NDLI: Es el Riesgo Cambiario Preciado en el Mercado Accionario Chileno? Un Estudio Empírico Basado en la Teoría de Precios por Arbitraje

Content Provider	Semantic Scholar
Author	Sandoval, Eduardo Benvenuto, Ángelo
Copyright Year	2010
Abstract	Using the approach of Burmeister and McElroy (1988), we jointly estimate the factor sensitivities and risk premia that important macroeconomic surprises have on the stock return generating process in the Chilean equity market, which are assumed generated by the APT. As a new contribution we test whether surprises on the exchange rate are priced and probe the exogeneity of the portfolio excess returns that captures the unobserved surprise factor. The empirical results show evidence in favor of January effect, no rejection of the APT restrictions on the linear factor model, positive and statistically significant risk premia for surprises associated to the relative price of copper-oil, exchange rate (peso-USD, peso-pound, peso-yen) and the Monthly Economic Activity Index growth. A negative and statistically significant risk premia for inflation surprises is found. However, we found mixed results for other exchange rate proxies. Finally the CAPM model is rejected in favor of the APT.
Starting Page	1
Ending Page	27
Page Count	27
File Format	PDF HTM / HTML
Volume Number	3
Alternate Webpage(s)	http://www.theibfr2.com/RePEc/ibf/riafin/riaf-v3n2-2010/RIAF-V3N2-2010-1.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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