Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018
Descripción del Articulo
This research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In...
| Autores: | , , |
|---|---|
| Formato: | artículo |
| Fecha de Publicación: | 2021 |
| Institución: | Universidad ESAN |
| Repositorio: | ESAN-Institucional |
| Lenguaje: | inglés |
| OAI Identifier: | oai:repositorio.esan.edu.pe:20.500.12640/2481 |
| Enlace del recurso: | https://hdl.handle.net/20.500.12640/2481 https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 |
| Nivel de acceso: | acceso abierto |
| Materia: | Financial distress Insolvency risk Z-Score Historical stock performance Emerging markets Mining sector Problemas financieros Riesgo de insolvencia Puntuación Z Rendimiento histórico de las acciones Mercados emergentes Sector minero https://purl.org/pe-repo/ocde/ford#5.02.04 |
| id |
ESAN_ba0af71dfc8ad1f45bdff64c229a6a36 |
|---|---|
| oai_identifier_str |
oai:repositorio.esan.edu.pe:20.500.12640/2481 |
| network_acronym_str |
ESAN |
| network_name_str |
ESAN-Institucional |
| repository_id_str |
4835 |
| dc.title.en_EN.fl_str_mv |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| title |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| spellingShingle |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 Lizarzaburu, Edmundo R. Financial distress Insolvency risk Z-Score Historical stock performance Emerging markets Mining sector Problemas financieros Riesgo de insolvencia Puntuación Z Rendimiento histórico de las acciones Mercados emergentes Sector minero https://purl.org/pe-repo/ocde/ford#5.02.04 |
| title_short |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| title_full |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| title_fullStr |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| title_full_unstemmed |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| title_sort |
Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018 |
| author |
Lizarzaburu, Edmundo R. |
| author_facet |
Lizarzaburu, Edmundo R. Burneo, Kurt Berggrun, Luis |
| author_role |
author |
| author2 |
Burneo, Kurt Berggrun, Luis |
| author2_role |
author author |
| dc.contributor.author.fl_str_mv |
Lizarzaburu, Edmundo R. Burneo, Kurt Berggrun, Luis |
| dc.subject.en_EN.fl_str_mv |
Financial distress Insolvency risk Z-Score Historical stock performance Emerging markets Mining sector |
| topic |
Financial distress Insolvency risk Z-Score Historical stock performance Emerging markets Mining sector Problemas financieros Riesgo de insolvencia Puntuación Z Rendimiento histórico de las acciones Mercados emergentes Sector minero https://purl.org/pe-repo/ocde/ford#5.02.04 |
| dc.subject.es_ES.fl_str_mv |
Problemas financieros Riesgo de insolvencia Puntuación Z Rendimiento histórico de las acciones Mercados emergentes Sector minero |
| dc.subject.ocde.none.fl_str_mv |
https://purl.org/pe-repo/ocde/ford#5.02.04 |
| description |
This research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In this sense, daily data was collected from the S&P/BVL Peru Select index and the Peruvian 10-year Sovereign Bond between 2008-2018, approximated quarterly by the geometric average to homogenize them with the frequency of the Z. Thus, two central results were obtained: 1) The Z-Score, as an estimator of insolvency risk, is not valid to explain the behavior of the historical return of the shares, and 2) The Market Premium is statistically significant within the yield analysis. Also, contrary to the common literature, the results suggest the validity of Sharpe's conventional CAPM. |
| publishDate |
2021 |
| dc.date.accessioned.none.fl_str_mv |
2021-09-30T16:58:04Z |
| dc.date.available.none.fl_str_mv |
2021-09-30T16:58:04Z |
| dc.date.issued.fl_str_mv |
2021-02-03 |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/article |
| dc.type.version.none.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
