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Sesgos en los modelos de sincronización tradicionales

Listed author(s):
  • Ferruz, Luis

    (Universidad de Zaragoza)

  • Muñoz, Fernando

    (Universidad de Zaragoza)

  • Vargas, María

    (Universidad de Zaragoza)

Registered author(s):

    This paper represents, to the best of our knowledge, the first attempt to bring together all of the biases affecting traditional timing models that have been identified in the literature. These biases are the cause of spurious coefficients and our aim is to propose certain corrective measures. The biases analysed in this paper are related with volatility timing, as well as return timing; the incorporation of public information; the dynamic trading effect; the options implied in timing activities; infrequent trading and the variations in market conditions.// En este artículo se reúne por primera vez todos los sesgos evidenciados por la bibliografía que afectan a los modelos de sincronización (timing) tradicionales generando coeficientes espurios y se intenta aplicar las correcciones oportunas. Algunas de estas correcciones se proponen en el trabajo. Estos sesgos tienen relación con la consideración de la sincronización en riesgo —además de en rentabilidad—, con la incorporación de información pública, con el efecto de la negociación dinámica, con la opción implícita en las actividades de sincronización, con el efecto de la negociación infrecuente, así como con la variación en las condiciones del mercado.

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    Article provided by Fondo de Cultura Económica in its journal El Trimestre Económico.

    Volume (Year): LXXVII (4) (2010)
    Issue (Month): 308 (octubre-diciembre)
    Pages: 937-976

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    Handle: RePEc:elt:journl:v:77:y:2010:i:308:p:937-976
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