Tanto la integracion economica de America del Norte cuanto la apertura externa de Mexico han abierto el camino para elevar la inversion extranjera directa en el pais, en particular la de Canada y Estados Unidos. Los mayores incrementos se concentran en los servicios, y aun no esta clara la...

A substantial body of evidence documents the relationship between macroeconomic variables and stock returns and risk from developed countries. The evidence for emerging markets is limited, particularly identifying risk premia compensations for inflation and exchange rates. This paper attempts to...

A substantial body of evidence documents the relationship between macroeconomic variables and stock returns and risk from developed countries. The evidence for emerging markets is limited, particularly identifying risk premia compensations for inflation and exchange rates. This paper attempts to...

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...

The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model...

Conventional Value-at-risk (VaR) models tend to underestimate stock market losses, as they assume normality and fail to capture the frequency and severity of extreme fluctuations, Extreme value theory (EVT) overcomes this limitation by providing a framework in which to analyze the extreme...