Relationship between cash holdings, risk and expected equity return in Pacific Alliance countries
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2020-07-30
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Pontificia Universidad Católica del Perú
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El propósito de esta investigación fue examinar la relación entre las tenencias de efectivo, el
riesgo y el rendimiento de capital esperado. Se construyó un panel de firmas de la Alianza del
Pacífico para el período comprendido entre 2010 y 2016, y se estimaron diferentes modelos
utilizando una regresión multivariada para datos de panel. Para validar la hipótesis 1a, se
probó la relación entre las tenencias de efectivo (CH) y el rendimiento de capital esperado (r).
Los resultados mostraron que existe una relación positiva después de controlar por las
diferentes características de la empresa. Para validar la Hipótesis 1b, se estimó la relación
entre las tenencias de efectivo (CH) y el riesgo sistemático (β) donde se encontró una
asociación positiva y estadísticamente significativa. Los resultados respaldaron la Hipótesis
1c, lo que sugiere que existe una relación positiva entre las tenencias de efectivo (CH) y el
riesgo idiosincrásico (IRISK).
Los resultados de este estudio tienen implicaciones tanto académicas como prácticas. En
primer lugar, los hallazgos sugieren que la liquidez corporativa contiene información
subyacente que contribuye a explicar el rendimiento de capital esperado que, si se ignora,
puede producir resultados bastante engañosos, por lo que los resultados de esta investigación
contribuyen a una mejor comprensión teórica de los modelos de valoración de activos en
países emergentes. Por otro lado, el modelo desarrollado en esta investigación permite una
mejor estimación de la relación riesgo-rendimiento por lo que los resultados obtenidos en este
estudio pueden servir a los inversionistas y administradores de portafolios a hacer mejores
estimaciones de la rentabilidad esperada.
Palabras clave: Tenencias de efectivo; retorno esperado; riesgo sistemático
The purpose of this research was to examine the relationship between cash holdings, risk and expected equity return in a sample of firms of Pacific Alliance countries. A panel of Pacific Alliance firms was constructed for the period ranging from 2010 to 2016. Different specification models were estimated using a multivariate regression and the statistical technique used to validate the hypotheses was panel data. To validate hypothesis 1a the relationship between cash holdings (CH) and expected equity return (r) was tested. Results showed that there is a positive relationship between these variables after controlling for different characteristics of the firm. To validate Hypothesis 1b the relationship between cash holdings (CH) and systematic risk (β) was estimated. A positive and statistically significant association was found and the results also provided support to Hypothesis 1c, suggesting that there is a positive relationship between cash holdings (CH) and idiosyncratic risk (IRISK). The results of this study have both academic and practical implications. First, the findings suggest that corporate liquidity contain underlying information that contribute to explain the expected equity return, which, if ignored, can produce quite misleading results, so the findings of the research contribute to a better understanding of the asset pricing models in emerging countries. On the other hand, the results obtained in this study can serve to shareholders to make better estimations of the expected equity return, so investors can improve the risk-return trade-off due our model allow a better estimation of the risk- return relation.
The purpose of this research was to examine the relationship between cash holdings, risk and expected equity return in a sample of firms of Pacific Alliance countries. A panel of Pacific Alliance firms was constructed for the period ranging from 2010 to 2016. Different specification models were estimated using a multivariate regression and the statistical technique used to validate the hypotheses was panel data. To validate hypothesis 1a the relationship between cash holdings (CH) and expected equity return (r) was tested. Results showed that there is a positive relationship between these variables after controlling for different characteristics of the firm. To validate Hypothesis 1b the relationship between cash holdings (CH) and systematic risk (β) was estimated. A positive and statistically significant association was found and the results also provided support to Hypothesis 1c, suggesting that there is a positive relationship between cash holdings (CH) and idiosyncratic risk (IRISK). The results of this study have both academic and practical implications. First, the findings suggest that corporate liquidity contain underlying information that contribute to explain the expected equity return, which, if ignored, can produce quite misleading results, so the findings of the research contribute to a better understanding of the asset pricing models in emerging countries. On the other hand, the results obtained in this study can serve to shareholders to make better estimations of the expected equity return, so investors can improve the risk-return trade-off due our model allow a better estimation of the risk- return relation.
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Administración financiera