The aim of this paper consists mainly of analyzing if the aggregated behaviour ofinvestors in the Spanish capital market corresponds with the risk-return relationshiphypothesized by CAP models. In our country little empirical work has been done usinggrouping of assets in portfolios. Different tests using two altemative rnethodologies arecanied out: the already mentioned "approach using grouping of portfolios" (Black-Jensen-Scholes, 1972) and the "perspective of individual assets" as raised by Litzemberger-Ramaswamy (1979). El objetivo del presente trabajo consiste fundamentalmente en analizar si la conductaagregada de los inversores en el mercado de capitales español concuerda con las relaciones de equilibrio rentabilidad-riesgo hipotetizadas por el CAPM. En nuestro país, se han efectuado pocas pruebas empíricas diferentes a las desarrolladas en la perspectiva de agrupamiento de activos en carteras de valores. En este trabajo se plantean los distintos tests desde dos metodologías alternativas: la ya mencionada "aproximación de agrupamiento de carteras (Black-Jensen-Scholes, 1972) y la "perspectiva de activos individuales" planteada por Litzemberger-Ramaswamy (1979).
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number
1992-13.