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- Title
Modelo de Valoración de Activos Financieros (CAPM) aplicado al sector empresarial de Ecuador.
- Authors
Antonio Reyes-Clavijo, Marco; Gabriel Pinos-Luzuriaga, Luis; Felipe Orellana-Osorio, Iván; Bernardo Tonon-Ordóñez, Luis
- Abstract
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 information provided constitutes a support for organizations or other interest groups, considering the high level of uncertainty existing in the market.
- Subjects
ECUADOR; INDUSTRY classification; EXPECTED returns; BETA (Finance); CAPITAL assets pricing model; ECONOMIC uncertainty; DEVELOPED countries
- Publication
Retos, Revista de Ciencias Administrativas y Económicas, 2023, Vol 13, Issue 25, p113
- ISSN
1390-6291
- Publication type
Article
- DOI
10.17163/ret.n25.2023.08