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Modelizacion econometrica de la rentabilidad en los mercados de valores

Listed author(s):
  • Escudero, E.
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    En la medida en que el proceso de diversificacion nos permite crear carteras de titulos en las que sea unicamente el movimiento de mercado en su conjunto el unico riesgo a tener en cuenta, entonces la rentabilidad esperada de cualquier cartera debera depender del riesgo de mercado, tambien llamado riesgo sistematico. Existe una dependencia lineal entre el rendimiento del indice, como indicador del mercado, y la rentabilidad de los valores que nos medira el riesgo sistematico mediante la estimacion de las betas de cada accion. Siguiendo esta idea, elaboramos un modelo econometrico que nos permite analizar la sensibilidad de los movimientos de los precios de las acciones de las principales compañias que cotizan en la Bolsa española con respecto a las variaciones del indice Ibex-35 y , por tanto, nos permite conocer el riesgo de mercado para cada uno de los valores objeto de estudio. Analizamos ademas la volatilidad de cada de los titulos durante el año 1997.

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    File URL: http://www.usc.es/economet/aeeadepdf/aeeade58.pdf
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    Paper provided by University of Santiago de Compostela. Faculty of Economics and Business. Econometrics. in its series Economic Development with number 58.

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    Length: 38 pages
    Date of creation: 2002
    Handle: RePEc:eaa:ecodev:58
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