Estimación robusta de betas y el ratio de cobertura sobre futuros de índices bursátiles en el Mercado Integrado Latinoamericano (MILA)
Main Article Content
Keywords
Estimación de beta, método robusto MM (RMM), método mínimos cuadrados ordinarios (MCO), cobertura con futuros sobre índices MILA
Resumen
El presente trabajo tiene por objeto estudiar el efecto que ejercen los datos atípicos en el parámetro beta de acciones pertenecientes al Mercado Integrado Latinoamericano (MILA), estimado por dos diferentes métodos: mínimos cuadrados ordinarios (MCO) y método robusto MM (RMM). Adicionalmente, para ilustrar la relevancia empírica de las betas calculadas, se efectuó una aplicación de cobertura con futuros sobre índices. Los resultados indican que las estimaciones realizadas por el método RMM, ofrecen un mejor ajuste y una mayor eficiencia de la cobertura cuando existe presencia de datos atípicos en la ventana de estimación de la beta.
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Referencias
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Bailer, H. M., Maravina, T. A., & Martin, R. D. (2011). Robust Betas in Asset Management. The Oxford Handbook of Quantitative Asset Management , 203-242.
Beaton, A. E., & Tukey, J. W. (1974). The Fitting of Power Series, Meaning Polynomials, Illustrated on Band- Spectroscopic Data. Technometrics , 16 (2), 147-185.
Bekaert, G., Erb, C., Harvey, C. R., & Viskanta, T. E. (1998). Distributional Characteristics of Emerging Markets Returns and Asset Allocation. The Journal of Portfolio Management , 102-116.
Bowie, D. C., & Bradfield, D. J. (1998). Robust Estimation of Beta Coefficients: Evidence from a small Stock Market. Journal of Business Finance & Accounting , 439-454.
Butterworth, D., & Holmes, P. (2001). The hedging effectiveness of stock index fixtures: evidence for the FTSE-100 y FTSE-mid250 indexes traded in the UK. Applied Financial Economics , 11, 57-68.
Chan, L. K., & Lakonishok, J. (1992). Robust Measurement. The Journal of Financial and Quantitative Analysis , 27 (2), 265-282.
Cornell, B., & Dietrich, J. K. (1978). Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients. Journal of Financial and Quantitative Analysis , 13, 123-131.
Estrada, J. (2006). Downside Risk in practice. Journal of Applied Corporate Finance, 18(1), 117-125.
Fama, E. (1965). The Behavior of Stock- Market Prices. Journal of Business , 38 (1), 34-105.
Fernández, P., & Bermejo, V. J. (2009). Betas utilizadas por Directivos y Profesores: encuesta europea 2009. Revista Española de Capital de Riesgo , 3, 55-78.
Figlewski, S. (1984). Hedging performance and basis risk in stock index futures. Journal of Finance (39), 657-669.
Genton, M. G., & Ronchetti, E. (2008). Robust Prediction of Beta. Computational Methods in Financial Engineering , 147-161.
Graham, J. R., & Harvey, C. R. (2001). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics , 60, 187-243.
Hampel, F. (1968). Contribution to the theory of robust estination. Berkeley: PhD thesis, University of California.
Harris, R., & Shen, J. (2003). Robust Estimation of the Optimal Hedge Ratio. The Journal of Futures Markets , 24 (8), 799-816.
Hawawini, G. A. (1977). On the Time Behavior of Financial Parameters: An Investigation of the Intervalling Effect. New York : Ph D. Dissertation, New York University.
Huber, P. J. (1964). Robust estimation of a local parameter. The Annals of Mathematical Statistics (35), 73-101.
Huber, P. J. (1973). Robust regression: assymptotics, conjetures and Monte Carlo. The Annal of Statistics (1), 799-821.
Huber, P. J. (1981). Robust Statistics (Primera Edición ed.). New York: Wiley Series in Probability and Mathematical Statistics. John Wiley & Sons, Inc.
