Modelo de Valoración de Activos Financieros (CAPM) aplicado al sector empresarial de Ecuador

Contenido principal del artículo

Luis Bernardo Tonon-Ordóñez
Marco Antonio Reyes-Clavijo
Luis Gabriel Pinos-Luzuriaga
Iván Felipe Orellana-Osorio

Resumen

the methodologies for calculating market risk have been mainly applied to economies in developed countries. In this research work, it is proposed to use the CAPM to determine the market risk and minimum expected return of companies in the corporate sector of Ecuador in the period 2009-2019. An average of 48,667 companies were analyzed, based on information obtained from the Superintendence of Companies, Securities and Insurance (SCSI). The sectors were analyzed according to the International Standard Industrial Classification (ISIC). An accounting Beta was used in the calculations considering the incipient development of the country’s stock market; an estimation was made through ordinary least squares and an adjusted ROE was proposed. In addition, the minimum expected return of the sector was calculated through the CAPM. Among the main findings of this work, it is highlighted that sectors B, C, G, H, J, M and N had a Beta greater than 1, i.e., these sectors are more sensitive to a change in the market. It is also important to mention that sectors P, G, C, E, J and Q perform better than expected. The informationprovided constitutes a support for organizations or other interest groups, considering the high level of uncertainty existing in the market.

Detalles del artículo

Sección
Artículos destinados a la sección miscelánea
Biografía del autor/a

Luis Gabriel Pinos-Luzuriaga

   

Iván Felipe Orellana-Osorio

Contador Público e Ingeniero Comercial de la Universidad del Azuay. Es Especialista en Docencia Universitaria y obtuvo su Maestría en Administración de Empresas MBA en la Universidad del Azuay, además, es graduado del Programa de Alta Gerencia del INCAE, y está cursando el Programa de Doctorado en Administración en la Universidad Nacional de Rosario en Argentina. Docente desde el 2006 de pregrado y posgrado en las cátedras de gerencia, proyectos y finanzas en la Universidad del Azuay y la Universidad de Cuenca.

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