Prima de riesgo país: el caso de Chile
En la actualidad no existe un método consensuado para estimar la prima de riesgo de manera precisa, porconsiguiente, distintos autores llegan a resultados significativamente diferentes al calcular el premio por riesgo de un determinado país o industria. Este trabajo realiza la estimación del premio por riesgo del mercado accionario chileno (PRM) para el periodo 1993-2020, utilizando distintas metodologías de estimación (Diferencial de Rentabilidades, Rentabilidad Implícita en Precios Accionarios Actuales). Los resultados indican, dependiendo de metodología utilizada, un Premio por Riesgo que oscila entre 1,91% y 10,28%, lo que evidencia la existencia de un premio positivo por asumir riesgo en Chile que oscila en torno a 5,3%.
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zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021
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Prima de riesgo país: el caso de Chile Premio por riezgo Artículo de revista Núm. 2 , Año 2021 :Vol. 13 Núm. 2 (2021) 2 13 Mercado financiero Mercado Revista Finanzas y Política Económica Rentabilidad Chile Universidad Católica de Colombia Gudaris, Paulina Campos Jaque, Zocimo José Tapia Gertosio, Juan En la actualidad no existe un método consensuado para estimar la prima de riesgo de manera precisa, porconsiguiente, distintos autores llegan a resultados significativamente diferentes al calcular el premio por riesgo de un determinado país o industria. Este trabajo realiza la estimación del premio por riesgo del mercado accionario chileno (PRM) para el periodo 1993-2020, utilizando distintas metodologías de estimación (Diferencial de Rentabilidades, Rentabilidad Implícita en Precios Accionarios Actuales). Los resultados indican, dependiendo de metodología utilizada, un Premio por Riesgo que oscila entre 1,91% y 10,28%, lo que evidencia la existencia de un premio positivo por asumir riesgo en Chile que oscila en torno a 5,3%. Edwards, S. (1984). LDC foreign borrowing and default risk: an empirical investigation 1976-1980. National Bureau of Economic Research, 726-734. El-Shagi, M., & Von Schweinitz, G. (2021). Fiscal policy and fiscal fragility: Empirical evidence from the OECD. Journal of International MOney and Finance, 115. https://doi.org/10.1016/j.jimonfin.2020.102292 Francis, J., & Kim, D. (2013). Modern Portfolio Theory. Foundations, Analysis, and New Developments. United States of America. John Wiley & Sons, Inc, 126-130. Durbin, E., & Ng, D. (2005). The sovereign ceiling and emerging market corporate bond spreads. Journal of International Money and Finance, 631-649. https://doi.org/10.1016/j.jimonfin.2005.03.005 Fuenzalida, D., Mongrut, S., & Nash, M. (2005). Riesgo Pais y Riesgo Soberano: Concepto y Medición. Revista Mexicana de Economía y Finanzas, 4 (4), 347-367. https://doi.org/10.21919/remef.v4i4.210 Kahneman, D., & Tversky, A. (2013). Prospect Theory: An Analysis of Decision Under Risk. Handbook of the Fundamentals of Financial Decision Making, 99-127. https://doi.org/10.1142/9789814417358_0006 Kashyap, R. (2018). solving the Equity Risk Premium Puzzle and Inching Toward a Theory of Everything. The Journal of Private Equity, 21, 45-63. https://doi.org/10.3905/jpe.2018.21.2.045 Lira, F., & Sotz, C. (2011). Estimación del Premio por Riesgo en Chile. Documento de Trabajo Nº617 del Banco Central de Chile. Lucas, R., & JR. (1978). Asset Prices in an Exchange Economy. Econometrica 46, 1429-1445. https://doi.org/10.2307/1913837 Maquieira, C. (2008). Finanzas Corporativas, Teória y Práctica. Santiago-Chile: Ed. Andrés Bello. Mehra, R., Prescott, & Edward. (1985). The Equity premium: A puzzle. Journal of Monetary Economics, 15 (2), 