Estimation of the underlying structure of systematic risk with the use of principal component analysis and factor analysis

Contaduria y Administracion - Tập 59 - Trang 197-234 - 2014
Rogelio Ladrón de Guevara Cortés1
1Universidad Veracruzana

Tài liệu tham khảo

Abeysekera, 1987, A test of the APT in pricing UK stocks, Journal of Business Finance & Accounting, 14, 377, 10.1111/j.1468-5957.1987.tb00101.x Amenc, 2003 Aquino, 2005, Exchange rate risk and Philippine stock returns: Before and after the Asian financial crisis, Applied Financial Economics, 15, 765, 10.1080/09603100500107784 Arango, C., G. González, D. Peláez and H. Velásquez (2013). Arbitrage Pricing Theory: Evidencia empírica para el mercado accionario Colombiano, 2005–2012, Working paper, Universidad EAFIT. Available at: http://repository.eafit.edu.co/handle/10784/629 1998 Beenstock, 1988, Economic forces in the London Stock Market, Oxford Bulletin of Economics & Statistics, 50, 27, 10.1111/j.1468-0084.1988.mp50001002.x Bisquerra, 1989 Bank of Mexico. (2006). Statistical information. Available at: http://www.banxico.org.mx Bower, 1984, Arbitrage Pricing Theory and utility stock returns, The Journal of Finance, 39, 1041, 10.1111/j.1540-6261.1984.tb03891.x Brown, 1983, A new approach to testing asset pricing models: The bilinear paradigm, The Journal of Finance, 38, 711, 10.1111/j.1540-6261.1983.tb02498.x Burmeister, 2003, Using macroeconomic factors to control portfolio risk Bruno, 2002, Contraste factorial del Arbitrage Pricing Theory en el Mercado Bursátil Español, Análisis Financiero, 58 Calle, 1991, Diversification of Macroeconomic risk and international integration of capital markets: The case of Mexico, The World Bank Economic Review, 5, 415, 10.1093/wber/5.3.415 Cauchie, 2004, The determinants of stock returns in a small open Economy, International Review of Economics and Finance, 13, 167, 10.1016/j.iref.2003.07.001 Carbonell, 2003, Contrastación empírica de los modelos de valoración CAPM y APT: Aplicación a los índices de la Bolsa de Valores de Barcelona Chamberlain, 1983, Arbitrage, factor structure, and mean-variance analysis on large asset markets, Econométrica, 51, 1281, 10.2307/1912275 Chan, 1998, The risk and return from factors, Journal of Financial & Quantitative Analysis, 33, 159, 10.2307/2331306 Chen, 1983, Some empirical tests of the theory of Arbitrage Pricing, The Journal of Finance, 38, 1393, 10.1111/j.1540-6261.1983.tb03831.x Chen, 1991, Financial investment opportunities and the Macroeconomy, The Journal of Finance, 46, 529, 10.1111/j.1540-6261.1991.tb02673.x Ch'ng, 2001, A test of Arbitrage Pricing Theory: Evidence from Malaysia, Asia Pacific Journal of Economics and Business, 5, 76 Cho, 1984, On the robustness of the Roll and Ross Arbitrage Pricing Theory, The Journal of Financial and Quantitative Analysis, 19, 1, 10.2307/2330997 Connor, 1995, The three types of factor models: A comparison of their explanatory power, Financial Analysts Journal, 51, 42, 10.2469/faj.v51.n3.1904 Connor, 1988, Risk and return in an equilibrium APT: Application of a new test methodology, Journal of Financial Economics, 21, 255, 10.1016/0304-405X(88)90062-1 Costa, 2009, Teoria de Precificação por Arbitragem: Um estudo empírico no setor bancário Brasileiro, Enfoque: Reflexão Contábil, 28, 70 Dhankar, 2005, Arbitrage Pricing Theory and the Capital Asset Pricing Model-evidence from the Indian Stock Market, Journal of Financial Management & Analysis, 18, 14 Elton, 1988, A multi-index risk model of the Japanese Stock Market, Japan and the World Economy, 1, 21, 10.1016/0922-1425(88)90004-7 2002 Fuentes, 2006, Macroeconomic factors in Chilean work performances, Trimestre Económico, 73, 125 Gómez-Bezares, 1994 Hair, 1999 Hasbrouck, 2001, Common factors in prices, order flows, and liquidity, Journal of Financial Economics, 59, 383, 10.1016/S0304-405X(00)00091-X