Time Varying Arbitrage Pricing Factors in the Mexican Stock Market

37 Pages Posted: 19 Sep 2011

Date Written: September 16, 2011


This paper examines the pricing of macroeconomic factors in the Mexican stock market. Using a larger sample of 180 stocks traded on the Mexican Stock Exchange for a longer period December 1991 to June 2010, we construct portfolios à la Fama and French and test the APT model. Making use of a more robust methodology, ITNLSUR regressions, little evidence is found in favor of the APT specification. The most pervasive risk factor appears to be the market return although the exchange rate is also priced as a systematic risk factor. Changes in the risk premium factors are observed between the 1994-95 Mexican crisis and the post-crisis period.

Keywords: APT, NLSUR Estimates, stock returns, emerging markets, risk pricing

JEL Classification: G12, C33, G01

Suggested Citation

Trevino, Maria de Lourdes, Time Varying Arbitrage Pricing Factors in the Mexican Stock Market (September 16, 2011). Available at SSRN: https://ssrn.com/abstract=1929141 or http://dx.doi.org/10.2139/ssrn.1929141

Maria de Lourdes Trevino (Contact Author)

Universidad Autonoma de Nuevo Leon ( email )

Av Lazaro Cardenas 4600 Ote
Fracc Residencial Las Torres
Monterrey, 64930

HOME PAGE: http://www.economia.uanl.mx

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