Factores macroeconómicos en rendimientos accionarios chilenos

El Trimestre económico (Impact Factor: 0.06). 01/2006; LXXIII (1)(289):125-138. DOI: 10.2307/20856891
Source: RePEc


This paper follows the macroeconomic variables tradition of the APT of Ross (1976a), which has the advantage (in comparison with the Factor Analysis approach) of allowing an economic interpretation of both the common factors and the risk premia. Similar to Burmeister and McElroy (1988), we consider four measured macroeconomic factors, and one unobserved factor. The existence of unobserved factors is a generalization of the previous work by Chen, Roll and Ross (1986). We test the restrictions that the APT imposes on a general factor model in the period 1990-2003. In addition, the CAPM is nested in the APT, which allows us to test the CAPM. Our empirical results are: (a) the APT restriction is not rejected by the data, (b) the innovations in the rate of growth of the Imacec (a monthly indicator of general economic growth), of the price of copper, and of the price of oil, are priced factors in the sample, while the innovation in inflation rates does not have a statistically significant premium in the sample, and (c) the CAPM is strongly rejected by the data, in favor of the APT.// El presente artículo se enmarca en la teoría de precios por arbitraje (TPA) (Ross, 1976a) de la vertiente de variables macroeconómicas, que tiene la ventaja (en comparación con el análisis factorial) de permitir la interpretación económica de los factores y los premios por riesgo factoriales. Similar a Burmeister y McElroy (1988), consideramos cuatro factores macroeconómicos medidos y un factor no observado; la presencia de factores no observados es una generalización del trabajo previo de Chen, Roll y Ross (1986). Partiendo del modelo de factores, la TPA impone restricciones, las que son comprobadas empíricamente en el periodo 1990-2003. Además, el modelo de valoración de activos de capital (MVAC) está anidado en la TPA, lo que permite someter a prueba el modelo MVAC. Nuestros resultados son: i) la restricción de la TPA no es rechazada por los datos; ii) las sorpresas en la tasa de crecimiento del índice mensual de actividad económica (Imacec), en el precio del cobre y del petróleo aparecen como factores con premios por riesgo estadísticamente distintos de 0 en los rendimientos accionarios chilenos; mientras que las sorpresas en inflación no aparecen preciadas en la muestra, y iii) el modelo MVAC es fuertemente rechazado por los datos, en favor de la TPA.

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