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Capital Asset Pricing Model (Capm) Y Arbitrage Pricing Theory (Apt): Una Nota Técnica

Author

Listed:
  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

En el campo de las Finanzas, uno de los tópicos de investigación más importantes en los últimos años, ha sido la Valuación de Activos de Capital. Esta pretende determinar los factores que explican la tasa de retorno de tales activos. El Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital desarrollados hasta ahora, son presentados aquí. Las características principales de ambos modelos que se explican aquí son los supuestos necesarios para desarrollarlos, sus planteamientos y los test empíricos llevados a cabo para contrastarlos con la realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos.

Suggested Citation

  • Fernando Rubio, 2004. "Capital Asset Pricing Model (Capm) Y Arbitrage Pricing Theory (Apt): Una Nota Técnica," Finance 0402007, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0402007
    Note: Type of Document - pdf; prepared on WinXP; pages: 26
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    File URL: http://econwpa.repec.org/eps/fin/papers/0402/0402007.pdf
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    More about this item

    Keywords

    CAPM; APT; modelos; valuación; activos; capital;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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