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Dimensión Empresarial
Print version ISSN 1692-8563
Abstract
CHAVEZ-MUNOZ, Nelson Manolo; RIOS-HERNANDEZ, Héctor Fabio and CARMONA-MUNOZ, Diana Milena. MACROECONOMIC DETERMINANTS OF THE VALUATION OF SHARES: PACIFIC ALLIANCE CASE. Dimens.empres. [online]. 2020, vol.18, n.1, pp.129-146. ISSN 1692-8563. https://doi.org/10.15665/dem.v18i(1).2066.
This document has as main objective to identify the macroeconomic determinants that influence the returns of the portfolios in the financial markets of the countries that are part of the Pacific Alliance, for the years between 2009 and 2015. Thus, it is intended to establish if the arbitration pricing theory (APT) postulated by Ross (1976), applies to the portfolios of the Alliance’s stock markets. The portfolios were constructed based on the methodology proposed by Fama and French (1996). The study concludes in empirical terms that the APT model does not apply to the financial markets of the Pacific Alliance countries.
Keywords : Arbitrage Pricing Theory (APT); macroeconomics factors; stock exchanges.