Hull, J. C. (2009). Options, Futures, and other Derivatives (Seventh Edition ed.). New Jersey, United States of America: Pearson Prentice Hall.
Knez, P. J., & Ready, M. J. (1997). On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions. The Journal of Finance , 52 (4), 1355-1382.
Lintner, J. (1965). The Valuation of Risk Asset and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics , 47 (1), 13-37.
Mandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business (36), 394-419.
Maronna, R. A., Martin, R. D., & Yohai, V. J. (2006). Robust Statistics: Theory and Methods. England: John Wiley & Sons Ltd.
Martin, R. D., & Simin, T. (1999). Robust estimation of beta. (U. o. Department of Statistics, Ed.) Technical Report (No. 350), 1-40.
Martin, R. D., & Simin, T. T. (2003). Outliers-Resistant Estimates of Beta. Financial Analysts Journal , Vol. 59 (No. 5), 55-69.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica , 34 (4), 768-783.
Roll, R. (1988). R2. Journal of finance , 43 (3), 541-566.
Rouesseew, P. J., & Yohai, V. (1984). Robust Regression by Means of S estimators. In W. H. J. Franke (Ed.), Robust and Nonlinear Timer Series Analysis (pp. 256-274). New York: Lecture Notes in Statistics 26, Springer Verlag.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance , 19 (3), 425-442.
Sharpe, W. F. (1971). Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios. Management Science , 18 (2), B1-B13.
Smith, K. (1978). The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model. Journal Financial Quantitative Analysis , 13, 313-344.
Tukey, J. W. (1960). A survey of sampling from contaminated distributions. In S. G. I. Olkin (Ed.), Contribution to Probability and Statistics (pp. 448-485). Stanford: Stanford University Press.
Wilcox, R. R. (2005a). "A Foundation for Robust Methods". In Introduction to Robust Estimation and Hypothesis Testing. Segunda Edición (pp. 19-38). San Diego, USA: Elsevier Academic Press.
Wilcox, R. R. (2005c). Estimating Measures of Location and Scale. In R. Wilcox, Introduction to Robust Estimation and Hypothesis Testing. Segunda edición (pp. 43-102). San Diego, USA: Elsevier Academic Press.
Yohai, V. J. (1987). High breakdown - point and high efficiency robust estimates for regression. The Annals of Statistics , 15 (20), 642-656.
Bailer, H. M., Maravina, T. A., & Martin, R. D. (2011). Robust Betas in Asset Management. The Oxford Handbook of Quantitative Asset Management , 203-242.
Beaton, A. E., & Tukey, J. W. (1974). The Fitting of Power Series, Meaning Polynomials, Illustrated on Band- Spectroscopic Data. Technometrics , 16 (2), 147-185.
Bekaert, G., Erb, C., Harvey, C. R., & Viskanta, T. E. (1998). Distributional Characteristics of Emerging Markets Returns and Asset Allocation. The Journal of Portfolio Management , 102-116.
Bowie, D. C., & Bradfield, D. J. (1998). Robust Estimation of Beta Coefficients: Evidence from a small Stock Market. Journal of Business Finance & Accounting , 439-454.
Butterworth, D., & Holmes, P. (2001). The hedging effectiveness of stock index fixtures: evidence for the FTSE-100 y FTSE-mid250 indexes traded in the UK. Applied Financial Economics , 11, 57-68.
Chan, L. K., & Lakonishok, J. (1992). Robust Measurement. The Journal of Financial and Quantitative Analysis , 27 (2), 265-282.
Cornell, B., & Dietrich, J. K. (1978). Mean-Absolute-Deviation Versus Least-Squares Regression Estimation of Beta Coefficients. Journal of Financial and Quantitative Analysis , 13, 123-131.
Estrada, J. (2006). Downside Risk in practice. Journal of Applied Corporate Finance, 18(1), 117-125.
