Gestión Financiera - M

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    El riesgo sistemático en la valoración de activos financieros de las principales compañías societarias que negocian en la bolsa de valores de Quito
    (Universidad Técnica de Ambato. Facultad de Contabilidad y Auditoría. Dirección de Posgrado, 2015-05) Veloz Jaramillo, Marco Antonio; DT - Ruiz Guajala, Mery Esperanza
    The present research work deepens the systematic risk that titles are exposed values that are negotiated in the Quito stock exchange, using the financial assets pricing model known as the CAPM and Beta coefficient (B) as a key variable in the estimation of the risk. Once identified the problem as it consists of the inaccurate assessment of financial assets from equities, because in some cases it is not interpreted or not given the importance to the quantified systematic risk in the coefficient beta this according to the obtained assessment survey which was applied to the houses of securities, issuers of equity representatives , and rating of risk. The results show the problem previously described as well as its main cause. The traditional procedures, this is from a simple linear regression betas, are obtained to observe that time-series do not have constant variaza or stationarity proposes an Autoregressive model which consists of eliminating the trend through the first differences, also using logarithms to these series both the asset prices of the selected companies as well as bag indicator known as Ecuindex from January 2003 until July 2014. With the help of econometric software package Eviews 7.0. applies the Box Jenkins methodology, and verifying assumptions and hypotheses was obtained a model, in some cases, ARIMA, then make the ARCH (Autoregressive conditional heteroscedasticity models) test. Modelling the estimation of the Beta coefficients of each of the five selected companies was obtained. Finally used the Asset PrincingModel (CAPM) to assess the expected yield of securities values using an approach to national and international economic variables: market performance, risk-free rate.