1.16. ¿Es útil la información contable para aproximar el riesgo sistemático en el mercado de capitales chileno?, evidencia para 1994-2004

Autores: C. Mellado Cid, M. Jara Bertin, J. Arias Moya.

ABSTRACT

Because information conveyed by corporate financial statements is highly influential and, thus, plays a central role in capital markets, we analyze the usefulness of accounting measures to approximate the systematic risk, under the notion that accounting numbers are proxies of the firm performance as well as the ability of earnings to anticipate future cash flows that can influence on stock returns.

Specifically, using data from 27 listed Chilean firms between 1994 and 2004, our results show that accounting measures, despite of interfere on stock returns, are not adequate to approximate the systematic risk of the market through the estimation of accounting betas.

Palabras Clave: Riesgo sistemático, betas de mercado, betas contables, utilidades reportadas, cash flow de las operaciones, sorpresas en las utilidades.