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Comportamiento Heterocedástico Entre Rentabilidad Y Riesgo

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Manuel Núñez Nickel ()
Manuel Cano Rodríguez ()

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Abstract

Varios artículos, desde la teoría de la organización, han contrastado la existencia de relaciones negativas entre rentabilidad y riesgo, si bien sus resultados son cuestionables, principalmente por la falta de identificación del sistema. En este artículo, superamos este problema mediante un modelo econométrico caracterizado por la utilización de un modelo individual para cada empresa y la utilización de una única variable (rentabilidad), cuyas esperanza y varianza están relacionadas de acuerdo con las teorías del comportamiento. Los resultados obtenidos son consistentes con dichas teorías y muestran su aplicabilidad en el ámbito del mercado de capitales.

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Paper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Documentos de Trabajo de Economía de la Empresa with number db021710.

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Date of creation: Oct 2002
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Handle: RePEc:cte:dbrepe:db021710

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