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Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño

  • Yaiza García Padrón

    ()

    (Universidad de las Palmas de Gran Canaria)

  • Juan García Boza

    (Universidad de las Palmas de Gran Canaria)

Registered author(s):

    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

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2007V1A5Garcia.pdf
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    Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

    Volume (Year): 1 (2007)
    Issue (Month): 1 ()
    Pages: 63-83

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    Handle: RePEc:ega:rafega:200705
    Contact details of provider: Web page: http://www.ccm.itesm.mx/egap/

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