Modelo de Valoración de Activos Financieros (CAPM) aplicado al sector empresarial de Ecuador
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Resumen
the methodologies for calculating market risk have been mainly applied to economies in developed countries. In this research work, it is proposed to use the CAPM to determine the market risk and minimum expected return of companies in the corporate sector of Ecuador in the period 2009-2019. An average of 48,667 companies were analyzed, based on information obtained from the Superintendence of Companies, Securities and Insurance (SCSI). The sectors were analyzed according to the International Standard Industrial Classification (ISIC). An accounting Beta was used in the calculations considering the incipient development of the country’s stock market; an estimation was made through ordinary least squares and an adjusted ROE was proposed. In addition, the minimum expected return of the sector was calculated through the CAPM. Among the main findings of this work, it is highlighted that sectors B, C, G, H, J, M and N had a Beta greater than 1, i.e., these sectors are more sensitive to a change in the market. It is also important to mention that sectors P, G, C, E, J and Q perform better than expected. The informationprovided constitutes a support for organizations or other interest groups, considering the high level of uncertainty existing in the market.
Palabras Clave
CAPM, Beta, performance, uncertainty, return, market risk, corporate sector, ROE CAPM, Beta, desempeño, incertidumbre, rendimiento, riesgo de mercado, sector empresarial, ROE
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Adekunle, W., Bagudo, A., Odumosu, M. y Inuolaji, S. (2020). Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector. Resources Policy, 68, 101708 (May). https://doi.org/10.1016/j.resourpol.2020.101708
Astaiza, J. (2012). Tobin's separation theorem: information from the first half of 2008 on the Colombian stock market. AD- minister, 1(21), 135-154. http://bit.ly/3YyJXKY
Banerjee, P., Doran, J. y Peterson, D. (2007). Implied volatility and future portfolio returns. Journal of Banking and Finance, 31 (10), 3183-3199. https://doi.org/10.1016/j.jbankfin.2006.12.007
Banz, R. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. https://doi.org/doi.org/10.1016/0304-405X(81)90018-0
Basu, D. y Chawla, D. (2010). An empirical test of CAPM-the case of Indian stock market. Global Business Review, 11(2), 209-220. https://doi.org/10.1177/097215091001100206
Binz, T. (2020). How do firm and market characteristics affect airports’ Beta risk? Competition and Regulation in Network Industries, 21(3), 297-312. https://doi.org/10.1177/1783591720941678
Baptist, R. (2013). Uncertainty and risks in investment decisions. Echoe Editions.
Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455. https://bit.ly/3Js6swJ
Breeden, D. Gibbons, M y Litzenberger, R (1989). Empirical tests of the consumption-oriented.
The Journal of Business, 44(2), 231-262. https://doi.org/10.1111/j.1540-6261.1989.tb05056.x
Banco Central del Ecuador. (2019). Información económica. https://www.bce.fin.ec/
Chang, A. y Galindo, H. (2018). (C)CAPM vs CAPM: Which model best reflects the performance of stocks in emerging markets? IECOS Magazine, 19(C). https://doi.org/10.21754/iecos.v19i0.1164
Grant, A., Johnstone, D. y Kwon, O. (2021). How an idiosyncratic (zero-beta) risk can greatly increase the firm’s cost of capital. Australian Journal of Management, 47(4). https://doi.org/10.1177/03128962211059576
Elsas, R., El-Shaer, M. y Theissen, E. (2003). Beta and returns revisited. Journal of International Financial Markets. Institutions and Money, 13(1), 1-18.
https://doi.org/10.1016/s1042-4431(02)00023-9
Estrada, J. (2002). Systematic risk in emerging markets: The D-CAPM. Emerging Markets Review, 3(4), 365-379. https://doi.org/10.1016/S1566-0141(02)00042-0
Fama, E. y French, K. (1992). The cross section of expected stock returns. The Journal of Finance, 47(1), 427-465. https://doi.org/https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
https://doi.org/https://doi.org/10.1016/0304- 405X(93)90023-5
Fama, E. y French, K. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Fair, J. (2004). The measurement of profitability and stock market risk. Personal Finance News.
