Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/47047
Title: Ha variado en el tiempo la remuneración del riesgo en el mercado bursátil español?
Authors: Pérez Rodríguez, Jorge Vicente 
UNESCO Clasification: 530202 Modelos econométricos
Keywords: Análisis de series temporales
Riesgos financieros
Issue Date: 2002
Publisher: 0210-2412
Journal: Revista Española de Financiación y Contabilidad 
Abstract: The purpose of this paper is to analyze if the risk price is time-varying in the CAPM clasic framework: (a) using excess return on Madrid Stock Exchange Index, (b) using some ARCH-M model type, and (c) various conditional error functions to estimate parameters. The sample period is from 1986 January to 2000 march. The results show that risk aversion parameter is close to three using some seasonally dummies that represent some months in the year. Also, we use the recursive maximum likelihood estimation with normal, t-Student and GED conditional distribution error to obtain sample projections of the risk price coefficient and all parameters imply in the empirical model. We can say that the coefficient is non-constant during the overall period, and only significant during the last sample periods. So that, the CAPM model is rejected.
URI: http://hdl.handle.net/10553/47047
ISSN: 0210-2412
DOI: 10.1080/02102412.2002.10779463
Source: Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 31, p. 833-859
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