Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286255 
Title (translated): 
Inflation and returns in emerging markets: The case of Argentina
Year of Publication: 
2021
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 32 [Year:] 2021 [Pages:] 341-375
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
This paper aims to carry out a preliminary analysis of the arbitrage pricing theory in Argentine capital market, with special emphasis on inflation as a variable of interest for an emerging country, an underdeveloped financial market, and a period under analysis with inflationary trends and exchange market intervention. To that end, we work with a theoretical-empirical method. In order to formulate the model, we make a theoretical approach to the subject, based mainly on scientific articles that examine the relationship between the rate of return on assets and inflation. We focus our empirical analysis in an econometric study of the shares' performance of 19 companies listed on Argentinian capital market in the 2005-2014 period, and the associations with variables of interest, especially macroeconomic ones, also including some control tests with microeconomic variables. The main findings are robust about the effect on firms' performance of the following explanatory variables: risk-free interest rate, market performance, temporary effects of 'hinge' periods and sector effects. However, the results are not determinant in reference to the effect of the inflation and the exchange rate variables on stocks' performance.
Subjects: 
yield
inflation
panel data
arbitrage pricing theory
JEL: 
E31
E44
G32
O16
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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