Application of the CAPM model to the manufacturing sector of other non-metallic mineral products in Ecuador: period 2009 -2019
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Abstract
Market risk analysis is a tool in decision-making in organizations, considering the high level of uncertainty that affects the fulfillment of business objectives. In this research work, the CAPM model is applied to calculate the minimum expected return for the manufacturing sector of other non-metallic mineral products in Ecuador (ISIC- C23), based on accounting financial information. In order to calculate the Beta coefficient, an estimation by ordinary least squares was carried out, where an adjusted ROE was proposed. The data was made up of an average of 183 companies in the 2009-2019 period. The Beta coefficient of the sector was 0,9737, a value slightly lower than that of the Manufacturing Industries sector (ISIC C), which was 1,0688. When disaggregating the analysis by subsector, it was determined that C231 has a Beta of 0,5976, a value less than 1, that is, it has less risk than the market. On the other hand, the C239 subsector had a Beta of 1,0008, a value close to 1, that is, its volatility was higher than that of the market. When calculating the minimum expected return, the results in all the analyzed sectors reflected a value lower than the average real return, that is, companies, on average have a higher performance than expected. Therefore, it can be said that companies create value.
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