La Prima por Riesgo de Mercado - II

Damodaran [2002:187] agrega que los inversionistas que diversifiquen sus inversiones a escala global, algo que seguramente se da cada vez con mayor frecuencia, podrían utilizar el índice MSCI3. 

“The third estimation issue relates to the choice of a market index to be used in the regression. The standard practice used by most beta estimation services is to estimate the betas of a company relative to the index of the market in which its stock trades. Thus, the betas of German stocks are estimated relative to the Frankfurt DAX, British stock s relative to the FTSE, ]apanese stock s relative to the Nikkei, and U.S. stocks relative to the NYSE Composite or the S&P 500. While this practice may yield an estimate that is a reasonable measure of risk for the domestic investor, it may not be the best appraach for an international or crossborder investor, who would be better served with a beta estimated re la ti ve to an international index. For instance, Boeing's beta between 1996 and 2000 estimated relative to the Morgan Stanley Capital International (MSCI) index that is composed of stock s from different global markets yields a beta of 0.82” [Damodaran, 2002:187]. 

Características 

Ehrhardt [1994:53] señala que el índice que se utilice para aproximarnos al Portafolio de Mercado debe cumplir tres requisitos: 1. Debe incluir tantas acciones como sea posible 2. Debe reflejar el pago por dividendos 3. Debe utilizarse un promedio ponderado en base al valor de mercado 

“The first choice is the index you will use for the return on the market. Theory makes three suggestions: (1) the market portfolio should include as many securities as possible, (2) the returns for the securities should include any dividend payments as well as price changes, and (3) the securities in the market portfolio should not be an equally weighted average, but market value-weighted. An index like the Dow Jones Industrial Average falls short on all three counts: (1) it includes only 30 securities, (2) it doesn't include dividends, and (3) it isn't value-weighted. Most researchers use the Chicago Center for Research in Security Prices (CRSP) value-weighted index, which includes dividends. If you don't have access to such an index, a reasonable alternative would be the NYSE composite index or the Wilshire 5000 Equity Index, although these indexes don't include dividends.” [Ehrhardt, 1994:53]