Abstract

CARMONA-MUNOZ, Diana Milena  and  VERA-LEYTON, Marcos. Assessment of risk factors in variable income assets that make up the S&P MILA 40 index: Application of the Fama & French three factor model in the period 2009-2013. Finanz. polit. econ. [online]. 2017, vol.9, n.2, pp.301-317. ISSN 2248-6046.  https://doi.org/10.14718/revfinanzpolitecon.2017.9.2.5.

The present research article considers risk factors in variable income assets that make up the S&P MILA 40 index, through applying the Fama and French three factor model in the period 2009-2013. This model, based on the evaluation of microeconomic components, seeks to identify variables that can potentially influence the estimation of asset returns and, in this way, generate higher levels of information for the market and agents to make investment decisions. After performing these procedures, it can be established that, for the selected assets, lower capitalization portfolios generate the highest returns for investors, in which the weighted participation of Peruvian market assets stands out. Given the nature of the companies and conditions of the economy, these allowed for the emergence and strengthening of investment assets that generated better conditions of profitability.

Keywords : factor; profitability; risk; evaluation.

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