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Relaciones Rentabilidad-Riesgo En Futuros Sobre Deuda A Largo Plazo

Author

Listed:
  • Rosa María Ayela

    (Universidad de Alicante)

Abstract

The aim of this paper is to analyze the existence of risk premia whithin the theorical framework of the CAPM, for long terrn interest rate futures contracts of the Spanish Market for Financia1 Futures. The analysis shows that the operators in futures bear systematic risk, and that its remuneration seems to be adequate for the bearable risk level. However the results should be regarded as a provisional advance, since the temporary series of profitability are discontinuous and the number of negotiated contracts is small. El objetivo de este trabajo consiste en analizar la existencia de premios por riesgo, en el marco teórico del CAPM, para los contratos sobre títulos de deuda a largo plazo del Mercado Español de Futuros Financieros de Renta Fija. Los resultados obtenidos permiten afirmar que los operadores en futuros soportan riesgo sistemático, y que la remuneración que obtienen parece resultar adecuada para el nivel de riesgo soportado. No obstante, estos resultados han de considerarse como un avance provisional, ya que las series temporales de rentabilidades son discontinuas y el número de contratos negociados es reducido.

Suggested Citation

  • Rosa María Ayela, 1995. "Relaciones Rentabilidad-Riesgo En Futuros Sobre Deuda A Largo Plazo," Working Papers. Serie EC 1995-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1995-08
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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1995-08.pdf
    File Function: Fisrt version / Primera version, 1995
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