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Valoración de los Planes de Pensiones del Sistema Individual en España a Través del Modelo CAPM y del Modelo Ampliado con la Variable Tamaño

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  • Yaiza García Padrón

    ()
    (Universidad de las Palmas de Gran Canaria, Campus Universitario de Tafira)

  • Juan García Boza

    (Universidad de las Palmas de Gran Canaria, Campus Universitario de Tafira)

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    Abstract

    The main purpose of this paper is to analyse if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyse the sample of two ways: set of Plans and separated in three groups depending on the percentage of equity income. Our results do not allow to assure that these models adequately gather the variability of the returns on the Plans, although we observe a better behavior of the two-factor model on type I mixed fixed income Plans.

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    File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/YaizaGP5.pdf
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    Bibliographic Info

    Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

    Volume (Year): 1 (2007)
    Issue (Month): 1 ()
    Pages: 63-83

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    Handle: RePEc:ega:rafega:200705

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    Web page: http://www.ccm.itesm.mx/egap/
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    Related research

    Keywords: Plan de pensiones; factores de riesgo; CAPM; tamaño;

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