Examinando por Materia "Rendimiento de los activos financieros"

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    Arbitrage pricing theory : evidencia empírica para el mercado accionario colombiano, 2005 - 2012
    (Universidad EAFIT, 2012) Arango Restrepo, Carlos Daniel; González Tabares, Gabriel Felipe; Peláez Gómez, David; Velásquez Ceballos, Hermilson
    Ross (1976) introduced an alternative to the CAPM model to explain the returns of financial assets. Ross’ Arbitrage Pricing Theory (APT) proposes a multi-factor structure in which the return of a given financial asset is a function of a free-risk rate and a series of macroeconomic variables. In this paper the principal component analysis is used to summarise the information contained in 23 macroeconomic and financial variables and then the components retained are used to model the excess of return over the local currency government bonds, TES, of the Colombian Stock Exchange General Index (IGBC). The retained principal components were analysed in the light of the economic and financial theory and evidence was found to assert that the risk perception has the highest relative importance to explain the IGBC excess of return.