Comparación de modelos de predicción de retornos accionarios en el Mercado Accionario Chileno: CAPM, FAMA y FRENCH y REWARD BETA

this paper focuses on the analysis of return prediction models. specifically, it examines capm, reward beta, and fama and french's three factors. the main objective is to determine which of these models explains best the returns of the chilean stocks. the tests are realized under the portfolio assessment methodology, the fama and french model (1992, 1995, 1996) and the regression of two steps by fama and macbefh (1973), and the beta reward model by bornholt (2007). it is concluded that the best model to predict returns of the chilean stock market is the three factor model of fama and french.