EVALUACIÓN DE FACTORES DE RIESGO CON INFLUENCIA EN LOS RETORNOS DE LOS ACTIVOS DE LA CANASTA COLCAP EN COLOMBIA, 2009-2012
DOI:
https://doi.org/10.15665/rde.v13i1.336Keywords:
Valoración de activos, riesgo, rentabilidad.Abstract
La investigación tiene como propósito evaluar los potenciales factores de riesgo con influencia en los retornos de los activos en el mercado accionario colombiano bajo el desarrollo del modelo de tres factores de Fama & French, el cual postula que el retorno esperado de las carteras es explicado por la sensibilidad de factores como el mercado, un factor tamaño y la relación ratio libro/bolsa. El desarrollo de la investigación se lleva a cabo través de un tipo de metodología cuantitativa no experimental de corte transversal utilizando un modelo multifactorial de variables microeconómicas (modelo Fama & French), a través del cual se toman las acciones que cotizan en el mercado local representadas a través de índices COLCAP en los periodos 2009-2012. La conclusión principal se fundamenta en que son los factores mercado y tamaño de las empresas (SMB), los más influyentes en el comportamiento de los retornos de los activos.References
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