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La prima de riesgo del mercado (market risk premium)

  • Fernandez, Pablo


    (IESE Business School)

En este documento se resalta que el término "prima de riesgo de mercado" (market risk premium) se utiliza para definir tres conceptos distintos: a) la rentabilidad incremental que un inversor exige a las acciones por encima de la renta fija sin riesgo (prima de riesgo del mercado, required market risk premium o market risk premium en sentido estricto); b) la diferencia entre la rentabilidad histórica de la bolsa (de un índice bursátil) y la rentabilidad histórica de la renta fija (rentabilidad diferencial o historical market risk premium), y c) el valor esperado de la diferencia entre la rentabilidad futura de la bolsa y la rentabilidad futura de la renta fija (expectativa de la rentabilidad diferencial o expected market risk premium). Muchos autores y muchos profesionales de las finanzas suponen que esta expectativa es igual a la rentabilidad diferencial y a la prima de riesgo del mercado. Posteriormente se analizan los métodos propuestos por la literatura financiera para medirlo y se analiza la rentabilidad diferencial histórica de España y Estados Unidos. La conclusión principal del artículo es que es imposible determinar la prima de riesgo "del mercado", porque tal número no existe debido a las heterogéneas expectativas de los inversores.

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Paper provided by IESE Business School in its series IESE Research Papers with number D/585.

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Length: 36 pages
Date of creation: 10 Mar 2005
Date of revision:
Handle: RePEc:ebg:iesewp:d-0585
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