<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462025000200006</article-id>
<article-id pub-id-type="doi">10.21919/remef.v20i2.1192</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Evaluación de la consistencia de las betas en el modelo de CAPM mediante un análisis de bootstraps con memoria]]></article-title>
<article-title xml:lang="en"><![CDATA[Evaluation of Beta Consistency in the CAPM Model by Using a Memory Bootstrap Analysis]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cantú Esquivel]]></surname>
<given-names><![CDATA[Josué Alan]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Cruz Aké]]></surname>
<given-names><![CDATA[Salvador]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Jimenez Preciado]]></surname>
<given-names><![CDATA[Ana Lorena]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Instituto Politécnico Nacional  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2025</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2025</year>
</pub-date>
<volume>20</volume>
<numero>2</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462025000200006&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462025000200006&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462025000200006&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Esta investigación evalúa la estabilidad de la beta del CAPM en diez activos financieros mediante series de tiempo complementandola con técnicas de bootstrapping, proponiendo incorporar un método basado en percentiles para un cálculo más realista de la sensibilidad de las acciones a oscilaciones sistemáticas del mercado. Se destaca la importancia de considerar las inconsistencias de la beta a lo largo del tiempo para evitar errores en la toma de decisiones y la gestión de riesgos. Los activos analizados son DVN, OXY, ON, FSLR, MRO, ENPH, APA, COP, STLD y MPC. Los resultados proporcionan evidencia empírica de la dinámica cambiante en la relación riesgo-rendimiento y su influencia en las estrategias de inversión. Finalmente, se propone una metodología de valoración alternativa que captura mejor la presencia de valores extremos en el mercado financiero.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract Our work assesses the stability of CAPM beta across ten financial assets using time series analysis and bootstrapping techniques. We recommend incorporating a percentile-based method for a more realistic calculation of stock sensitivity to systematic market risk. It is important to consider beta inconsistencies over time to avoid errors in decision-making and risk management. The assets analyzed include DVN, OXY, ON, FSLR, MRO, ENPH, APA, COP, STLD, and MPC. The findings offer empirical evidence of the changing dynamics in the risk-return relationship and their influence on investment strategies. Finally, we propose an alternative valuation methodology that better captures the presence of extreme values in the financial market.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Modelo de Rendimiento de Activos de Capital (CAPM)]]></kwd>
<kwd lng="es"><![CDATA[Beta]]></kwd>
<kwd lng="es"><![CDATA[Simulación Histórica]]></kwd>
<kwd lng="es"><![CDATA[Bootstrapping]]></kwd>
<kwd lng="es"><![CDATA[medida de riesgo]]></kwd>
<kwd lng="es"><![CDATA[C16]]></kwd>
<kwd lng="es"><![CDATA[C32]]></kwd>
<kwd lng="es"><![CDATA[D81]]></kwd>
<kwd lng="es"><![CDATA[E17]]></kwd>
<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[G12]]></kwd>
<kwd lng="en"><![CDATA[Capital Asset Pricing Model (CAPM)]]></kwd>
<kwd lng="en"><![CDATA[Beta]]></kwd>
<kwd lng="en"><![CDATA[Historical Simulation]]></kwd>
<kwd lng="en"><![CDATA[Bootstrapping]]></kwd>
<kwd lng="en"><![CDATA[risk measure]]></kwd>
<kwd lng="en"><![CDATA[C16]]></kwd>
<kwd lng="en"><![CDATA[C32]]></kwd>
<kwd lng="en"><![CDATA[D81]]></kwd>
<kwd lng="en"><![CDATA[E17]]></kwd>
<kwd lng="en"><![CDATA[G11]]></kwd>
<kwd lng="en"><![CDATA[G12]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Baker]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Bradley]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Wurgler]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly]]></article-title>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>2011</year>
<volume>67</volume>
<page-range>40-54</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bali]]></surname>
<given-names><![CDATA[Turan G.]]></given-names>
</name>
<name>
<surname><![CDATA[Demirtas]]></surname>
<given-names><![CDATA[K. Ozgur]]></given-names>
</name>
<name>
<surname><![CDATA[Levy]]></surname>
<given-names><![CDATA[Haim]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Is there an intertemporal Relation between Downside Risk and Expected Returns?]]></article-title>
<source><![CDATA[Journal of Financial and Quantitative Analysis]]></source>
<year>2009</year>
<page-range>883-909</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Black]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Jensen]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Scholes]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Capital Asset Pricing Model: Some Empirical Tests]]></article-title>
<source><![CDATA[Studies in the Theory of Capital Markets Praeger]]></source>
<year>1972</year>
<page-range>79--121</page-range><publisher-loc><![CDATA[New York, NY ]]></publisher-loc>
</nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Black]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Scholes]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The pricing of options and corporate liabilities]]></article-title>
<source><![CDATA[Journal of Political Economy]]></source>
<year>1973</year>
<volume>81</volume>
<page-range>637-54</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cantú Esquivel]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Mendoza Rivera]]></surname>
<given-names><![CDATA[R. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Arteaga Nagashiro]]></surname>
<given-names><![CDATA[Y. V.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Sincronización de fase y Análisis de Componentes Principales para la construcción del ciclo económico de México]]></article-title>
<source><![CDATA[Revista Latinoamericana de Investigación Social]]></source>
<year>2024</year>
<volume>6</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>22-45</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Carrasco Pereda]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
</person-group>
<source><![CDATA[Apostando en contra de beta en el mercado de acciones de México]]></source>
<year>2018</year>
<publisher-loc><![CDATA[México ]]></publisher-loc>
