Titulo:
Prima de riesgo país: el caso de Chile
.
Sumario:
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%.
Guardado en:
2248-6046
2011-7663
13
2021-09-08
317
344
zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
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metarevistapublica_ucatolica_revistafinanzasypoliticaeconomica_16_article_3977 |
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Prima de riesgo país: el caso de Chile Country Risk Premium: The Case of 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%. 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%. Campos Jaque, Zocimo José Tapia Gertosio, Juan Gudaris, Paulina Prize for risk Profitability Chile Market Financial Markets Premio por riezgo Rentabilidad Chile Mercado Mercado financiero 13 2 Núm. 2 , Año 2021 :Vol. 13 Núm. 2 (2021) Artículo de revista Journal article 2021-09-08T00:00:00Z 2021-09-08T00:00:00Z 2021-09-08 text/html application/pdf text/xml Universidad Católica de Colombia Revista Finanzas y Política Económica 2248-6046 2011-7663 https://revfinypolecon.ucatolica.edu.co/article/view/3977 10.14718/revfinanzpolitecon.v13.n2.2021.3 https://doi.org/10.14718/revfinanzpolitecon.v13.n2.2021.3 eng https://creativecommons.org/licenses/by-nc-sa/4.0 zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021 Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. 317 344 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. 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 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 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 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 Damodaran. (2019). Implied. Obtenido de http://people.stern.nyu.edu/adamodar/podcasts/valspr15/valsession5.pdf: 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 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 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. 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 Hirshleifer, J., & Riley, J. (1992). The Analytics of Uncertainty and Information. United Kingdom. Cambridge University Press, 69-73. https://doi.org/10.1017/CBO9781139167635 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 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. https://revfinypolecon.ucatolica.edu.co/article/download/3977/4012 https://revfinypolecon.ucatolica.edu.co/article/download/3977/3917 https://revfinypolecon.ucatolica.edu.co/article/download/3977/4247 info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 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 Publication |
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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 Campos Jaque, Zocimo José Tapia Gertosio, Juan Gudaris, Paulina Prize for risk Profitability Chile Market Financial Markets Premio por riezgo Rentabilidad Chile Mercado Mercado financiero |
| 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 |
Campos Jaque, Zocimo José Tapia Gertosio, Juan Gudaris, Paulina |
| author_facet |
Campos Jaque, Zocimo José Tapia Gertosio, Juan Gudaris, Paulina |
| topic |
Prize for risk Profitability Chile Market Financial Markets Premio por riezgo Rentabilidad Chile Mercado Mercado financiero |
| topic_facet |
Prize for risk Profitability Chile Market Financial Markets Premio por riezgo Rentabilidad Chile Mercado Mercado financiero |
| topicspa_str_mv |
Premio por riezgo Rentabilidad Chile Mercado Mercado financiero |
| 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 |
eng |
| format |
Article |
| rights |
https://creativecommons.org/licenses/by-nc-sa/4.0 zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021 Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0. info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 |
| references_eng |
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. 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 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 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 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 Damodaran. (2019). Implied. Obtenido de http://people.stern.nyu.edu/adamodar/podcasts/valspr15/valsession5.pdf: 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 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 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. 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 Hirshleifer, J., & Riley, J. (1992). The Analytics of Uncertainty and Information. United Kingdom. Cambridge University Press, 69-73. https://doi.org/10.1017/CBO9781139167635 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 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. |
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