Hacia un modelo de valuación de activos de capital para México: análisis de activos individuales con coeficientes variantes en el tiempo

Analizando el comportamiento de los coeficientes beta variantes en el tiempo, estimados mediante el filtro de Kalman para una muestra de activos mexicanos que cotizan en la bolsa mexicana de valores, se observa que un modelo con betas variantes en el cual los rendimientos de los activos dependen de un factor local y uno internacional permiten estimar las primas de riesgo de estos activos. Dado la dependencia que exhiben todos los activos analizados en relación con un factor doméstico, la evidencia que se muestra en este trabajo da soporte a la hipótesis de que el mercado mexicano no está integrado completamente al internacional. Es decir, en nuestro análisis se encuentra que las características del riesgo sistemático de los activos mexicanos estudiados son congruentes con la valuación de activos en un contexto de mercado parcialmente segmentado. Como consecuencia, los resultados aquí mostrados sugieren que es adecuado el uso de un modelo internacional de valuación de activos (ICAPM), con un factor internacional y un factor doméstico, y coeficientes beta variantes en el tiempo en lugar de modelos con un solo factor nacional.

ICAPM, beta variante en el tiempo, integración de mercados, filtro de Kalman

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