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Edmundo R Lizarzaburu Bolaños
Kurt Burneo
Luis Berggrun

Esta investigación pretendía evaluar la importancia del riesgo de insolvencia, referido por la puntuación Z de Altman, en la explicación del rendimiento histórico de las siete empresas mineras más líquidas que cotizan en la Bolsa de Valores de Lima (bvl) con base en un modelo de retorno de mercado bajo un enfoque transversal. En este sentido, se recolectaron datos diarios del índice s&p/bvl Peru Select y del Bono Soberano Peruano a diez años entre 2008 y 2018, aproximados trimestralmente por el promedio geométrico para homogeneizarlos con la frecuencia de Z. Así, se obtuvieron dos resultados centrales: (1) el Z-Score, como estimador de riesgo de insolvencia, que no es válido para explicar el comportamiento de la rentabilidad histórica de las acciones, y (2) la prima de mercado, que es estadísticamente significativa dentro del análisis de rentabilidad. Además, contrariamente a la literatura común, los resultados sugieren la validez del capm convencional de Sharpe.

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Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Riesgo de insolvencia y devolución de acciones: análisis empírico de la puntuación Z de Altman en el sector minero peruano entre 2008 y 2018. Revista Universidad Y Empresa, 23(40). https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 (Original work published 25 de enero de 2021)

Edmundo R Lizarzaburu Bolaños, ESAN University

Edmundo R Lizarzaburu, Profesor de Finanzas y Riesgos en la Universidad ESAN, Consultor Internacional, Director de Empresas.

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