Valoración de los Planes de Pensiones del Sistema Individual en España a Través del Modelo CAPM y del Modelo Ampliado con la Variable Tamaño
AbstractThe 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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Bibliographic InfoArticle 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 ()
Plan de pensiones; factores de riesgo; CAPM; tamaño;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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