145-161. https://doi.org/10.1016/0304-3932(85)90061-3 Mullins, D. (1982). Does the Capital Asset Pricing Model Work? Obtenido de Harvard Business Review: https://hbr.org/1982/01/does-the-capital-asset-pricing-model-work Hirshleifer, J., & Riley, J. (1992). The Analytics of Uncertainty and Information. United Kingdom. Cambridge University Press, 69-73. https://doi.org/10.1017/CBO9781139167635 http://purl.org/coar/resource_type/c_6501 Neumann, J., & Morgenstern, O. (1953). Theory of Games and Economic Behavior. Princeton, New Jersey: Princeton University Press. Rietz, T. (1988). The equity risk premium a solution. Journal of Monetary Economics, 22(11), 117-131. https://doi.org/10.1016/0304-3932(88)90172-9 Ross, S., & Westerfield, R. (2012). Finanzas Corporativas. USA: McGraw-HIll Companies. Yacine, A. (2015). Testing Continuos-Time Models of the Spot Interest Rate. The Review of Financial Studies, 9 (2), 385-426. https://doi.org/10.1093/rfs/9.2.385 Zhengyang, J. (2021). Fiscal Cyclicality and Currency Risk Premia. The Review of Financial Studies. info:eu-repo/semantics/article Damodaran. (s.f.). Implied Equity Premiums. Obtenido: http://pages.stern.nyu.edu/~adamodar/: http://pages.stern.nyu.edu/~adamodar/ http://purl.org/coar/resource_type/c_2df8fbb1 http://purl.org/redcol/resource_type/ART info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text Dos Santos, M., Klotzle, M., & Pinto, A. (2021). The impact of political risk on the currencies of emerging markets. Research in International Business and Finance, 1-11. https://doi.org/10.1016/j.ribaf.2020.101375 Publication Damodaran. (2019). Implied. Obtenido de http://people.stern.nyu.edu/adamodar/podcasts/valspr15/valsession5.pdf: https://revfinypolecon.ucatolica.edu.co/article/view/3977 Currently there is no agreed method to estimate the Risk Premium accurately, therefore, different authors arrive at significantly different results when calculating the risk premium for a given country or industry. This work estimates the risk premium of the Chilean stock market (PRM) for the period 1993-2020 using different estimation methodologies (Differential Returns, Implicit Return in Current Stock Prices). The results indicate, depending on the methodology used, a Premium for Risk that ranges between 1,91% and 10,28%, which shows the existence of a positive premium for assuming risk in Chile that ranges around 5,3%. Prize for risk Profitability Chile Market Financial Markets Journal article text/html application/pdf Damodaran, A. (2008). Equity Risk Premiums. Obtenido de http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.198.4830&rep=rep1&type=pdf text/xml Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. Baltussen, G., Martens, M., & Penninga, O. (2021). Predicting Bond Returns: 70 Years of International Evidence. Financial Analysts Journal, https://doi.org/10.2139/ ssrn.3631109 Baker, S., Bloom, N., & Davis, S. (2015). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024 Inglés https://creativecommons.org/licenses/by-nc-sa/4.0 zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021 Arrow, K. (1964). The role of secutirties in the optimal allocation of risk bearing. Review of Economic Studies, 31, 91-96. https://doi.org/10.2307/2296188 Abdul, W., Phuong, T., & Zurbruega, R. (2021). The non-pecuniary determinants of sovereign and bank rating changes. Finance Research Letters, 41, doi.org/10.1016/j. frl.2020.101814. Country Risk Premium: The Case of Chile 10.14718/revfinanzpolitecon.v13.n2.2021.3 317 https://revfinypolecon.ucatolica.edu.co/article/download/3977/4247 2021-09-08T00:00:00Z 2021-09-08T00:00:00Z https://doi.org/10.14718/revfinanzpolitecon.v13.n2.2021.3 https://revfinypolecon.ucatolica.edu.co/article/download/3977/3917 https://revfinypolecon.ucatolica.edu.co/article/download/3977/4012 2021-09-08 2248-6046 2011-7663 344 |
