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Modelo De Tres Factores En España

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

El objetivo del estudio es identificar y aplicar el modelo de tres factores desarrollado por Fama y French. Se aplica, desde una perspectiva de serie temporal, para el mercado accionario español en el período de operación del mercado continuo, esto es, enero de 1990 a octubre de 1999. Los resultados permiten corroborar que, en su conjunto, el modelo modificado de tres factores de Fama y French (1993, 1994, 1995 y 1996) es capaz de explicar una gran porción de la varianza (84% en promedio y como mínimo el 68%) de los retornos promedios de las diferentes carteras que han sido creadas usando uno o dos criterios de ordenamiento de la base de datos. Además, esta bondad de ajuste es altamente significativa, ya que su varianza es mínima.

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File URL: http://128.118.178.162/eps/fin/papers/0501/0501001.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0501001.

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Length: 33 pages
Date of creation: 01 Jan 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0501001

Note: Type of Document - pdf; pages: 33
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Web page: http://128.118.178.162

Related research

Keywords: Spain; Fama; French; España; portfolios; acciones; carteras; patrimonio bursátil; razón patrimonio contable a patrimonio bursátil.;

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References

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  1. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  2. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
  3. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-78, December.
  4. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
  5. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-55, March.
  6. De Bondt, Werner F M & Thaler, Richard H, 1987. " Further Evidence on Investor Overreaction and Stock Market Seasonalit y," Journal of Finance, American Finance Association, vol. 42(3), pages 557-81, July.
  7. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
  8. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  9. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  10. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. " Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 185-224, March.
  11. Chan, K C & Chen, Nai-Fu, 1991. " Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-84, September.
  12. Huberman, Gur & Kandel, Shmuel, 1987. " Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-88, September.
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