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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0405030. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.