Faiteh, A. y Aasri, M. R. (2022). Accounting Beta as an indicator of risk measurement: the case of the Casablanca Stock Exchange. Risks, 10(8). https://doi.org/10.3390/risks10080149
Flores, E., Rodríguez, A. y Flores, J. (2019). Risk determination for manufacturing microcompanies in Mexico. Análisis Económico, 34(87),149-176. https://www.scielo.org.mx/scielo.php?pid=S2448-66552019000300149&script=sci_arttext Francischetti, C., Bertassi, A., Giriloli, L., Padoveze, C. y Calil, J. (2014). El análisis de riesgos como herramientas para la toma de decisiones relativas a inversiones. Invenio, 17(33), 73-85. http://bit.ly/3ZXubKL
Jagannathan, R. y Wang, Z. (1996). The conditional CAPM and the cross-section of expected returns. The Journal of Finance, 51(1), 3-53. https://doi.org/https://doi.org/10.2307/2329301
Kayo, E., Martelanc, R., Brunaldi, E. y da Silva, W. (2020). Capital Asset Pricing Model, beta stability, and the pricing puzzle of electricity transmission in Brazil. Energy Policy, 142, 111485, (April). https://doi.org/10.1016/j.enpol.2020.111485
Lettau, M. y Ludvigson, S. (2001). Resurrecting the (C)CAPM: A cross-sectional test when risk rewards are time-varying. Journal of Political Economy, 109(6), 1238-1287. https://doi.org/10.1086/323282
Leyva, E. (2014). Macroeconomic multifactor models from the perspective of Arbitrage Pricing Theory (APT). Analysis Economic, 29(71), 113-135. https://bit.ly/3T27wdI
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review Literature and Arts of The Americas, 47(1), 13-37. https://doi.org/10.2307/1926735
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77-91. https://doi.org///doi.org/10.1111/j.1540-6261.1952.tb01525.x
Martínez, C., Ledesma, J. y Russo, A. (2014). Modelos de cálculo de las betas a aplicar en el Capital Asset Pricing Model: el caso de Argentina. Estudios Gerenciales, 30(131), 200-208. https://doi.org/10.1016/j.estger.2014.03.002
Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 41(5), 867-887. https://doi.org/10.2307/1913811
Miralles, J., Miralles, M. y Miralles, J. (2009). Estimation of the dynamics of the beta coefficient in the Spanish stock market. Spanish Magazine of Financing and Accounting, 38(143) 449-478 https://doi.org/10.1080/02102412.2009.10779673
Montenegro, E., Tinajero, F. y Pacheco, I. (2014). Estimación del riesgo de acciones a través de un modelo financiero y de modelos de heteroscedasticidad condicional autorregresiva. UTCiencia, 1(2), 61-71. http://bit.ly/3ZLIsdk
Mossin, J. (1966). Equilibrium in a Capital Asset Market. The Econometric Society, 34(4), 768-783. https://doi.org/http://dx.doi.org/10.2307/1910098
Orellana, I., Tonon, L., Reyes, M., Pinos, L. y Cevallos, E. (2020). Riesgos financieros en el sector manufacturero del Ecuador (1 ed.). Universidad del Azuay Casa Editora.
