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La valoración intertemporal de activos: un análisis empírico para el mercado español de valores

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    Abstract

    In 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 Info

    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 26 (2002)
    Issue (Month): 3 (September)
    Pages: 497-524

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    Handle: RePEc:iec:inveco:v:26:y:2002:i:3:p:497-524

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    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    Related research

    Keywords: Predictability; intertemporal valuation; Campbell’s model; book-to-market ratio;

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    Cited by:
    1. 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.

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