Observatorio de I+D+i UPM

Memorias de investigación
Communications at congresses:
Equity Pricing in the Mining Sector: CAPM and APT evidence
Year:2013
Research Areas
  • Financial science,
  • Valuation,
  • Economy,
  • International economy
Information
Abstract
Financial capital is highly volatile and if the investor does not get adequate compensation for the risk faced he may consider withdrawing his capital assets from the company and consequently produce a structural change in any sector of the economy. We study the variation in profitability of assets in terms of the changes that occur in the markets. The choice of models used is justified by the extensive theoretical and empirical use of them throughout the history of financial economics. We have used the capital asset pricing model (CAPM) and the model based on the arbitrage pricing theory (APT) to determine the beta value. These models have been applied to the monthly returns of 27 mining companies listed on the New York Stock Exchange (NYSE) or London Stock Exchange (LSE), using data from the period covered from January 2006 to December 2010. The results of time series and cross sectional regressions for CAPM and APT produce some errors, suggesting that many companies have failed to obtain an adequate cost of capital. Also the results show that higher risk firms tend to have lower profitability. These findings make it unlikely to be maintained over the long term the current status and could drive structural change in the mining sector in the form of mergers.
International
Si
Congress
23rd World Mining Congress
960
Place
Montreal
Reviewers
Si
ISBN/ISSN
978-1-926872-15-5
Start Date
11/08/2013
End Date
15/08/2013
From page
1
To page
12
23rd World Mining Congress 2013 Proceedings
Participants
  • Autor: Jose Luis Casado Sanchez (UPM)
  • Autor: Concepcion Gonzalez Garcia (UPM)
  • Autor: Carmen Ruizazcárate Varela (Universidad Politécnica de Madrid)
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Tecnologías y Métodos para la Gestión Sostenible
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Cofinanciación del MINECO en el marco del Programa INNCIDE 2011 (OTR-2011-0236)
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