Pereiro, L. (2010). The Beta dilemma in emerging markets. Journal of Applied Corporate Finance, 22, 110-113. https://doi.org/10.1007/978-1-4614-9173-6
Pérez Pravia, M. C. y Vega de la Cruz, L. O. (2021). Gestión de riesgos en encadenamientos productivos sostenibles. Revista Venezolana de Gerencia, 26(96), 1396-1412. https://doi.org/10.52080/rvgluz.26.96.25
Poquechoque, L. (2020). Estimación de cálculo de coeficiente beta para empresas que cotizan en la Bolsa Boliviana de Valores. Perspectivas, 45, 61-84. http://bit.ly/3Js3nN2
Riofrío, F. (2019). Análisis comparativo del mercado de valores: Ecuador, Colombia, Perú, y propuesta de medidas para el desarrollo del caso ecuatoriano. Universidad Internacional del Ecuador
Ross, S. (1976). The arbitrage theory of capital asset pricing (Working Paper Version). Journal of Economic Theory, 13(3), 341-360. https://doi.org/doi.org/10.1016/0022-0531(76)90046-6
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. The Bell Journal of Economics, 7(2), 407-425. https://doi.org/10.2307/3003264
Ruiz, J., Altamirano, J. y Tonon, L. (2021). Aplicación del CAPM en Mercados Emergentes: Una revisión teórica. Podium, 39, 53-70. https://doi.org/10.31095/podium.2021.39.4
Rutkowska, A. y Markowski, L. (2022). Accounting and market risk measures of Polish
Energy Companies. Energies, 15(2138), 1-17. https://doi.org/https://doi.org/10.3390/en15062138
Santana, L. (2015). Estimation of the beta for the real estate sector based on the performance of real estate investment funds in Colombia. Finance and Economic Policy Review, 7(1), 83-95. https://doi.org/10.14718/revfinanzpolitecon.2015.7.1.4
Santos, L., Fischberg, F., Cyrino, F. y Muños, C. (2019). Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds. RAE Magazine of Business Administration, 59(4), 225-241. https://doi.org/10.1590/S0034-759020190402
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2329297
St.-Pierre, J. y Bahri, M. (2006). The use of the accounting beta as an overall risk indicator for unlisted companies. Journal of Small Business and Enterprise Development, 13(4), 546-561. https://doi.org/10.1108/14626000610705741
Superintendencia de Compañías, Valores y Seguros. (2020). http://bit.ly/3ypePCK
Támara, A., Chica, I. y Montiel, A. (2017). Metodología de Cálculo del Beta: Beta de los Activos, Beta Apalancado y Beta Corregido por Cash. Espacios, 38(34), 15. http://bit.ly/3ZWo218
Trejo, B. y Gallegos, A. (2021). Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. Revista Mexicana de Economía y Finanzas, 16(2), 1-26. https://doi.org/10.21919/remef.v16i2.589
Urdaneta, A. J., Borgucci, E. V., González, A. I. y Luciani, L. R. (2021). Función empresarial yconcentración de pequeñas y medianas empresas en la Provincia de El Oro-Ecuador. Revista Venezolana de Gerencia, 26(95), 776-801. https://bit.ly/3J1clQ9
Valverde, J. y Caicedo, F. (2019). Cálculo de las betas del Capital Asset Pricing Model como indicador de rentabilidad de las empresas vinculadas a la Bolsa de Valores de Ecuador. Universidad, Ciencia y Tecnología, 24(107), 79-87. https://doi.org/10.47460/uct.v24i107.417
Astaiza, J. (2012). Tobin's separation theorem: information from the first half of 2008 on the Colombian stock market. AD- minister, 1(21), 135-154. http://bit.ly/3YyJXKY
Banerjee, P., Doran, J. y Peterson, D. (2007). Implied volatility and future portfolio returns. Journal of Banking and Finance, 31 (10), 3183-3199. https://doi.org/10.1016/j.jbankfin.2006.12.007
Banz, R. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. https://doi.org/doi.org/10.1016/0304-405X(81)90018-0
Basu, D. y Chawla, D. (2010). An empirical test of CAPM-the case of Indian stock market. Global Business Review, 11(2), 209-220. https://doi.org/10.1177/097215091001100206
Binz, T. (2020). How do firm and market characteristics affect airports’ Beta risk? Competition and Regulation in Network Industries, 21(3), 297-312. https://doi.org/10.1177/1783591720941678
Baptist, R. (2013). Uncertainty and risks in investment decisions. Echoe Editions.
Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455. https://bit.ly/3Js6swJ
Breeden, D. Gibbons, M y Litzenberger, R (1989). Empirical tests of the consumption-oriented.
