Bibliographic citations
Cajahuaringa, E., Olivera, E., Vizcarra, P., Cuzcano, Y. (2021). Comparación de modelos de predicción de retornos accionarios en el mercado de capitales peruano: CAPM, Fama y French y Reward Beta [Pontificia Universidad Católica del Perú]. http://hdl.handle.net/20.500.12404/18555
Cajahuaringa, E., Olivera, E., Vizcarra, P., Cuzcano, Y. Comparación de modelos de predicción de retornos accionarios en el mercado de capitales peruano: CAPM, Fama y French y Reward Beta []. PE: Pontificia Universidad Católica del Perú; 2021. http://hdl.handle.net/20.500.12404/18555
@mastersthesis{renati/2013547,
title = "Comparación de modelos de predicción de retornos accionarios en el mercado de capitales peruano: CAPM, Fama y French y Reward Beta",
author = "Cuzcano Zegarra, Yesenia Fidelia",
publisher = "Pontificia Universidad Católica del Perú",
year = "2021"
}
The present investigation is based on the analysis and comparison of different asset pricing models applied to stocks traded in the Lima Stock Exchange, with the objective of identifying the one that fits better for the peruvian stock market; this comparison is made under a procedure of composing investment portfolios (Fama & French, 1992), and adapted to the assessed models (Bornholt, 2006), where an econometric approach is applied (Fama & MacBeth, 1973) to each one of the proposed alternatives. The models compared in this research work are the Capital Asset Pricing Model, from now on CAPM, the Fama & French Three Factor Model, from now on Fama&French Model (Fama&French, 1992) and the Reward Beta Model (Bornholt, 2006). From the developed analysis, made with a sample of the period from 2010 to 2019, it was found that the asset pricing model that has the greatest statistics for the peruvian capital market is the Fama & French model.
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