<publisher-name><![CDATA[Instituto Tecnológico Autónomo de México]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Sánchez Arzate]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Ortiz Ramírez]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portafolios &#945;-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM]]></article-title>
<source><![CDATA[Revista Mexicana de Economía Y Finanzas Nueva Época REMEF]]></source>
<year>2021</year>
<volume>16</volume>
<numero>4</numero>
<issue>4</issue>
</nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cox]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Ross]]></surname>
<given-names><![CDATA[S. A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Valuation of Options for Alternative Stochastic Processes]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1976</year>
<volume>3</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>145-66</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E. F.]]></given-names>
</name>
<name>
<surname><![CDATA[French]]></surname>
<given-names><![CDATA[K. R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Common risk factors in the returns on stocks and bonds]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1993</year>
<volume>33</volume>
<numero>3</numero>
<issue>3</issue>
</nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.F.]]></given-names>
</name>
<name>
<surname><![CDATA[French]]></surname>
<given-names><![CDATA[K.R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The Cross-Section of Expected Stock Returns]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1992</year>
<volume>47</volume>
<page-range>427-65</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[French]]></surname>
<given-names><![CDATA[K.R.]]></given-names>
</name>
<name>
<surname><![CDATA[Schwert]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Stambaugh]]></surname>
<given-names><![CDATA[R.F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Expected Stock Returns and Volatility]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1987</year>
<volume>19</volume>
<page-range>3-29</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Friend]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Blume]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Measurement of portfolio performance under uncertainty]]></article-title>
<source><![CDATA[The American Economic Review]]></source>
<year>1970</year>
<volume>60</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>607-36</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Guo]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
<name>
<surname><![CDATA[Whitelaw]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Uncovering the Risk-Return Relation in the Stock Market]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>2006</year>
<volume>61</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>1433-63</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jiménez-Preciado]]></surname>
<given-names><![CDATA[A. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Ramírez-García]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Stock Portfolio Optimization with Competitive Advantages (MOAT): A Machine Learning Approach]]></article-title>
<source><![CDATA[Mathematics]]></source>
<year>2022</year>
<volume>10</volume>
<numero>23</numero>
<issue>23</issue>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lakonishok]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Shapiro]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Stock Returns, Beta, Variance and Size: An Empirical Analysis]]></article-title>
<source><![CDATA[Financial Analysts Journal]]></source>
<year>1984</year>
<volume>40</volume>
<page-range>36-41</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lintner]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Security prices, risk, and maximal gains from diversification]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1965</year>
<volume>20</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>687-15</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Reinganum]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1981</year>
<volume>9</volume>
<page-range>19-46</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Roll]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A critique of the asset pricing theory&#8217;s tests Part I: On past and potential testability of the theory]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1977</year>
<volume>4</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>129-76</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Rossignolo]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Álvarez]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Has the Basel Committee Got It Right? Evidence From Commodity Position In Turmoil]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas]]></source>
<year>2015</year>
<volume>10</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>1-38</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sharpe]]></surname>
<given-names><![CDATA[W. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1964</year>
<volume>19</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>425-42</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Stambaugh]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On The Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>1982</year>
<volume>10</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>237-68</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Trejo]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Gallegos]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Estimación del Riesgo de Mercado utilizando el VaR y la Beta del CAPM]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas]]></source>
<year>2021</year>
<volume>16</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>1-26</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Riesgos financieros y económicos: productos derivados y decisions económicas bajo incertidumbre]]></source>
<year>2008</year>
<edition>Segunda</edition>
<publisher-name><![CDATA[Cengage Learning Latin America]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Whitelaw]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Stock Market Risk and Return: An Equilibrium Approach]]></article-title>
<source><![CDATA[The Review of Financial Studies]]></source>
<year>2000</year>
<volume>13</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>521-47</page-range></nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Whitelaw]]></surname>
<given-names><![CDATA[R. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Uncovering the Risk-Return Relation in the Stock Market]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>2006</year>
<volume>61</volume>
<numero>3</numero>
<issue>3</issue>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
