IDEAS home Printed from https://ideas.repec.org/a/udc/esteco/v33y2006i1p21-43.html
   My bibliography  Save this article

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

Author

Listed:
  • Yaiza García Padrón
  • Juan García Boza

    ()

Abstract

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).

Suggested Citation

  • Yaiza García Padrón & Juan García Boza, 2006. "¿Cómo valorar los planes de pensiones del sistema individual en España?," Estudios de Economia, University of Chile, Department of Economics, vol. 33(1 Year 20), pages 21-43, June.
  • Handle: RePEc:udc:esteco:v:33:y:2006:i:1:p:21-43
    as

    Download full text from publisher

    File URL: http://www.econ.uchile.cl/uploads/publicacion/22b7eb84-7d60-46be-aa61-e97f6a965cdd.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Joan Esteban & Debraj Ray, 2011. "Linking Conflict to Inequality and Polarization," American Economic Review, American Economic Association, pages 1345-1374.
    2. José Aguilar-Retureta, 2014. "The GDP per capita of the Mexican regions (1895-1930): new estimates," Documentos de Trabajo (DT-AEHE) 1415, Asociacion Espa–ola de Historia Economica.
    3. José Díaz & Rolf Lüders & Gert Wagner, "undated". "Economía Chilena 1810-1995: Evolución Cuantitativa del Producto Total y Sectorial," Documentos de Trabajo 186, Instituto de Economia. Pontificia Universidad Católica de Chile..
    4. Krugman, Paul, 1991. "Increasing Returns and Economic Geography," Journal of Political Economy, University of Chicago Press, vol. 99(3), pages 483-499, June.
    5. Patricio Aroca & Mariano Bosch, 2000. "Crecimiento, convergencia y espacio en las regiones chilenas: 1960 - 1998," Estudios de Economia, University of Chile, Department of Economics, vol. 27(2 Year 20), pages 199-224, December.
    6. Badia-Miró, Marc & Guilera, Jordi & Lains, Pedro, 2012. "Regional Incomes in Portugal: Industrialisation, Integration and Inequality, 1890-1980," Revista de Historia Económica, Cambridge University Press, vol. 30(02), pages 225-244, September.
    7. Fujita , Masahisa & Krugman, Paul, 2004. "The new economic geography: Past, present and the future," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 4, pages 177-206.
    8. Rosés, Joan Ramón & Martínez-Galarraga, Julio & Tirado, Daniel A., 2010. "The upswing of regional income inequality in Spain (1860-1930)," Explorations in Economic History, Elsevier, vol. 47(2), pages 244-257, April.
    9. Combes, Pierre-Philippe & Lafourcade, Miren & Thisse, Jacques-François & Toutain, Jean-Claude, 2011. "The rise and fall of spatial inequalities in France: A long-run perspective," Explorations in Economic History, Elsevier, vol. 48(2), pages 243-271, April.
    10. X. Zhang & R. Kanbur, 2001. "What Difference Do Polarisation Measures Make? An Application to China," Journal of Development Studies, Taylor & Francis Journals, vol. 37(3), pages 85-98.
    11. Nazrul Islam, 2003. "What have We Learnt from the Convergence Debate?," Journal of Economic Surveys, Wiley Blackwell, vol. 17(3), pages 309-362, July.
    12. Frank Geary & Tom Stark, 2002. "Examining Ireland"s Post--famine Economic Growth Performance," Economic Journal, Royal Economic Society, vol. 112(482), pages 919-935, October.
    13. Henning, Martin & Enflo, Kerstin & Andersson, Fredrik N.G., 2011. "Trends and cycles in regional economic growth," Explorations in Economic History, Elsevier, vol. 48(4), pages 538-555.
    14. Paul Caruana-Galizia, 2013. "Indian Regional Income Inequality: Estimates Of Provincial Gdp, 1875-1911," Economic History of Developing Regions, Taylor & Francis Journals, vol. 28(1), pages 1-27, June.
    15. Nicholas Crafts, 2005. "Regional Gdp In Britain, 1871-1911: Some Estimates," Scottish Journal of Political Economy, Scottish Economic Society, vol. 52(1), pages 54-64, February.
    16. Juan Braun-Llona & Matías Braun-Llona & Ignacio Briones & José Díaz & Rolf Lüders & Gert Wagner, "undated". "Economía Chilena 1810-1995. Estadísticas Históricas," Documentos de Trabajo 187, Instituto de Economia. Pontificia Universidad Católica de Chile..
    17. Quah, Danny, 1993. "Empirical cross-section dynamics in economic growth," European Economic Review, Elsevier, vol. 37(2-3), pages 426-434, April.
    18. Roberto Duncan & Rodrigo Fuentes, 2006. "Regional Convergence in Chile: New Tests, Old Results," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 43(127), pages 81-112.
    19. Quah, Danny, 1997. "Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs," CEPR Discussion Papers 1586, C.E.P.R. Discussion Papers.
    20. Joan Esteban & Carlos Gradín & Debraj Ray, 2007. "An Extension of a Measure of Polarization, with an application to the income distribution of five OECD countries," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 5(1), pages 1-19, April.
    21. José Díaz & Rolf Lüders & Gert Wagner, 2007. "Economía Chilena 1810-2000. Producto Total y Sectorial. Una Nueva Mirada," Documentos de Trabajo 315, Instituto de Economia. Pontificia Universidad Católica de Chile..
    22. Epstein, Philip & Howlett, Peter & Schulze, Max-Stephan, 2003. "Distribution dynamics: stratification, polarization, and convergence among OECD economies, 1870-1992," Explorations in Economic History, Elsevier, vol. 40(1), pages 78-97, January.
    23. Quah, Danny T, 1997. "Empirics for Growth and Distribution: Stratification, Polarization, and Convergence Clubs," Journal of Economic Growth, Springer, vol. 2(1), pages 27-59, March.
    24. Bernard Fingleton, 1999. "Estimates of Time to Economic Convergence: An Analysis of Regions of the European Union," International Regional Science Review, , vol. 22(1), pages 5-34, April.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Plan de pensiones; modelo multifactorial de valoración; factor de riesgo; renta fija.;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:udc:esteco:v:33:y:2006:i:1:p:21-43. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Verónica Kunze). General contact details of provider: http://edirc.repec.org/data/deuclcl.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.