Keywords
CAPITAL ASSET PRICING MODEL (CAPM)
RISK
EMERGING MARKETS
RETURN
How to Cite
Abstract
THE PURPOSE OF THIS PAPER WAS TO DETERMINE THE VALIDITY OF THE BASIC ASSUMPTIONS OF THE CAPITAL ASSET PRICING MODEL (CAPM), FROM A STATISTICAL AND FINANCIAL PERSPECTIVE. IN ADDITION THE APPLICATION TO THE MEXICAN STOCK MARKET AS A MODEL TO SELECT INVESTMENT PORTFOLIOS WAS EVALUATED. THE FOLLOWING ASSUMPTIONS WERE TESTED: THE MEAN-VARIANCE CRITERIA AS A STANDARDIZATION OF THE DECISION MAKING FRAMEWORK, MARKET EFFICIENCY, AND THE ASSESSMENT INVESTORS FOLLOW ACCORDING TO INVESTMENTS RISK AND RETURN. IT IS CONCLUDED THAT, EVEN THOUGH CAPM HAS PROVED TO BE EFFICIENT AS A FORECASTING TOOL IN STRONG ECONOMIES, IT STILL HAS TO PROVE ITS FITNESS FOR EMERGING MARKETS. ACCORDING TO THIS INVESTIGATION, IN MEXICO OTHER ENCOUNTERED RISK FACTORS ARE INFLATION, INSECURITY AND POLITICAL ENVIRONMENT, AMONG OTHERS. GIVEN THE PROPERTIES OF EMERGING MARKETS, AN ANALYSIS USING THE CAPM MODEL TURNS OUT TO BE UNFIT AS IT DISTORTS THE STOCK MARKET OPERATIONS.© 2018, Facultad de Contaduría y Administración, Universidad Nacional Autónoma de México. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Contaduría y Administración. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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