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La valoración intertemporal de activos: un análisis empírico para el mercado español de valores

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Abstract

In this paper I carry out an empirical evaluation for the Spanish market data of an asset pricing model based on the proposal of Campbell (1993). Due to the loglinear aproximation to the budget constrain that the author makes, a model arises that does not need consumption data among the explanatory factors for the variations of expected returns of ten size portfolios, which are the market return and variables that are able to predict future returns. For the latter requirement, we choose as factors the dividend yield, the book-tomarket ratio, both aggregate, and an interest rate term structure. The results obtained suggest that the dividend yield and the book-to-market ratio, when are considered jointly, are relevant variables in the prediction and explanation of returns.

Suggested Citation

  • Belén Nieto, 2002. "La valoración intertemporal de activos: un análisis empírico para el mercado español de valores," Investigaciones Economicas, Fundación SEPI, vol. 26(3), pages 497-524, September.
  • Handle: RePEc:iec:inveco:v:26:y:2002:i:3:p:497-524
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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Julio J. Rotemberg & Michael Woodford, 1999. "Interest Rate Rules in an Estimated Sticky Price Model," NBER Chapters,in: Monetary Policy Rules, pages 57-126 National Bureau of Economic Research, Inc.
    3. Dolado, Juan J. & María-Dolores, Ramón, 2000. "Evaluating Changes In The Bank Of Spain's Intervention: An Alternative Approach Using Marked Point Processes," CEPR Discussion Papers 2388, C.E.P.R. Discussion Papers.
    4. Gerlach, Stefan & Schnabel, Gert, 2000. "The Taylor rule and interest rates in the EMU area," Economics Letters, Elsevier, vol. 67(2), pages 165-171, May.
    5. Clarida, Richard & Gali, Jordi & Gertler, Mark, 1998. "Monetary policy rules in practice Some international evidence," European Economic Review, Elsevier, vol. 42(6), pages 1033-1067, June.
    6. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
    7. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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    Cited by:

    1. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2002. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
    2. Grau-Grau, Alfredo Juan, 2014. "¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 32, pages 705-736, Mayo.

    More about this item

    Keywords

    Predictability; intertemporal valuation; Campbell’s model; book-to-market ratio;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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