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dc.contributor.advisorDeutz Chavez, Daniel Enrique
dc.contributor.authorJacinto Gutarra, Jorge Lorenzo
dc.contributor.authorAgüero Baldeon, Luis Ricardo
dc.date.accessioned2019-09-05T20:57:26Z
dc.date.available2019-09-05T20:57:26Z
dc.date.issued2019-07-20
dc.identifier.urihttp://hdl.handle.net/10757/626323
dc.description.abstractEn la presente tesis de aplicación de Factores de Inversión: Value, Volatility, Quality y Momentum en la Bolsa de Valores de Lima (BVL), se utilizó como Benchmark el Índice General de la Bolsa de Valores de Lima (IGBVL), conformada por 39 valores, que mediante filtros de liquidez y tiempo de cotización en la Bolsa quedaron 27, por falta de datos se llegó finalmente a 25 valores. Luego, se definen las variables de cada factor. Para el Factor Value: PER y PBV (Price to Book). Para el Factor Momentum la variable momento de los precios. Para el Factor Quality la variable ROE. Para el Factor Volatility la variable Volatilidad total. Seguidamente, se aplican procedimientos para analizar las variables de los cuatro factores a los datos para escoger aquellos que puedan superar al Benchmark. Finalmente, se demuestra que en los últimos diez años que el portafolio, con valores que tengan un ratio PER (Variable del Factor Value) inferior al promedio de la Bolsa y actualizando la cartera de manera trimestral, tiene un mejor rendimiento que el Benchmark y el portafolio conformado por empresas con ratio PER superior al promedio de la Bolsa. Los resultados han sido enmarcados en un nivel de confianza al 95%.en_US
dc.description.abstractIn this thesis of application of Investment Factors: Value, Volatility, Quality and Momentum in the Lima Stock Exchange (BVL), the General Index of the Lima Stock Exchange (IGBVL) was used as Benchmark, consisting of 39 values, which by means of liquidity filters and time of quotation in the Stock Exchange were 27, due to lack of data, finally 25 values were reached. Then, the variables of each factor are defined. For the Value Factor: PER and the Price to Book. For the Momentum Factor the price momentum variable. For the Quality Factor, the variable ROE. For the Volatility Factor the variable Total Volatility. Next, procedures are applied to analyze the variables of the four factors to the data to choose those that can surpass the Benchmark. Finally, it is shown that in the last ten years that the portfolio, with values that have a PER (Variable Value Factor) ratio lower than the average of the Exchange and updating the portfolio quarterly, has a better performance than the Benchmark and the portfolio made up of companies with a PER ratio higher than the average of the Stock Exchange. The results have been framed at a 95% confidence level.en_US
dc.description.uriTrabajo de investigaciónes_PE
dc.formatapplication/pdfen_US
dc.formatapplication/epuben_US
dc.formatapplication/msworden_US
dc.languagespaes_PE
dc.publisherUniversidad Peruana de Ciencias Aplicadas (UPC)es_PE
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/*
dc.sourceUniversidad Peruana de Ciencias Aplicadas (UPC)es_PE
dc.sourceRepositorio Académico - UPCes_PE
dc.subjectFActor de inversiónen_US
dc.subjectFactor valueen_US
dc.subjectFactor volatilityen_US
dc.subjectFactor Qualityen_US
dc.subjectFactor momentumen_US
dc.subjectInvestment factorsen_US
dc.subjectPortfolio using investment factors in the BVL.en_US
dc.titleAplicación de factores de inversión: value, volatility, quality y momentum en la Bolsa de Valores de Limaen_US
dc.title.alternativeApplication of investment factors: value, volatility, quality and momentum in the Lima stock exchangeen_US
dc.typeinfo:eu-repo/semantics/masterThesises_PE
thesis.degree.grantorUniversidad Peruana de Ciencias Aplicadas (UPC). Escuela de Postgradoes_PE
thesis.degree.levelMaestríaes_PE
thesis.degree.disciplineEscuela de Postgradoes_PE
thesis.degree.nameMaestro en Finanzas Corporativases_PE
refterms.dateFOA2019-09-09T19:28:58Z
dc.identifier.isni0000 0001 2196 144X
renati.typehttps://purl.org/pe-repo/renati/type#trabajoDeInvestigaciones_PE
renati.levelhttps://purl.org/pe-repo/renati/level#maestroes_PE
dc.publisher.countryPEes_PE


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