Evaluación de la consistencia de las betas en el modelo de CAPM mediante un análisis de bootstraps con memoria

Abstract

Evaluation of Beta Consistency in the CAPM Model by Using a Memory Bootstrap Analysis

Our work assesses the stability of CAPM beta across ten financial assets using time series analysis and bootstrapping techniques. We recommend incorporating a percentile-based method for a more realistic calculation of stock sensitivity to systematic market risk. It is important to consider beta inconsistencies over time to avoid errors in decision-making and risk management. The assets analyzed include DVN, OXY, ON, FSLR, MRO, ENPH, APA, COP, STLD, and MPC. The findings offer empirical evidence of the changing dynamics in the risk-return relationship and their influence on investment strategies. Finally, we propose an alternative valuation methodology that better captures the presence of extreme values in the financial market.

Keywords: Capital Asset Pricing Model (CAPM), Beta, Historical Simulation, Bootstrapping, risk measure.