The Journal of Business, 44(2), 231-262. https://doi.org/10.1111/j.1540-6261.1989.tb05056.x
Banco Central del Ecuador. (2019). Información económica. https://www.bce.fin.ec/
Chang, A. y Galindo, H. (2018). (C)CAPM vs CAPM: Which model best reflects the performance of stocks in emerging markets? IECOS Magazine, 19(C). https://doi.org/10.21754/iecos.v19i0.1164
Grant, A., Johnstone, D. y Kwon, O. (2021). How an idiosyncratic (zero-beta) risk can greatly increase the firm’s cost of capital. Australian Journal of Management, 47(4). https://doi.org/10.1177/03128962211059576
Elsas, R., El-Shaer, M. y Theissen, E. (2003). Beta and returns revisited. Journal of International Financial Markets. Institutions and Money, 13(1), 1-18.
https://doi.org/10.1016/s1042-4431(02)00023-9
Estrada, J. (2002). Systematic risk in emerging markets: The D-CAPM. Emerging Markets Review, 3(4), 365-379. https://doi.org/10.1016/S1566-0141(02)00042-0
Fama, E. y French, K. (1992). The cross section of expected stock returns. The Journal of Finance, 47(1), 427-465. https://doi.org/https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E. y French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
https://doi.org/https://doi.org/10.1016/0304- 405X(93)90023-5
Fama, E. y French, K. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, 51(1), 55-84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Fair, J. (2004). The measurement of profitability and stock market risk. Personal Finance News.
Faiteh, A. y Aasri, M. R. (2022). Accounting Beta as an indicator of risk measurement: the case of the Casablanca Stock Exchange. Risks, 10(8). https://doi.org/10.3390/risks10080149
Flores, E., Rodríguez, A. y Flores, J. (2019). Risk determination for manufacturing microcompanies in Mexico. Análisis Económico, 34(87),149-176. https://www.scielo.org.mx/scielo.php?pid=S2448-66552019000300149&script=sci_arttext Francischetti, C., Bertassi, A., Giriloli, L., Padoveze, C. y Calil, J. (2014). El análisis de riesgos como herramientas para la toma de decisiones relativas a inversiones. Invenio, 17(33), 73-85. http://bit.ly/3ZXubKL
Jagannathan, R. y Wang, Z. (1996). The conditional CAPM and the cross-section of expected returns. The Journal of Finance, 51(1), 3-53. https://doi.org/https://doi.org/10.2307/2329301
Kayo, E., Martelanc, R., Brunaldi, E. y da Silva, W. (2020). Capital Asset Pricing Model, beta stability, and the pricing puzzle of electricity transmission in Brazil. Energy Policy, 142, 111485, (April). https://doi.org/10.1016/j.enpol.2020.111485
Lettau, M. y Ludvigson, S. (2001). Resurrecting the (C)CAPM: A cross-sectional test when risk rewards are time-varying. Journal of Political Economy, 109(6), 1238-1287. https://doi.org/10.1086/323282
Leyva, E. (2014). Macroeconomic multifactor models from the perspective of Arbitrage Pricing Theory (APT). Analysis Economic, 29(71), 113-135. https://bit.ly/3T27wdI
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review Literature and Arts of The Americas, 47(1), 13-37. https://doi.org/10.2307/1926735
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77-91. https://doi.org///doi.org/10.1111/j.1540-6261.1952.tb01525.x
Martínez, C., Ledesma, J. y Russo, A. (2014). Modelos de cálculo de las betas a aplicar en el Capital Asset Pricing Model: el caso de Argentina. Estudios Gerenciales, 30(131), 200-208. https://doi.org/10.1016/j.estger.2014.03.002
Merton, R. (1973). An intertemporal capital asset pricing model. Econometrica: Journal of the Econometric Society, 41(5), 867-887. https://doi.org/10.2307/1913811
Miralles, J., Miralles, M. y Miralles, J. (2009). Estimation of the dynamics of the beta coefficient in the Spanish stock market. Spanish Magazine of Financing and Accounting, 38(143) 449-478 https://doi.org/10.1080/02102412.2009.10779673
Montenegro, E., Tinajero, F. y Pacheco, I. (2014). Estimación del riesgo de acciones a través de un modelo financiero y de modelos de heteroscedasticidad condicional autorregresiva. UTCiencia, 1(2), 61-71. http://bit.ly/3ZLIsdk
Mossin, J. (1966). Equilibrium in a Capital Asset Market. The Econometric Society, 34(4), 768-783. https://doi.org/http://dx.doi.org/10.2307/1910098
Orellana, I., Tonon, L., Reyes, M., Pinos, L. y Cevallos, E. (2020). Riesgos financieros en el sector manufacturero del Ecuador (1 ed.). Universidad del Azuay Casa Editora.
