La valoración intertemporal de activos: un análisis empírico para el mercado español de valores
AbstractIn this paper I carry out an empirical evaluation for the Spanish market data of an asset pricing model based on the proposal of Campbell (1993). Due to the loglinear aproximation to the budget constrain that the author makes, a model arises that does not need consumption data among the explanatory factors for the variations of expected returns of ten size portfolios, which are the market return and variables that are able to predict future returns. For the latter requirement, we choose as factors the dividend yield, the book-tomarket ratio, both aggregate, and an interest rate term structure. The results obtained suggest that the dividend yield and the book-to-market ratio, when are considered jointly, are relevant variables in the prediction and explanation of returns.
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Bibliographic InfoArticle provided by Fundación SEPI in its journal Investigaciones Economicas.
Volume (Year): 26 (2002)
Issue (Month): 3 (September)
Contact details of provider:
Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
Web page: http://www.fundacionsepi.es/
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Miguel A. Martínez & Belén Nieto & Gonzalo Rubio & Mikel Tapia, 2002.
"Asset Pricing And Systematic Liquidity Risk: An Empirical Investigation Of The Spanish Stock Market,"
Business Economics Working Papers
wb026022, Universidad Carlos III, Departamento de Economía de la Empresa.
- Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2003. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
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