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Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España

Author

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

EXTRACTO: El objetivo de esta investigación es contrastar las dos metodologías que han sido utilizadas normalmente para el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y MacBeth (1973); y la denominada “impar-par” propuesta por Ball, Brown y Officer (1976). Se quiere verificar posibles diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el valor de las betas obtenidas. Con una u otra metodología los resultados son muy similares. En consecuencia, es poco probable también que la metodología utilizada para calcular beta incida en la efectividad de beta para explicar los retornos esperados en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been normally utilized for the calculation of market beta. They are: the “traditional” proposed by Black, Jensen and Scholes (1972) and by Fama and MacBeth (1973); and the so called “impar- par” proposed by Ball, Brown and Officer (1976). The goal is to verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems that the methodology would not impact in the value of the obtained betas. With one or another methodology the results are very similar. Consequently, it is also little probable that the methodology utilized to calculate beta impact in the effectiveness of beta to explain the expected returns in the world of the CAPM.

Suggested Citation

  • Fernando Rubio, 2004. "Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España," Finance 0405030, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405030
    Note: Type of Document - pdf; pages: 15
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
    3. Chan, K C & Chen, Nai-Fu, 1988. " An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk," Journal of Finance, American Finance Association, vol. 43(2), pages 309-325, June.
    4. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    5. Rubio, Gonzalo, 1988. "Further international evidence on asset pricing : The case of the Spanish capital market," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 221-242, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    España; CAPM; metodología; beta; acciones;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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