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Modelos de valoración de activos condicionales: Un panorama comparativo

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Author Info

  • Belén Nieto

    (Universidad de Alicante)

  • Rosa Rodriguez

    (Universidad Carlos III de Madrid)

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    Abstract

    Este trabajo revisa el papel de la información del momento económico cuando ésta se incorpora a los modelos de valoración de activos. Para ello, se revisan algunos modelos de valoración, así como las formas habituales mediante las que se implementa dinamismo en la estimación práctica de los mismos. Los resultados tanto para el mercado español como americano muestran que el comportamiento empírico de los modelos condicionales sólo mejora débilmente en ambos mercados y en el periodo elegido. Lo cual advierte de la importancia del periodo elegido. Si éste no recoge cambios en el ciclo económico, la contribución de las variables de estado a los modelos es escasa.

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    File URL: ftp://ftp.fundacionsepi.es/InvEcon/paperArchive/Ene2005/v29i1a2.pdf
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    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 29 (2005)
    Issue (Month): 1 (January)
    Pages: 33-71

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    Handle: RePEc:iec:inveco:v:29:y:2005:i:1:p:33-71

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

    Keywords: Valoración; predecibilidad; variables de estado;

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    References

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    Cited by:
    1. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 2006-03, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    2. F. Javier De Peña & Carlos Forner-Rodríguez & Germán López-Espinosa, . "Fundamentals and the origin of Fama-French factors," Faculty Working Papers 04/08, School of Economics and Business Administration, University of Navarra.
    3. Carlos Forner & Sonia Sanabria & Joaquín Marhuenda, 2009. "Post-earnings announcement drift: Spanish evidence," Spanish Economic Review, Springer, vol. 11(3), pages 207-241, September.

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