Comportamiento asintótico del rendimiento sobre el capital y de la razón precio-utilidad

Abstract

The cost of capital is an indicator of the profitability of a company. Very often, this indicator in conjunction with the return on equity (ROE) is utilized in analyzing investment projects. Many studies have shown that the cost of capital tends to a long-term value, which reveals a mean reversion dynamics. This research examines the behavior of the return on capital by means of Vasicek model. Moreover, under certain conditions, the capital cost is estimated through the model Vasicek. Finally, shows that the return on equity and the inverse of the multiple price-book value are consistent with dynamics presenting mean reversion.Decisiones de inversión, múltiplos financieros, utilidades anormales