The existence of significant evidence is demonstrated to affirm that the APT, Arbitrage Pricing Theory is applicable in the Mexican market in the valuation of equity investment portfolios.
This was done based on a list of representative macroeconomic variables, which were used to form systematic risk factors through principal component analysis.
Subsequently, through multiple regression analysis, the APT risk betas were determined and a sample of shares was valued, which are listed on the stock exchange; A series of statistical tests were then proposed which validated the hypothesis presented; Once the evidence was shown, the macroeconomic variables with the greatest influence on the systematic risk factors were cited, indicating coincidences with what was found in other markets.
validation-of-apt-in-mexico-in-the-valuation-of-equity-investment-portfoliosImmediately, investment portfolios of more than one share were formed with real data and their corresponding estimate when valuing with the APT; A residue analysis was carried out among the portfolios formed to validate the hypothesis that the difference between the two is not significant, concluding that the base of systematic risk factors used was incomplete, since there were significant differences between the residues of the briefcase. Thus, it was not feasible to manage the portfolios using the APT. Finally, the problems encountered in achieving the optimal explanation of the risk and return of the portfolios by the APT are pointed out.
INTRODUCTION
Research looks at the APT Ross published in the late 1970s. The APT seeks to explain in a more realistic way the systematic risk, which once controlled, will allow the investor, in a reliable way, to create a scenario regarding the return that he will obtain on his investment.
The Portfolio Theory developed by Markowitz (1952, 1959) in the 50s, is a fundamental piece in the development of the modern theory of models that are placed under risk conditions, focusing on two variables, mean and variance of performance and low A series of theoretical assumptions allows, in a formal way, to carry out decision making under risky conditions. Markowitz's model leads the investor to decision making seeking to reduce risk considering the advantages of diversification; however, the model does not explain what causes the systematic risk to be faced.
In the 60s Sharpe (1963, 1964) and Lintner (1965), independently, based on the Markowitz model, go further with the development of the CAPM, Capital Asset Pricing Model, this model allows decision-making under conditions risk and also allows explaining how systematic risk is shaped, which can be measured based on the market portfolio; In this way, the CAPM allows an assessment of the performance of each of the assets and allows to quantify the systematic risk of each asset.
There is a large amount of research that checks the validity of CAPM and others that show some deficiency; however, from a theoretical point of view, the CAPM has been seriously questioned and these questions have not been refuted.1 The APT has broader theoretical bases that allow to remedy the theoretical weaknesses of the CAPM. Thus, the APT enables assets to be valued and systematic risk explained, further opening the bases that explain the phenomenon. For APT, systematic risk is not only the market portfolio, as the CAPM describes, but also has to do with a variety of variables that may be of different kinds, which affect the behavior of asset prices. In fact, for many researchers, CAPM is a particular case of APT Theory.2 There are various investigations that validate APT in some way, most of which have been carried out in the most developed financial markets in the world.