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UNIVERSIDAD CATÓLICA DE COLOMBIA |
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| country_str |
Colombia |
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Revista Finanzas y Política Económica |
| title |
Prima de riesgo país: el caso de Chile |
| spellingShingle |
Prima de riesgo país: el caso de Chile Gudaris, Paulina Campos Jaque, Zocimo José Tapia Gertosio, Juan Premio por riezgo Mercado financiero Mercado Rentabilidad Chile Prize for risk Profitability Chile Market Financial Markets |
| title_short |
Prima de riesgo país: el caso de Chile |
| title_full |
Prima de riesgo país: el caso de Chile |
| title_fullStr |
Prima de riesgo país: el caso de Chile |
| title_full_unstemmed |
Prima de riesgo país: el caso de Chile |
| title_sort |
prima de riesgo país: el caso de chile |
| title_eng |
Country Risk Premium: The Case of Chile |
| description |
En la actualidad no existe un método consensuado para estimar la prima de riesgo de manera precisa, porconsiguiente, distintos autores llegan a resultados significativamente diferentes al calcular el premio por riesgo de un determinado país o industria. Este trabajo realiza la estimación del premio por riesgo del mercado accionario chileno (PRM) para el periodo 1993-2020, utilizando distintas metodologías de estimación (Diferencial de Rentabilidades, Rentabilidad Implícita en Precios Accionarios Actuales). Los resultados indican, dependiendo de metodología utilizada, un Premio por Riesgo que oscila entre 1,91% y 10,28%, lo que evidencia la existencia de un premio positivo por asumir riesgo en Chile que oscila en torno a 5,3%.
|
| description_eng |
Currently there is no agreed method to estimate the Risk Premium accurately, therefore, different authors arrive at significantly different results when calculating the risk premium for a given country or industry. This work estimates the risk premium of the Chilean stock market (PRM) for the period 1993-2020 using different estimation methodologies (Differential Returns, Implicit Return in Current Stock Prices). The results indicate, depending on the methodology used, a Premium for Risk that ranges between 1,91% and 10,28%, which shows the existence of a positive premium for assuming risk in Chile that ranges around 5,3%.
|
| author |
Gudaris, Paulina Campos Jaque, Zocimo José Tapia Gertosio, Juan |
| author_facet |
Gudaris, Paulina Campos Jaque, Zocimo José Tapia Gertosio, Juan |
| topicspa_str_mv |
Premio por riezgo Mercado financiero Mercado Rentabilidad Chile |
| topic |
Premio por riezgo Mercado financiero Mercado Rentabilidad Chile Prize for risk Profitability Chile Market Financial Markets |
| topic_facet |
Premio por riezgo Mercado financiero Mercado Rentabilidad Chile Prize for risk Profitability Chile Market Financial Markets |
| citationvolume |
13 |
| citationissue |
2 |
| citationedition |
Núm. 2 , Año 2021 :Vol. 13 Núm. 2 (2021) |
| publisher |
Universidad Católica de Colombia |
| ispartofjournal |
Revista Finanzas y Política Económica |
| source |
https://revfinypolecon.ucatolica.edu.co/article/view/3977 |
| language |
Inglés |
| format |
Article |
| rights |
info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. https://creativecommons.org/licenses/by-nc-sa/4.0 zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021 |
| references_eng |
