Documentacinacadmica.

Ref:cp1102001
Esquemas
Prctica

IgnacioRequejoPuerto
Dpto.AdministracinyEconomadelaEmpresa.UniversidaddeSalamanca.
www.irequejo.esEmail:irequejo@usal.es Pgina1

Epgrafe5.4Lateoradevaloracinporarbitraje

Laposicindelinversor
Cmo vara la posicin del inversor al adquirir la cartera
dearbitraje?

Pesodelosttulosenlacartera

Por ej.: Peso del ttulo 1 en la nueva cartera = 0,33

(carteraantigua)+0,1(carteradearbitraje)=0,43
Importe () invertido en ttulo 1 = 5.200.000 =
4.000.000+1.200.000
Esto es, peso del ttulo 1 en nueva cartera = 0,43 =
5.200.000/12.000.000(comohabamosvisto)

Rentabilidadesperadadelanuevacartera

Sumaderentabilidadesesperadasdecarteraantiguay
dearbitraje=16,975%=16%+0,975%

Fundamentos de Finanzas

Documentacinacadmica.Ref:cp1102001
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IgnacioRequejoPuerto
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Tambin podemos calcularla con pesos de cada ttulo

en nueva cartera y rentabil. esperadas de los ttulos =
16,975%[=(0,43x15%)+(0,41x21%)+(0,16x12%)]

Sensibilidaddelanuevacarteraalfactor

Suma de las sensibilidades de las carteras antigua y de

arbitraje1,9=(1,9+0,0)
Tambin se calcula como: 1,9 = (0,43 x 0,9) + (0,41 x
3,0)+(0,16x1,8)

Yqusucedeconelriesgodelanuevacartera?

Supongamos:desv.tpicadecarteraantigua=11%
nica fuente de riesgo en cartera de arbitraje ser el
riesgo que no depende del factor; por lo tanto, riesgo
de cartera nueva diferir slo por cambios en riesgo
quenodependedelfactor
Porlotanto,riesgodelacarteranueva11%

Fundamentos de Finanzas

Documentacinacadmica.Ref:cp1102001
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(APT ignora riesgo que no depende de los factores, lo que

implica que cartera de arbitraje es lo suficientemente
diversificada como para tener riesgo no dependiente del
factorinsignificante)

Resumendelanuevaposicindelinversor

Efectodelacarteradearbitrajeenlaposicindelinversor

Cartera
antigua
+
Carterade
arbitraje
=
Cartera
nueva
Pesos
X
1
0,333 0,100 0,433
X
2
0,333 0,075 0,408
X
3
0,333 0,175 0,158
Caractersticas

p
16,000% 0,975% 16,975%
b
p
1,900 0,000 1,900

p
11,000% pequeo 11,000%

Fundamentos de Finanzas

Documentacinacadmica.Ref:cp1102001
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IgnacioRequejoPuerto
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Englishcorner

1.Arbitrage

Buying an asset in one market and simultaneously

sellinganidenticalassetatahigherprice.

Sometimes these will be identical assets in different

markets: e.g., shares in a company listed on both the
LondonStockExchangeandNewYorkStockExchange.

Often the assets being arbitraged will be identical in a

more complicated way: e.g., different sorts of financial
securitiesthatareeachexposedtoidenticalrisks.

According to the efficient market hypothesis, arbitrage

ispossibleonlywhenthereisinefficiencyinthemarket
and arbitrage is a process that makes markets more
efficient.

Fundamentos de Finanzas

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Some kinds of arbitrage are completely riskfree this

is pure arbitrage. For instance, if euros are available
more cheaply in dollars in London than in New York,
arbitrageurs (also known as arbs) can make a riskfree
profit by buying euros in London and selling an
identicalamountoftheminNewYork.

Opportunities for pure arbitrage have become rare in

recent years, partly because of the globalization of
financialmarkets.Amongotherthings,thishasreduced
opportunities for regulatory arbitrage, which takes
advantage of differences in financial regulations
betweencountries.

Today,mostofwhatiscalledarbitrage,muchofitdone
by hedge funds, involves assets that have some
similarities but are not identical. This is not pure
arbitrageand,onoccasions,itcanbeextremelyrisky.

Fundamentos de Finanzas

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2.EfficientMarketHypothesis

You cant beat the market. The efficient market

hypothesissaysthatthepriceoffinancialassetreflects
all the information available and responds only to
unexpected news. Thus prices can be regarded as
optimalestimatesoftrueinvestmentvalueatalltimes.

It is impossible for investors to predict whether the

price will move up or down (future price movements
are likely to follow a random walk), so on average an
investorisunlikelytobeatthemarket.

This belief underpins Arbitrage Pricing Theory (APT),

the Capital Asset Pricing Model (CAPM) and concepts
suchasbeta.

Fundamentos de Finanzas

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The hypothesis had few critics among financial

economists during the 1960s and 1970s, but it has
comeunderincreasingattacksincethenandintensified
duringtheglobaleconomiccrisisthatbeganin2007.

The fact that financial prices were far more volatile

than appeared to be justified by new information, and
that financial bubbles sometimes formed, led
economiststoquestionthetheory.

Behavioural economics has challenged one of the

main sources of market efficiency, the idea that all
investorsarefullyrationalhomoeconomicus.
Some economists have noted that information
gatheringisacostlyprocess,soitisunlikelythatall
availableinformationwillbereflectedinprices.
Others have pointed to the fact that arbitrage can
become more costly, and thus less likely, the
furtherawayfromfundamentalspricesmove.

Fundamentos de Finanzas

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Documentacinacadmica.Ref:cp1102001
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Although no consensus has been reached on which

markets, if any, are efficient, the efficient market
hypothesis is useful is judging the relative efficiency of
onemarketcomparedwithanother.

3.ArbitragePricingTheory(APT)

This is one of the two influential economic theories of

how assets are priced in the financial markets. The
otheristheCapitalAssetPricingModel(CAPM).

APT says that the price of a financial asset reflects a

few key risks factors, such as the expected rate of
interest and how the price of the asset changes
relativelytothepriceofaportfolioofassets.

If the price of an asset happens to diverge from what

the theory says it should be, arbitrage by investors
shouldbringitbackintoline.