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Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market

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  • MIRALLES MARCELO, JOSÉ LUIS

    () (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

  • MIRALLES QUIRÓS, MARÍA DEL MAR

    (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

  • MIRALLES QUIRÓS, JOSÉ LUIS.

    (Universidad de Extremadura. Avd. Elvas, s/n. 06071 Badajoz. Telf. 924 289 510 - Fax: 924 272 509)

Abstract

La correcta medida del riesgo tiene una importancia fundamental en la valoración de activos. Sin embargo, una de las medidas más frecuentemente utilizadas, la varianza, ha recibido críticas debido a que establece una respuesta simétrica para movimientos positivos y negativos en las rentabilidades bursátiles, pudiendo ser una causa del rechazo del CAPM tradicional. El objetivo de este estudio consiste en analizar si el modelo de valoración de activos Lower Partial Moment-CAPM, que considera la semivarianza de un activo con la cartera de mercado como factor explicativo de la prima de riesgo, representa una mejor aproximación empírica al mercado de valores español. Los principales resultados obtenidos nos indican la existencia de respuesta asimétrica en las rentabilidades bursátiles ante variaciones en la tendencia del mercado y que la dinámica de la prima de riesgo tiene un papel relevante en el proceso de valoración. Correct risk measurement is fundamentally important to asset pricing. However, one of the most frequently used measures, variance, has been criticized because it establishes a symmetric response to the upside and downside movements of stock returns. This could be one reason for rejecting the traditional CAPM. The purpose of this paper is to analyze whether the Lower Partial Moment – CAPM represents a better empirical approximation to the Spanish stock market since it takes into account the semivariance of an asset with respect to the market portfolio as an explanatory factor for risk premiums. Our main results indicate the existence of an asymmetric response of stock returns in Bull and Bear markets and show that risk premium dynamics play a relevant role in asset pricing.

Suggested Citation

  • Miralles Marcelo, José Luis & Miralles Quirós, María Del Mar & Miralles Quirós, José Luis., 2007. "Análisis Media-semivarianza: Una Aplicación A Las Primas De Riesgo En El Mercado De Valores Español/Mean-semivariance Analysis: An Application To Risk Premiums In The Spanish Stock Market," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 199-214, Abril.
    • Handle: RePEc:lrk:eeaart:25_1_8
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    References listed on IDEAS

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    More about this item

    Keywords

    Valoración de activos; Asimetría; Downside risk/Asset pricing; Skewness; Dowside risk.;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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