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, por consiguiente, 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...

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Autores:: Campos-Jaque, Zocimo José
Tapia-Gertosio, Juan
Gudaris, Paulina

Tipo de recurso:: Article of investigation

Fecha de publicación:: 2021

Institución:: Universidad Católica de Colombia

Repositorio:: RIUCaC - Repositorio U. Católica

Idioma:: eng

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dc.title.spa.fl_str_mv	Prima de riesgo país: el caso de Chile
dc.title.translated.eng.fl_str_mv	Country Risk Premium: The Case of Chile
title	Prima de riesgo país: el caso de Chile
spellingShingle	Prima de riesgo país: el caso de Chile 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
dc.creator.fl_str_mv	Campos-Jaque, Zocimo José Tapia-Gertosio, Juan Gudaris, Paulina
dc.contributor.author.spa.fl_str_mv	Campos-Jaque, Zocimo José Tapia-Gertosio, Juan Gudaris, Paulina
dc.subject.eng.fl_str_mv	Prize for risk Profitability Chile Market Financial Markets
topic	Prize for risk Profitability Chile Market Financial Markets Premio por riezgo Rentabilidad Chile Mercado Mercado financiero
dc.subject.spa.fl_str_mv	Premio por riezgo Rentabilidad Chile Mercado Mercado financiero
description	En la actualidad no existe un método consensuado para estimar la prima de riesgo de manera precisa, por consiguiente, 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%.
publishDate	2021
dc.date.accessioned.none.fl_str_mv	2021-09-08 00:00:00 2023-01-23T16:16:17Z
dc.date.available.none.fl_str_mv	2021-09-08 00:00:00 2023-01-23T16:16:17Z
dc.date.issued.none.fl_str_mv	2021-09-08
dc.type.spa.fl_str_mv	Artículo de revista
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dc.relation.citationedition.spa.fl_str_mv	Núm. 2 , Año 2021 : Vol. 13 Núm. 2 (2021)
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dc.relation.references.eng.fl_str_mv	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.
dc.rights.eng.fl_str_mv	zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021
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spelling	Campos-Jaque, Zocimo José8605015b-8156-445a-b950-8f44152c57d1Tapia-Gertosio, Juanacb8a802-e914-4cb8-baef-6e6e3b5019aeGudaris, Paulina0b1fc480-62b5-482a-a987-cf35f85800373002021-09-08 00:00:002023-01-23T16:16:17Z2021-09-08 00:00:002023-01-23T16:16:17Z2021-09-08En la actualidad no existe un método consensuado para estimar la prima de riesgo de manera precisa, por consiguiente, 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%.text/htmlapplication/pdftext/xml10.14718/revfinanzpolitecon.v13.n2.2021.32011-76632248-6046https://hdl.handle.net/10983/29459https://doi.org/10.14718/revfinanzpolitecon.v13.n2.2021.3engUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/3977/4012https://revfinypolecon.ucatolica.edu.co/article/download/3977/3917https://revfinypolecon.ucatolica.edu.co/article/download/3977/4247Núm. 2 , Año 2021 : Vol. 13 Núm. 2 (2021)344231713Revista Finanzas y Política EconómicaAbdul, 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/10.2307/2296188Baker, 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/qjw024Baltussen, G., Martens, M., & Penninga, O. (2021). Predicting Bond Returns: 70 Years of International Evidence. Financial Analysts Journal, https://doi.org/10.2139/ ssrn.3631109Damodaran, A. (2008). Equity Risk Premiums. Obtenido de http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.198.4830&rep=rep1&type=pdfDamodaran. (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.2020.101375Durbin, 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.2005.03.005Edwards, 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.2020.102292Francis, 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.v4i4.210Hirshleifer, J., & Riley, J. (1992). The Analytics of Uncertainty and Information. United Kingdom. Cambridge University Press, 69-73. https://doi.org/10.1017/CBO9781139167635Kahneman, 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_0006Kashyap, 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.2018.21.2.045Lira, 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/10.2307/1913837Maquieira, 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)90061-3Mullins, 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-workNeumann, 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)90172-9Ross, 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/9.2.385Zhengyang, J. (2021). Fiscal Cyclicality and Currency Risk Premia. The Review of Financial Studies.zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.https://creativecommons.org/licenses/by-nc-sa/4.0https://revfinypolecon.ucatolica.edu.co/article/view/3977Prize for riskProfitabilityChileMarketFinancial MarketsPremio por riezgoRentabilidadChileMercadoMercado financieroPrima de riesgo país: el caso de ChileCountry Risk Premium: The Case of ChileArtículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2576https://repository.ucatolica.edu.co/bitstreams/5689c446-0d56-4dfd-ad2a-ee544fa8db53/downloaddfd3ba6ecea7b7c501a3ebb9022c0763MD5110983/29459oai:repository.ucatolica.edu.co:10983/294592023-03-24 16:35:33.996https://creativecommons.org/licenses/by-nc-sa/4.0zocimo campos, juan tapia gertosio, Paulina Gudaris - 2021https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com

Prima de riesgo país: el caso de Chile

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