Ajuste por el tamaño de la empresa - I

Es lógico suponer que una empresa más pequeña (con una menor capitalización de mercado) posea un nivel de variabilidad mayor al de las grandes empresas. Las grandes empresas tienden a ser más estables puesto que ya se han consolidado en diversos sectores de la actividad económica. Las empresas pequeñas son empresas que están en crecimiento y por lo mismo pueden presentar niveles sorprendentes de rentabilidad. Pero también están sujetas a estrepitosas caídas en la cotización de sus acciones. Al parecer de algunos autores [GRINBLATT, 2002] el error en la estimación de los Betas para empresas pequeñas puede ser atenuado utilizando uno de los dos métodos de ajuste que existen en el mercado: el Ajuste Bloomberg y el Ajuste BARRA o de Rosenberg 

  “The better beta estimates […] account for estimation error. One source of estimation error arises simply because Dell’s stock returns are volatile; therefore, estimates based on those returns are imprecise. A second source of estimation error arises because price changes for some stocks (usually the smaller capitalization stocks), seem to lag the changes of other stocks either because of nontrading or stale limit orders, that is, limit orders that were executed as a result of the investor failing to update the order as new information about the stock became available.” [GRINBLATT, 2002:156] 

 Otros autores [ANNIN, 1997] han encontrado que no necesariamente las empresas pequeñas presentarán siempre Betas más elevados: 

  “[…] the relationship between size and return was first noted by Banz (1981). Other studies have been perfo rmed that have concluded that over long periods of time, small companies will out-perform large companies. If this is the case, then smaller companies should have higher betas than larger companies in a general sense. If one looks at long periods of time, this is the case […] […]Exhibit 2 shows the portfolio betas for NYSE deciles where betas are computed back to 1926. Exhibit 2 shows a relationship between size and expected return on a historical basis. Over this time period CAPM indicates that small companies should have higher costs of equity than large companies. On an actual basis, small companies have outperformed large companies. In fact, CAPM actually under-predicts small company returns over this time period. It is this type of analysis that has lead to the development of the small stock premium that is used as an additional term for CAPM cost of equity calculations. Data for the most recent time period shows a completely different result. If decile betas are calculated for the most recent sixty mo nth period, the deciles containing the smaller NYSE companies actually have the lowest betas.”[ANNIN, M., 1997: 3-4]