Vol. 11 No. 22 (2016)

Artículos

Towards a model of capital asset pricing for Mexico: analysis individual assetstime-varying coefficients

Published 2016-01-04

  • Francisco López-Herrera
    • ,
  • Humberto Valencia-Herrera

Francisco López-Herrera
Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración

Humberto Valencia-Herrera
Tecnológico de Monterrey

Abstract

Analyzing the behavior of time-variyng beta coefficients estimated through the Kalman filter for a sample of Mexican assets listed on the Mexican Stock Exchange, it can be seen that a model with changing betas, in which asset returns depend on a local factor and an international one, allows to estimate risk premiums of these assets. Given the dependence exhibited all the studied assets in relation to a domestic factor, the evidence shown in this study supports the hypothesis that the Mexican market is not fully integrated into the international. That is, in our analysis is found that the characteristics of the systematic risk of the Mexican studied assets are consistent with the valuation of assets in the context of partially segmented market. Consequently, the results shown here suggest that it is appropriate to use a international model of asset valuation (ICAPM), with an international factor and a domestic factor, and time-varying beta coefficients instead of models with a single domestic factor.

Keywords

ICAPM, time-varying beta, markets integration, Kalman Filter

PDF (Spanish)

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