Pereiro, L. (2010). The Beta dilemma in emerging markets. Journal of Applied Corporate Finance, 22, 110-113. https://doi.org/10.1007/978-1-4614-9173-6
Pérez Pravia, M. C. y Vega de la Cruz, L. O. (2021). Gestión de riesgos en encadenamientos productivos sostenibles. Revista Venezolana de Gerencia, 26(96), 1396-1412. https://doi.org/10.52080/rvgluz.26.96.25
Poquechoque, L. (2020). Estimación de cálculo de coeficiente beta para empresas que cotizan en la Bolsa Boliviana de Valores. Perspectivas, 45, 61-84. http://bit.ly/3Js3nN2
Riofrío, F. (2019). Análisis comparativo del mercado de valores: Ecuador, Colombia, Perú, y propuesta de medidas para el desarrollo del caso ecuatoriano. Universidad Internacional del Ecuador
Ross, S. (1976). The arbitrage theory of capital asset pricing (Working Paper Version). Journal of Economic Theory, 13(3), 341-360. https://doi.org/doi.org/10.1016/0022-0531(76)90046-6
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. The Bell Journal of Economics, 7(2), 407-425. https://doi.org/10.2307/3003264
Ruiz, J., Altamirano, J. y Tonon, L. (2021). Aplicación del CAPM en Mercados Emergentes: Una revisión teórica. Podium, 39, 53-70. https://doi.org/10.31095/podium.2021.39.4
Rutkowska, A. y Markowski, L. (2022). Accounting and market risk measures of Polish
Energy Companies. Energies, 15(2138), 1-17. https://doi.org/https://doi.org/10.3390/en15062138
Santana, L. (2015). Estimation of the beta for the real estate sector based on the performance of real estate investment funds in Colombia. Finance and Economic Policy Review, 7(1), 83-95. https://doi.org/10.14718/revfinanzpolitecon.2015.7.1.4
Santos, L., Fischberg, F., Cyrino, F. y Muños, C. (2019). Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds. RAE Magazine of Business Administration, 59(4), 225-241. https://doi.org/10.1590/S0034-759020190402
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442. https://doi.org/10.2307/2329297
St.-Pierre, J. y Bahri, M. (2006). The use of the accounting beta as an overall risk indicator for unlisted companies. Journal of Small Business and Enterprise Development, 13(4), 546-561. https://doi.org/10.1108/14626000610705741
Superintendencia de Compañías, Valores y Seguros. (2020). http://bit.ly/3ypePCK
Támara, A., Chica, I. y Montiel, A. (2017). Metodología de Cálculo del Beta: Beta de los Activos, Beta Apalancado y Beta Corregido por Cash. Espacios, 38(34), 15. http://bit.ly/3ZWo218
Trejo, B. y Gallegos, A. (2021). Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM. Revista Mexicana de Economía y Finanzas, 16(2), 1-26. https://doi.org/10.21919/remef.v16i2.589
Urdaneta, A. J., Borgucci, E. V., González, A. I. y Luciani, L. R. (2021). Función empresarial yconcentración de pequeñas y medianas empresas en la Provincia de El Oro-Ecuador. Revista Venezolana de Gerencia, 26(95), 776-801. https://bit.ly/3J1clQ9
Valverde, J. y Caicedo, F. (2019). Cálculo de las betas del Capital Asset Pricing Model como indicador de rentabilidad de las empresas vinculadas a la Bolsa de Valores de Ecuador. Universidad, Ciencia y Tecnología, 24(107), 79-87. https://doi.org/10.47460/uct.v24i107.417
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