the CAPM was applied obtaining the parameters characterizing each of the assets of a selected sample at first base period. Finally, the validity of the model was analyzed constructing investment portfolios and proving actual results against the theoretical predicted by the CAPM model in a second trial. Finally it is concluded that the CAPM is not valid for the stock markets of MILA due to several possible causes such as: - shallow depth of stock markets, - methodological problems due to sources of scarce information or poor quality and - failure of some of the model assumptions
Abstract
Palabras clave
Teoría financiera ; CAPM ; Valoración ; Acciones ; Mercados bursátiles ; MILA ; Financial theory ; Valuation ; Shares ; Stock markets