Proceedings of Annual Spain Business Research Conference
14 - 15 September 2015, Novotel Barcelona City Hotel, Barcelona, Spain
ISBN: 978-1-922069-84-9
Adaptation of Mean-Variance Model to the Mexican Context
*
Linda Stephany Pulido Almaraz Oswaldo García Salgado** and Arturo
Morales Castro***
After the changes in Mexican tax system, carried out in 2014, the model of MeanVariance proposed by Harry Markowitz ceased to be optimal for investors interested
in investing in Mexico, before 2014, capital gains work in a no-tax payment regime,
after this date a tax of 10% on capital gains and distribution of dividends was
establish without distinction over short or long term investment. The study period
covers the years 2013, a year before the tax, to 2015, a year after tax.
The mean-variance model is based on assumptions that are not adapted to the
reality, the most relevant are: ignore transaction costs and taxes, consider that no
investment is exempt from these two aspects, the result of these omissions is that
investors may make purchases or sales in the expect of receive a return that is
justified theoretically but not in practice; it is important to extend the formula
Markowitz model to make it more suited to actually happens in the Mexican stock
market. This is taken up by authors like Pouge, who argues: "When capital gains
taxes are considered, transactions produced by model which ignores taxes may no
longer be optimal. The effect of differential tax rates on capital gains and dividend
income is a factor which is relevant when portfolios are selected or revised".
The results is a displacement of the efficient frontier because of the modification of
the market value of the terminal portfolio as a result of the tax, the relevance of these
results is that several models were developed based on what Markowits did as Tobin
Separation Theorem, the Market Model of Sharpe or CAPM; the next step in the
research is the inclusion of transaction costs and tax over risk-free assets for make a
more adaptable model to reality.
Field of Research: Finance
* Miss. Linda Stephany Pulido Almaraz, Facultad de Contaduría y Administración. Posgrado en
Ciencias de la Administración, Universidad Nacional Autónoma de México, Mexico, Email :
spa2612@hotmail.com Tel. 0052 56228280
** Dr. Oswaldo García Slagado, Facultad de Economía, Universidad Autónoma del Estado de México,
México, Email: oswgars@gmail.com Tel. 0052 56228282
*** Dr. Arturo Morales Castro, Posgrado en Ciencias de la Administración, Universidad Nacional
Autónoma de México, Mexico, Email : amorales@fca.unam.mx Tel. 0052 56228282