ES EL RIESGO CAMBIARIO PRECIADO EN EL MERCADO ACCIONARIO CHILENO? UN ESTUDIO EMPIRICO BASADO EN LA TEORIA DE PRECIOS POR ARBITRAJE

Eduardo Sandoval and Angelo Benvenuto

Revista Internacional Administracion & Finanzas, 2010, vol. 3, issue 2, 1-27

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.

Keywords: APT; macroeconomic surprises; exchange rate. (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010
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