ANÁLISIS COMPARATIVO ENTRE EL MODELO C.A.P.M. Y EL MODELO DE TRES FACTORES FAMA Y FRENCH PARA LAS ACCIONES PERUANAS COMO MUESTRA DE MERCADOS EMERGENTES EN NYSE

Abstract

Sharpe, Lintern and Black, tried, through a one-factor model (CAPM), explain the behavior of stock returns and avoid the natural uncertainty implicit in them. Then, experts made comments that question, and within them, the most significant is the three-factor model of Eugene Fama and Kenneth French, which promises greater accuracy in predicting returns. The aim of this study is to compare both models and by the determination coefficient is determined whether or not the Fama & French can better explain the behavior of emerging market stocks on the New York Stock Exchange (NYSE). For comparison, six Peruvian companies are used as constant as shown in emerging markets in NYSE because Peru is currently the most representative Latin American economy. The results show that both models fail to explain the behavior of returns of Peruvian companies listed on NYSE, because it empirically demonstrates that the indices for each model are unique to each country. Therefore creating indexes for each model and for each country is recommended