Macroeconomic Determinants of the Valuation of Shares: Pacific Alliance Case

  • Nelson Manolo Chávez Muñoz Universidad La Gran Colombia
  • Héctor Fabio Ríos Hernández Universidad La Gran Colombia
  • Diana Milena Carmona Muñoz Universidad Piloto de Colombia

Abstract

The main objective of this document is to identify the macroeconomic determinants that influence the returns of the portfolios in the financial markets of the countries that are part of the Pacific Alliance, for the years between 2009 and 2015. In this way, the aim is to establish if the theory of arbitrage pricing (APT) postulated by (Ross, 1976), applies to the portfolios of the stock markets of the Alliance. The portfolios were constructed based on the methodology proposed by Fama and French in 1996, while the macroeconomic variables used to estimate the economic models were exports, imports, GDP, the unemployment rate, CPI inflation. , the monetary aggregate M2, and the interest rate. The study concluded in empirical terms that the APT model does not apply to the financial markets of the countries of the Pacific Alliance.

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Published
2019-12-03
Section
RESEARCH RESULTS ARTICLES

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