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Costo de capital y riesgo de país: Un análisis econométrico de la tasa de rendimiento esperada en cuatro países latinoamericanos
Resumen
Los rendimientos esperados y la evaluación de riesgo son asuntos importantes cuando se evalúan los proyectos de inversión. Usamos los modelos VARX-MGARCH y la teoría de asignación de precios de activos para modelar la tasa esperada en Brasil, Colombia, México y Perú para finales de 2006. The principal objetivo de este artículo es el de presentar un estudio econométrico del costo del capital basado en el modelo de Erb, Campbell, Harvey y Viskana (1996) en los mercados emergentes a través del riesgo país. Usamos MSCI’s DTR para medir el desempeño del Mercado y el J.P. Morgan’s EMBI+spread como proxy el riesgo país y, seguidamente, construir los modelos de media condicional y de varianza en un contexto univariado y multivariado.
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