Iqbal, 2005, Arbitrage Pricing Theory: Evidence from an emerging stock market, Lahore Journal of Economics, 10, 123, 10.35536/lje.2005.v10.i1.a8 Jordán, 2003, Estimación y contraste del modelo APT en los fondos de inversión mobiliaria españoles, Análisis Financiero, 22 Kristjanpoller, 2011, Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno, Lecturas de Economía, 74, 37, 10.17533/udea.le.n74a9993 Lehmann, 1988, The empirical foundations of the Arbitrage Pricing Theory, Journal of Financial Economics, 21, 213, 10.1016/0304-405X(88)90061-X Liu, Y. and D. Melas (2007). Macroeconomic factors in a fundamental world. MSCI-BARRA Research Insights march: 1–14. Londoño, 2010, Teoría de precios de arbitraje. Evidencia empírica para Colombia a través de redes neuronales, Revista de Economía del Rosario, 13, 41 López-Herrera, 2011, Dynamic multibeta macroeconomic asset pricing model at NAFTA stock markets, International Journal of Economics and Finance, 3, 55, 10.5539/ijef.v3n1p55 López-Herrera, 2002, Un modelo de la APT en la selección de portafolios accionarios en el mercado mexicano, Contaduría y Administración, 9 López-Herrera, 2002, Variables económicas y un modelo multifactorial para la Bolsa Mexicana de Valores: Análisis empírico en una muestra de activos, Revista Latinoamericana de Administración, 5 Luque, 2000 Marin, 2001 Maringer, 2004, Finding the relevant risk factors for asset pricing, Computational Statistics & Data Analysis, 47, 339, 10.1016/j.csda.2003.11.007 Miller, 2006, Equity risk modeling: A comparison of factor models, Horizon. The MSCI-BARRA Newsletter, 2 Miller, 2006, Needles, haystacks, and hidden factors, Journal of Portfolio Management, 32, 25, 10.3905/jpm.2006.611800 Navarro, 2001, A test of the APT in the Mexican Stock Market Nieto, 2001, Los modelos multifactoriales de valoración de activos: Un análisis empírico comparativo Oliveira, 2011 Peña, 2002 Rensburg, 2000, Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns, South African Journal of Business Management, 31, 31, 10.4102/sajbm.v31i1.732 Reinganum, 1981, The Arbitrage Pricing Theory: Some empirical results, The Journal of Finance, 36, 313, 10.1111/j.1540-6261.1981.tb00444.x Roll, 1980, An empirical investigation of the Arbitrage Pricing Theory, The Journal of Finance, 35, 1073, 10.1111/j.1540-6261.1980.tb02197.x Ross, 1976, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13, 341, 10.1016/0022-0531(76)90046-6 Saldaña, 2007, Los modelos CAPM y APT para la valuación de empresas de telecomunicaciones con paramétros operativos, Innovaciones de Negocios, 4, 331 Sheikh, A. (1996). BARRA's risk models. Barra Research Insights: 1–24. Shukla, 1990, Sequential tests of the Arbitrage Pricing Theory: A comparison of principal components and maximum likelihood factors, The Journal of Finance, 45, 1541, 10.1111/j.1540-6261.1990.tb03727.x Shum, 2005, Common risk factors in returns in Asian emerging stock markets, International Business Review, 14, 695, 10.1016/j.ibusrev.2005.09.001 SUNGARD-APT. (2010). The APT Approach. Available at: http://www.sungard.com/campaigns/fs/alternativeinvestments/apt/insights.aspx. Tabak, 2007, Assessing financial instability: The case of Brazil, Research in International Business and Finance, 21, 188, 10.1016/j.ribaf.2006.03.002 Teker, 1998, A comparative analysis of security pricing using factor, macrovariable and Arbitrage Pricing models, Journal of Economics & Finance, 22, 21, 10.1007/BF02771474 Treviño, 2011, Time varying Arbitrage Pricing factors in the Mexican Stock Matket Twerefou, 2005, The impact of macroeconomic risk on asset prices in Ghana, 1997–2002, African Development Review, 17, 168, 10.1111/j.1017-6772.2005.00111.x Uriel, 2005 Valdivieso, 2004 Visauta, 2003 Yip, 2000, An application of Independent Component Analysis in the Arbitrage Pricing Theory, 279 Zangari, 2003, Equity risk factor models, 334