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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.

Suggested Citation

  • Fernandez, Pablo, 2005. "La prima de riesgo del mercado (market risk premium)," IESE Research Papers D/585, IESE Business School.
  • Handle: RePEc:ebg:iesewp:d-0585

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    References listed on IDEAS

    1. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, June.
    2. Roger G. Ibbotson & Peng Chen, 2003. "Long-Run Stock Returns: Participating in the Real Economy," Yale School of Management Working Papers ysm354, Yale School of Management.
    3. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
    4. Welch, Ivo, 2000. "Views of Financial Economists on the Equity Premium and on Professional Controversies," The Journal of Business, University of Chicago Press, vol. 73(4), pages 501-537, October.
    5. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, number 9780195102680, June.
    6. Daniel C. Indro & Wayne Y. Lee, 1997. "Biases in Arithmetic and Geometric Averages as Estimates of Long-Run Expected Returns and Risk Premia," Financial Management, Financial Management Association, vol. 26(4), Winter.
    7. Ivo Welch, 2001. "The Equity Premium Consensus Forecast Revisited," Cowles Foundation Discussion Papers 1325, Cowles Foundation for Research in Economics, Yale University.
    8. Elroy Dimson & Paul Marsh & Mike Staunton, 2003. "Global Evidence On The Equity Risk Premium," Journal of Applied Corporate Finance, Morgan Stanley, vol. 15(4), pages 27-38.
    9. Haitao Li & Yuewu Xu, 2002. "Survival Bias and the Equity Premium Puzzle," Journal of Finance, American Finance Association, vol. 57(5), pages 1981-1995, October.
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    More about this item


    prima de riesgo de mercado; prima de riesgo de mercado histórica; prima de riesgo esperada;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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