Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño
The main purpose of this paper is to analyze if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyze the sample in two ways: the whole set of plans and the plans separated in three groups as a function of the percentage of equity income. Our results do not allow to assure that these models adequately gather the variability of the returns on the Plans, although we observe a better behavior of the two-factor model on type I mixed fixed income Plans
Volume (Year): 1 (2007)
Issue (Month): 1 ()
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