Análisis de los coeficientes beta: evidencia en el mercado de activos chileno
Abstract
This paper estimates the systematic risk measured by the beta coefficient of the market model applying the fuzzy linear regression method of Tanaka and Ishibuchi (1992) upgraded with the outlier detection method of Hung and Yang (2006). The estimates are made for the sectoral indices and actions of the Chilean market. The fuzzy methodology is used because a given value is not used as an observation of asset profitability, but rather it is expressed via a confidence interval where the extremes represent the minimum and maximum profitability of the assets. In order to analyze fuzzy risk estimates, we first compare the results obtained with the linear fuzzy regression method and the OLS regression method. We then test whether the empirical results of the traditional portfolio theory regarding the effect of the number of assets and the length of the estimation period on the stability of beta, are confirmed in these estimates.
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