Contrastacion De Metodologías Para El Cálculo De Beta De Mercado: El Caso De España
EXTRACTO: El objetivo de esta investigación es contrastar las dos metodologías que han sido utilizadas normalmente para el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y MacBeth (1973); y la denominada “impar-par” propuesta por Ball, Brown y Officer (1976). Se quiere verificar posibles diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el valor de las betas obtenidas. Con una u otra metodología los resultados son muy similares. En consecuencia, es poco probable también que la metodología utilizada para calcular beta incida en la efectividad de beta para explicar los retornos esperados en el esquema del CAPM. ABSTRACT: The aim of this investigation is to contrast the two methodologies that have been normally utilized for the calculation of market beta. They are: the “traditional” proposed by Black, Jensen and Scholes (1972) and by Fama and MacBeth (1973); and the so called “impar- par” proposed by Ball, Brown and Officer (1976). The goal is to verify possible differences in the obtained betas with a view toward the utilization of the CAPM. In conclusion, it seems that the methodology would not impact in the value of the obtained betas. With one or another methodology the results are very similar. Consequently, it is also little probable that the methodology utilized to calculate beta impact in the effectiveness of beta to explain the expected returns in the world of the CAPM.
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- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Ray Ball & Philip Brown & R. R. Officer, 1976. "Asset Pricing in the Australian Industrial Equity Market," Australian Journal of Management, Australian School of Business, vol. 1(1), pages 1-32, April.
- Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
- Rubio, Gonzalo, 1988. "Further international evidence on asset pricing : The case of the Spanish capital market," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 221-242, June.
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