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Volatilidades, betas y alfas de empresas españolas. Periodos 1990-1996 y 1986-1989

  • Fernandez, Pablo


    (IESE Business School)

Al hablar de volatilidad y beta es preciso tener clara la idea de riesgo que va asociada a estos conceptos. Cualquier poseedor de una cartera de valores se enfrenta a un riesgo, lo cual quiere decir que existe una probabilidad de que en el futuro se den situaciones distintas a las que espera para su cartera. Los dos tipos de riesgo que podemos distinguir son: – Riesgo sistemático: es el riesgo propio del mercado, y no puede eliminarse mediante la diversificación de la cartera. – Riesgo no sistemático: es el que puede eliminarse diversificando la cartera. La volatilidad mide el riesgo total de la cartera, es decir, tanto el sistemático como el no sistemático, en tanto que la beta mide sólo el riesgo sistemático de la cartera. En las siguientes líneas, además de explicar los conceptos de volatilidad y beta se muestran algunos de los resultados que se desprenden de una investigación sobre la volatilidad y la beta de empresas españolas realizada en el Departamento de Finanzas del IESE. En los Apéndices finales se presenta la derivación del «Capital Asset Pricing Model» (CAPM), las fórmulas para el cálculo de la beta y la volatilidad, y la relación matemática entre la beta y la volatilidad.

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Paper provided by IESE Business School in its series IESE Research Papers with number D/350.

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Length: 126 pages
Date of creation: 13 Oct 1997
Date of revision:
Handle: RePEc:ebg:iesewp:d-0350
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