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Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market

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  • MIRALLES MARCELO, JOSÉ LUIS

    ()
    (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

  • MIRALLES QUIRÓS, MARÍA DEL MAR

    (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

  • MIRALLES QUIRÓS, JOSÉ LUIS.

    (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

Abstract

La correcta medida del riesgo tiene una importancia fundamental en la valoración de activos. Sin embargo, una de las medidas más frecuentemente utilizadas, la varianza, ha recibido críticas debido a que establece una respuesta simétrica para movimientos positivos y negativos en las rentabilidades bursátiles, pudiendo ser una causa del rechazo del CAPM tradicional. El objetivo de este estudio consiste en analizar si el modelo de valoración de activos Lower Partial Moment-CAPM, que considera la semivarianza de un activo con la cartera de mercado como factor explicativo de la prima de riesgo, representa una mejor aproximación empírica al mercado de valores español. Los principales resultados obtenidos nos indican la existencia de respuesta asimétrica en las rentabilidades bursátiles ante variaciones en la tendencia del mercado y que la dinámica de la prima de riesgo tiene un papel relevante en el proceso de valoración. Correct risk measurement is fundamentally important to asset pricing. However, one of the most frequently used measures, variance, has been criticized because it establishes a symmetric response to the upside and downside movements of stock returns. This could be one reason for rejecting the traditional CAPM. The purpose of this paper is to analyze whether the Lower Partial Moment – CAPM represents a better empirical approximation to the Spanish stock market since it takes into account the semivariance of an asset with respect to the market portfolio as an explanatory factor for risk premiums. Our main results indicate the existence of an asymmetric response of stock returns in Bull and Bear markets and show that risk premium dynamics play a relevant role in asset pricing.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 25 (2007)
Issue (Month): (Abril)
Pages: 199-214

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Handle: RePEc:lrk:eeaart:25_1_8

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Keywords: Valoración de activos; Asimetría; Downside risk/Asset pricing; Skewness; Dowside risk.;

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References

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  1. Enrique Sentana, 1997. "Risk and return in the Spanish stock market: some evidence from individual assets," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 21(2), pages 297-360, May.
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  4. Post, G.T. & van Vliet, P., 2004. "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2004-048-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 30(01), pages 101-116, March.
  6. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 24(03), pages 285-311, September.
  7. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 57(1), pages 369-403, 02.
  8. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 189-200, November.
  9. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, American Finance Association, vol. 31(4), pages 1085-1100, September.
  10. Rubio, Gonzalo, 1988. "Further international evidence on asset pricing : The case of the Spanish capital market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 12(2), pages 221-242, June.
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  12. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 9(01), pages 1-11, January.
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