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Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia

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López, Martha
Sarmiento Gómez, Eduardo
Abstract (Spanish)
Examinamos en qué medida los ratios valor contable-mercado y beneficio-precio predicen el exceso de rentabilidad de los activos en una economía de mercado emergente como Colombia. queremos encontrar el magnitud en la que estos ratios ayudan a pronosticar el exceso de rentabilidad y si hay alguna evidencia que una de las razones supera a la otra. Además, queremos abordar el impacto de la diferencial entre la tasa de interés de política interna y la tasa de interés de política exterior en el exceso de rendimiento de los activos. Utilizando técnicas bayesianas, encontramos que la magnitud del efecto es similar para ambas razones. y que el impacto es ligeramente mayor en el caso de empresas con mayores ratios book-to-market. Además, encontramos evidencia de que la dispersión de las tasas de interés explica el exceso de rendimiento en un manera según la teoría de la paridad de intereses descubierta
Abstract (English)
We examine the extent in which the ratios of book-to-market and earnings-to-price predict excess asset returns in an emerging market economy like Colombia. We want to find the magnitude in which these ratios help to forecast excess returns and if there is any evidence that one of the ratios outperforms the other. In addition, we want to address the impact of the spread between the domestic and the foreign policy interest rate in the excess asset returns. Using Bayesian techniques, we find that the magnitude of the effect is similar for both ratios and that the impact is slightly higher in the case of firms with higher book-to-market ratios. Moreover, we find evidence that the spread of interest rates explains the excess returns in a way according to the Uncovered Interest Parity theory
Extent
35 páginas
URI: https://repositorio.escuelaing.edu.co/handle/001/3408
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AG - Centro de Estudios Económicos
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