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¿Cómo valorar los planes de pensiones del sistema individual en España?

  • Yaiza García Padrón
  • Juan García Boza


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    Este trabajo analiza diversos modelos multifactoriales de valoración de activos financieros con el objeto de determinar si permiten explicar de forma eficiente las variaciones de los rendimientos de los Planes de Pensiones del sistema individual en España entre 1995 y 2003 e identificar los factores de riesgo relevantes. Se contrastan los siguientes modelos: el APT, el propuesto por Chen, Roll y Ross (1986) y uno constituido fundamentalmente con factores de mercado de renta fija. Los resultados obtenidos señalan que los factores fundamentales en la valoración de losplanes están asociados al mercado de renta fija (madurez, riesgo, relevancia de las operaciones a corto plazo).

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    Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

    Volume (Year): 33 (2006)
    Issue (Month): 1 Year 2006 (June)
    Pages: 21-43

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    Handle: RePEc:udc:esteco:v:33:y:2006:i:1:p:21-43
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