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Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles

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  • Belén Nieto

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  • Rosa Rodríguez

    ()

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    Abstract

    Este trabajo trata de profundizar en el papel de la información del momento económico cuando ésta se incorpora a los modelos de valoración de activos. Para ello, en primer lugar, se hace una descripción de la teoría de valoración de activos que engloba todos los modelos de valoración existentes, tanto estáticos como dinámicos, así como las dos formas fundamentales de contemplar dinamismo. Además, se acompaña de una ilustración, para el caso del mercado español, que presenta los resultados empíricos de tres modelos clásicos en la literatura, el CAPM estándar, un modelo CAPM con consumo y el modelo de tres factores de Fama y French (1993). El trabajo muestra los resultados cuando se utilizan dos formas diferentes de condicionar: modelos escalados a la Cochrane (1996) y modelos condicionados a la Jagannathan y Wang (1996). Encontramos que el comportamiento empírico de los modelos condicionales mejora respecto a sus versiones incondicionales, donde además, los modelos escalados presentan menores errores de valoración y menores distancias de Hansen y Jagannathan que los correspondientes condicionados.

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    Bibliographic Info

    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 db040202.

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    Date of creation: Feb 2004
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    Handle: RePEc:cte:dbrepe:db040202

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