Observatorio de I+D+i UPM

Memorias de investigación
Ponencias en congresos:
Equity Pricing in the Mining Sector: CAPM and APT evidence
Año:2013
Áreas de investigación
  • Ciencia financiera,
  • Valoración,
  • Economía,
  • Economía internacional
Datos
Descripción
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.
Internacional
Si
Nombre congreso
23rd World Mining Congress
Tipo de participación
960
Lugar del congreso
Montreal
Revisores
Si
ISBN o ISSN
978-1-926872-15-5
DOI
Fecha inicio congreso
11/08/2013
Fecha fin congreso
15/08/2013
Desde la página
1
Hasta la página
12
Título de las actas
23rd World Mining Congress 2013 Proceedings
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Jose Luis Casado Sanchez (UPM)
  • Autor: Concepcion Gonzalez Garcia (UPM)
  • Autor: Carmen Ruizazcárate Varela (Universidad Politécnica de Madrid)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Tecnologías y Métodos para la Gestión Sostenible
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