Analysis of the validity of the Return-Chasing hypothesis

The central basis of this research work is to test the validity of Anthony Tu's Return-chasing hypothesis within the Latin American, European and Asian economies, where it will be analyzed whether investors' behavior is given under the risk/return parameter.In the analysis of the problem, a descriptive study was carried out where a sample of data was taken from three Latin American stock indexes -Brazil, Chile and Colombia- and then compared with three European stock markets -Germany, Spain and United Kingdom- and Asian stock indexes -China, Singapore and India-. The sample period starts in January 2006 and ends in December 2019; and the conditional variance in the model is assumed to follow a Garch-M model, where Damodaran's Country Risk is included as an explanatory risk variable for the mean and variance equation.the study showed that capital inflows act differently for each economy analyzed, regardless of whether they are emerging, as are the Latin American and Asian economies, or developed, as is the case of Europe.

Autorentext

Em primeiro lugar, em nome dos três membros desta investigação, todos os engenheiros comerciais formados pela UTEM (Universidad Tecnológica Metropolitana), Chile, gostaríamos de agradecer às nossas famílias, que nos deram o apoio fundamental para podermos completar esta etapa, e nos ensinaram a lutar pelos nossos sonhos.