| dc.type.other.none.fl_str_mv |
Artículo |
| format |
article |
| status_str |
publishedVersion |
| dc.identifier.citation.none.fl_str_mv |
Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Risk of insolvency and return of shares: empirical analysis of Altman’s Z-Score in the Peruvian mining sector between 2008-2018. Universidad & Empresa, 23(40), 1-33. https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 |
| dc.identifier.uri.none.fl_str_mv |
https://hdl.handle.net/20.500.12640/2481 |
| dc.identifier.doi.none.fl_str_mv |
https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 |
| identifier_str_mv |
Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Risk of insolvency and return of shares: empirical analysis of Altman’s Z-Score in the Peruvian mining sector between 2008-2018. Universidad & Empresa, 23(40), 1-33. https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 |
| url |
https://hdl.handle.net/20.500.12640/2481 https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558 |
| dc.language.none.fl_str_mv |
Inglés |
| dc.language.iso.none.fl_str_mv |
eng |
| language_invalid_str_mv |
Inglés |
| language |
eng |
| dc.relation.ispartof.none.fl_str_mv |
urn:issn:0124-4639 urn:issn:2145-4558 |
| dc.relation.uri.none.fl_str_mv |
https://revistas.urosario.edu.co/index.php/empresa/article/view/8558/9438 |
| dc.rights.*.fl_str_mv |
info:eu-repo/semantics/openAccess |
| dc.rights.en.fl_str_mv |
Attribution-NonCommercial 4.0 International |
| dc.rights.uri.none.fl_str_mv |
https://creativecommons.org/licenses/by-nc/4.0/ |
| eu_rights_str_mv |
openAccess |
| rights_invalid_str_mv |
Attribution-NonCommercial 4.0 International https://creativecommons.org/licenses/by-nc/4.0/ |
| dc.format.none.fl_str_mv |
application/pdf |
| dc.publisher.none.fl_str_mv |
Universidad del Rosario |
| dc.publisher.country.none.fl_str_mv |
CO |
| publisher.none.fl_str_mv |
Universidad del Rosario |
| dc.source.none.fl_str_mv |
reponame:ESAN-Institucional instname:Universidad ESAN instacron:ESAN |
| instname_str |
Universidad ESAN |
| instacron_str |
ESAN |
| institution |
ESAN |
| reponame_str |
ESAN-Institucional |
| collection |
ESAN-Institucional |
| bitstream.url.fl_str_mv |
https://repositorio.esan.edu.pe/bitstreams/647fcf40-9439-41f5-96bc-38dada691887/download https://repositorio.esan.edu.pe/bitstreams/a3e23e1e-acaa-49fb-8b7a-ee158e069878/download https://repositorio.esan.edu.pe/bitstreams/3cc52fb0-07c4-45bd-a8d7-73dbc411decf/download |
| bitstream.checksum.fl_str_mv |
fb5a1bcb23ffb65f9f3b82af4640fd21 654955f3e50be4664a5a55a54464e5e6 40f38c9e4e9469b79087ca29b8383d22 |
| bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
| repository.name.fl_str_mv |
Repositorio Institucional ESAN |
| repository.mail.fl_str_mv |
repositorio@esan.edu.pe |
| _version_ |
1843261683307380736 |
| spelling |
Lizarzaburu, Edmundo R.Burneo, KurtBerggrun, Luis2021-09-30T16:58:04Z2021-09-30T16:58:04Z2021-02-03Lizarzaburu Bolaños, E. R., Burneo, K., & Berggrun, L. (2021). Risk of insolvency and return of shares: empirical analysis of Altman’s Z-Score in the Peruvian mining sector between 2008-2018. Universidad & Empresa, 23(40), 1-33. https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558https://hdl.handle.net/20.500.12640/2481https://doi.org/10.12804/revistas.urosario.edu.co/empresa/a.8558This research pretends to evaluate the significance of the insolvency risk, referred by Altman's Z-Score, in the explanation of the historical return of the 7 most liquid mining companies listed in the Lima Stock Exchange based on a Market Return Model (MRM) under a cross-sectional approach. In this sense, daily data was collected from the S&P/BVL Peru Select index and the Peruvian 10-year Sovereign Bond between 2008-2018, approximated quarterly by the geometric average to homogenize them with the frequency of the Z. Thus, two central