Aplicación del Capital Asset Pricing Model para conocer el Beta dentro del mercado ecuatoriano

Abstract

This research develops the Capital Asset Pricing Model (CAPM), which is one of the most used and examined models in finance. For the application of this model, a sample of two shares considered in the ECUINDEX index within the Ecuadorian stock market for the period 2016-2020 was obtained, to find the Beta for an investor in Ecuador. In this model, it is calculated taking into account variables such as the expected profitability, risk of the actions, and that the portfolio finds the appropriate Beta to make the investments, thus providing a useful tool when investing in the Ecuadorian financial market. The investigation is of a correlational type and a portfolio will be formed that will be made up of the shares of Cervecería Nacional, Corporación Favorita, which were able to obtain the information on the price of the shares and achieving results where the Beta minimizes the risk in the best way. is the Favorite Corporation with a ? = 1.9701, with a Ra = 4.92% and Cervecería Nacional with a ? = 0.0517, with a Rb = 1.52% within the Ecuadorian stock market. And the value of the portfolio was obtained at ? = 1.0111, with Rp = 3.22%, so we are balancing risk and return to make an investment in these securities. The market risk premium is equal to 0.0177.