Capital Asset Pricing Model (CAPM) applied to the corporate sector of Ecuador

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Published: Apr 25, 2023
Updated: 2023-04-25
Versions:
2023-04-25 (5)
DOI: https://doi.org/10.17163/ret.n25.2023.08
Keywords:
CAPM, Beta, performance, uncertainty, return, market risk, corporate sector, ROE

Main Article Content

Luis Bernardo Tonon-Ordóñez
https://orcid.org/0000-0003-2360-9911
Marco Antonio Reyes-Clavijo
https://orcid.org/0000-0001-5279-4234
Luis Gabriel Pinos-Luzuriaga
https://orcid.org/0000-0002-3894-8652
Iván Felipe Orellana-Osorio
https://orcid.org/0000-0001-6279-2734

Abstract

Las metodologías para el cálculo del riesgo de mercado han sido aplicadas principalmente a economías de países desarrollados. En este trabajo de investigación se propone utilizar el CAPM para determinar el riesgo de mercado y rendimiento mínimo esperado de las empresas del sector corporativo de Ecuador para el periodo 2009-2019. En promedio se analizaron 48 667 empresas, con base en la información obtenida de la Superintendencia de Compañías, Valores y Seguros (SCVS). Los sectores que fueron analizados de acuerdo con la Clasificación Industrial Internacional Uniforme (CIIU). En los cálculos se utilizó un Beta contable, considerando el incipiente desarrollo de la bolsa de valores del país; se realizó una estimación por mínimos cuadrados ordinarios y se propuso un ROE ajustado. Además, se calculó el rendimiento mínimo esperadodel sector por medio del CAPM. Entre los principales hallazgos se destaca que los sectores B, C, G, H, J, M, y N tienen un Beta mayor a 1, es decir,estos sectores son más sensibles ante una variación en el mercado. También es importante mencionar que los sectores P, G, C, E, J y Q tienen undesempeño mejor al esperado. La información proporcionada sirve como apoyo para las organizaciones u otros grupos de interés, considerando elalto nivel de incertidumbre en el mercado.

Article Details

Issue
Vol. 13 No. 25 (2023): (April-September)
Section
Miscellaneous Section
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Author Biographies

Luis Gabriel Pinos-Luzuriaga

   

Iván Felipe Orellana-Osorio

Public Accountant and Commercial Engineer from the University of Azuay. He is a Specialist in University Teaching and obtained his Master's Degree in Business Administration MBA from the University of Azuay, in addition, he is a graduate of the INCAE Senior Management Program, and is studying the Doctorate Program in Administration at the National University of Rosario in Argentina. Professor since 2006 of undergraduate and postgraduate courses in management, projects and finance at the University of Azuay and the University of Cuenca.

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