results were obtained: 1) The Z-Score, as an estimator of insolvency risk, is not valid to explain the behavior of the historical return of the shares, and 2) The Market Premium is statistically significant within the yield analysis. Also, contrary to the common literature, the results suggest the validity of Sharpe's conventional CAPM.Esta investigación pretendía evaluar la importancia del riesgo de insolvencia, referido por la puntuación Z de Altman, en la explicación del rendimiento histórico de las siete empresas mineras más líquidas que cotizan en la Bolsa de Valores de Lima (bvl) con base en un modelo de retorno de mercado bajo un enfoque transversal. En este sentido, se recolectaron datos diarios del índice s&p/bvl Peru Select y del Bono Soberano Peruano a diez años entre 2008 y 2018, aproximados trimestralmente por el promedio geométrico para homogeneizarlos con la frecuencia de Z. Así, se obtuvieron dos resultados centrales: (1) el Z-Score, como estimador de riesgo de insolvencia, que no es válido para explicar el comportamiento de la rentabilidad histórica de las acciones, y (2) la prima de mercado, que es estadísticamente significativa dentro del análisis de rentabilidad. Además, contrariamente a la literatura común, los resultados sugieren la validez del capm convencional de Sharpe.application/pdfInglésengUniversidad del RosarioCOurn:issn:0124-4639urn:issn:2145-4558https://revistas.urosario.edu.co/index.php/empresa/article/view/8558/9438info:eu-repo/semantics/openAccessAttribution-NonCommercial 4.0 Internationalhttps://creativecommons.org/licenses/by-nc/4.0/Financial distressInsolvency riskZ-ScoreHistorical stock performanceEmerging marketsMining sectorProblemas financierosRiesgo de insolvenciaPuntuación ZRendimiento histórico de las accionesMercados emergentesSector minerohttps://purl.org/pe-repo/ocde/ford#5.02.04Risk of insolvency and return of shares: empirical analysis of Altman's Z-Score in the Peruvian mining sector between 2008 and 2018info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtículoreponame:ESAN-Institucionalinstname:Universidad ESANinstacron:ESANhttps://orcid.org/0000-0002-8862-5624Acceso abiertoRevista Universidad y Empresa3340123ORIGINALlizarzaburu_2021.pdflizarzaburu_2021.pdfTexto completoapplication/pdf377055https://repositorio.esan.edu.pe/bitstreams/647fcf40-9439-41f5-96bc-38dada691887/downloadfb5a1bcb23ffb65f9f3b82af4640fd21MD51trueAnonymousREADTHUMBNAILlizarzaburu_2021.pdf.jpglizarzaburu_2021.pdf.jpgGenerated Thumbnailimage/jpeg4575https://repositorio.esan.edu.pe/bitstreams/a3e23e1e-acaa-49fb-8b7a-ee158e069878/download654955f3e50be4664a5a55a54464e5e6MD55falseAnonymousREADTEXTlizarzaburu_2021.pdf.txtlizarzaburu_2021.pdf.txtExtracted texttext/plain84481https://repositorio.esan.edu.pe/bitstreams/3cc52fb0-07c4-45bd-a8d7-73dbc411decf/download40f38c9e4e9469b79087ca29b8383d22MD54falseAnonymousREAD20.500.12640/2481oai:repositorio.esan.edu.pe:20.500.12640/24812024-11-25 19:41:24.315https://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.esan.edu.peRepositorio Institucional ESANrepositorio@esan.edu.pe |
| score |
13.932913 |
Nota importante:
La información contenida en este registro es de entera responsabilidad de la institución que gestiona el repositorio institucional donde esta contenido este documento o set de datos. El CONCYTEC no se hace responsable por los contenidos (publicaciones y/o datos) accesibles a través del Repositorio Nacional Digital de Ciencia, Tecnología e Innovación de Acceso Abierto (ALICIA).
La información contenida en este registro es de entera responsabilidad de la institución que gestiona el repositorio institucional donde esta contenido este documento o set de datos. El CONCYTEC no se hace responsable por los contenidos (publicaciones y/o datos) accesibles a través del Repositorio Nacional Digital de Ciencia, Tecnología e Innovación de Acceso Abierto (ALICIA).
