Comportamiento sectorial del mercado de renta variable en Colombia: una aplicación del modelo CAPM

Abstract

This paper applies the Capital Asset Pricing Model to a sample of 38 stocks (80% of the market) traded in the Colombian stock market during 2007 and 2008. They were grouped in five economic sectors. The main findings of the analysis were the following: 1. All sectors fluctuate around their mean. 2. Three of the sectors (Industrial, Investment/securities and Energy/natural resources) showed high volatility; Financial services and Trade/other services have low volatility; 3. All sectors have a positive relationship with the total portfolio´s returns; significant betas were obtained. The same exercise was done individually with all shares and
significant betas were found in half ot them. The study made evident that there is a higher predictive ability and a lower variance when the analysis is made at the sectoral level, and that market growth reduces idiosyncratic risks.