Fama, E. (1965). The Behavior of Stock- Market Prices. Journal of Business , 38 (1), 34-105.
Fernández, P., & Bermejo, V. J. (2009). Betas utilizadas por Directivos y Profesores: encuesta europea 2009. Revista Española de Capital de Riesgo , 3, 55-78.
Figlewski, S. (1984). Hedging performance and basis risk in stock index futures. Journal of Finance (39), 657-669.
Genton, M. G., & Ronchetti, E. (2008). Robust Prediction of Beta. Computational Methods in Financial Engineering , 147-161.
Graham, J. R., & Harvey, C. R. (2001). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics , 60, 187-243.
Hampel, F. (1968). Contribution to the theory of robust estination. Berkeley: PhD thesis, University of California.
Harris, R., & Shen, J. (2003). Robust Estimation of the Optimal Hedge Ratio. The Journal of Futures Markets , 24 (8), 799-816.
Hawawini, G. A. (1977). On the Time Behavior of Financial Parameters: An Investigation of the Intervalling Effect. New York : Ph D. Dissertation, New York University.
Huber, P. J. (1964). Robust estimation of a local parameter. The Annals of Mathematical Statistics (35), 73-101.
Huber, P. J. (1973). Robust regression: assymptotics, conjetures and Monte Carlo. The Annal of Statistics (1), 799-821.
Huber, P. J. (1981). Robust Statistics (Primera Edición ed.). New York: Wiley Series in Probability and Mathematical Statistics. John Wiley & Sons, Inc.
Hull, J. C. (2009). Options, Futures, and other Derivatives (Seventh Edition ed.). New Jersey, United States of America: Pearson Prentice Hall.
Knez, P. J., & Ready, M. J. (1997). On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions. The Journal of Finance , 52 (4), 1355-1382.
Lintner, J. (1965). The Valuation of Risk Asset and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics , 47 (1), 13-37.
Mandelbrot, B. (1963). The Variation of Certain Speculative Prices. Journal of Business (36), 394-419.
Maronna, R. A., Martin, R. D., & Yohai, V. J. (2006). Robust Statistics: Theory and Methods. England: John Wiley & Sons Ltd.
Martin, R. D., & Simin, T. (1999). Robust estimation of beta. (U. o. Department of Statistics, Ed.) Technical Report (No. 350), 1-40.
Martin, R. D., & Simin, T. T. (2003). Outliers-Resistant Estimates of Beta. Financial Analysts Journal , Vol. 59 (No. 5), 55-69.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica , 34 (4), 768-783.
Roll, R. (1988). R2. Journal of finance , 43 (3), 541-566.
Rouesseew, P. J., & Yohai, V. (1984). Robust Regression by Means of S estimators. In W. H. J. Franke (Ed.), Robust and Nonlinear Timer Series Analysis (pp. 256-274). New York: Lecture Notes in Statistics 26, Springer Verlag.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance , 19 (3), 425-442.
Sharpe, W. F. (1971). Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios. Management Science , 18 (2), B1-B13.
Smith, K. (1978). The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model. Journal Financial Quantitative Analysis , 13, 313-344.
Tukey, J. W. (1960). A survey of sampling from contaminated distributions. In S. G. I. Olkin (Ed.), Contribution to Probability and Statistics (pp. 448-485). Stanford: Stanford University Press.
Wilcox, R. R. (2005a). "A Foundation for Robust Methods". In Introduction to Robust Estimation and Hypothesis Testing. Segunda Edición (pp. 19-38). San Diego, USA: Elsevier Academic Press.
Wilcox, R. R. (2005c). Estimating Measures of Location and Scale. In R. Wilcox, Introduction to Robust Estimation and Hypothesis Testing. Segunda edición (pp. 43-102). San Diego, USA: Elsevier Academic Press.
Yohai, V. J. (1987). High breakdown - point and high efficiency robust estimates for regression. The Annals of Statistics , 15 (20), 642-656.