Abstract

SOSA CASTRO, Magnolia Miriam  and  ARRIAGA NAVARRETE, Rosalinda. Debt and Stock Returns in the Mexican Stock Exchange (2017-2021). Anál. econ. [online]. 2023, vol.38, n.97, pp.111-128.  Epub Feb 07, 2023. ISSN 2448-6655.  https://doi.org/10.24275/uam/azc/dcsh/ae/2022v38n97/sosa.

This paper analyzes the impact of leverage (short- and long-term debt) and some other key variables (growth, size, return on assets (ROA) and solvency) on the stock market returns of Mexican listed companies, over 2017-2021. The period covers the Covid-19 crisis and the previous period of uncertainty generated by the benchmark interest rate cut in 2018. For this purpose, panel least squares: ordinary (OLS) and fully modified (FMOLS) models are proposed. Empirical evidence shows that ROA, growth, size, and solvency have a significant impact on stock returns. Variables related to leverage do not seem to be related to stock returns.

Keywords : Financial Leverage; stock returns; Mexican Stock Exchange; Panel Data Model; OLS; FMOLS.