Edwards, S. (1984). LDC foreign borrowing and default risk: an empirical investigation 1976-1980. National Bureau of Economic Research, 726-734. El-Shagi, M., & Von Schweinitz, G. (2021). Fiscal policy and fiscal fragility: Empirical evidence from the OECD. Journal of International MOney and Finance, 115. https://doi.org/10.1016/j.jimonfin.2020.102292 Francis, J., & Kim, D. (2013). Modern Portfolio Theory. Foundations, Analysis, and New Developments. United States of America. John Wiley & Sons, Inc, 126-130. Durbin, E., & Ng, D. (2005). The sovereign ceiling and emerging market corporate bond spreads. Journal of International Money and Finance, 631-649. https://doi.org/10.1016/j.jimonfin.2005.03.005 Fuenzalida, D., Mongrut, S., & Nash, M. (2005). Riesgo Pais y Riesgo Soberano: Concepto y Medición. Revista Mexicana de Economía y Finanzas, 4 (4), 347-367. https://doi.org/10.21919/remef.v4i4.210 Kahneman, D., & Tversky, A. (2013). Prospect Theory: An Analysis of Decision Under Risk. Handbook of the Fundamentals of Financial Decision Making, 99-127. https://doi.org/10.1142/9789814417358_0006 Kashyap, R. (2018). solving the Equity Risk Premium Puzzle and Inching Toward a Theory of Everything. The Journal of Private Equity, 21, 45-63. https://doi.org/10.3905/jpe.2018.21.2.045 Lira, F., & Sotz, C. (2011). Estimación del Premio por Riesgo en Chile. Documento de Trabajo Nº617 del Banco Central de Chile. Lucas, R., & JR. (1978). Asset Prices in an Exchange Economy. Econometrica 46, 1429-1445. https://doi.org/10.2307/1913837 Maquieira, C. (2008). Finanzas Corporativas, Teória y Práctica. Santiago-Chile: Ed. Andrés Bello. Mehra, R., Prescott, & Edward. (1985). The Equity premium: A puzzle. Journal of Monetary Economics, 15 (2), 145-161. https://doi.org/10.1016/0304-3932(85)90061-3 Mullins, D. (1982). Does the Capital Asset Pricing Model Work? Obtenido de Harvard Business Review: https://hbr.org/1982/01/does-the-capital-asset-pricing-model-work Hirshleifer, J., & Riley, J. (1992). The Analytics of Uncertainty and Information. United Kingdom. Cambridge University Press, 69-73. https://doi.org/10.1017/CBO9781139167635 Neumann, J., & Morgenstern, O. (1953). Theory of Games and Economic Behavior. Princeton, New Jersey: Princeton University Press. Rietz, T. (1988). The equity risk premium a solution. Journal of Monetary Economics, 22(11), 117-131. https://doi.org/10.1016/0304-3932(88)90172-9 Ross, S., & Westerfield, R. (2012). Finanzas Corporativas. USA: McGraw-HIll Companies. Yacine, A. (2015). Testing Continuos-Time Models of the Spot Interest Rate. The Review of Financial Studies, 9 (2), 385-426. https://doi.org/10.1093/rfs/9.2.385 Zhengyang, J. (2021). Fiscal Cyclicality and Currency Risk Premia. The Review of Financial Studies. Damodaran. (s.f.). Implied Equity Premiums. Obtenido: http://pages.stern.nyu.edu/~adamodar/: http://pages.stern.nyu.edu/~adamodar/ Dos Santos, M., Klotzle, M., & Pinto, A. (2021). The impact of political risk on the currencies of emerging markets. Research in International Business and Finance, 1-11. https://doi.org/10.1016/j.ribaf.2020.101375 Damodaran. (2019). Implied. Obtenido de http://people.stern.nyu.edu/adamodar/podcasts/valspr15/valsession5.pdf: Damodaran, A. (2008). Equity Risk Premiums. Obtenido de http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.198.4830&rep=rep1&type=pdf Baltussen, G., Martens, M., & Penninga, O. (2021). Predicting Bond Returns: 70 Years of International Evidence. Financial Analysts Journal, https://doi.org/10.2139/ ssrn.3631109 Baker, S., Bloom, N., & Davis, S. (2015). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024 Arrow, K. (1964). The role of secutirties in the optimal allocation of risk bearing. Review of Economic Studies, 31, 91-96. https://doi.org/10.2307/2296188 Abdul, W., Phuong, T., & Zurbruega, R. (2021). The non-pecuniary determinants of sovereign and bank rating changes. Finance Research Letters, 41, doi.org/10.1016/j. frl.2020.101814. |
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