Ha variado en el tiempo la remuneración del riesgo en el mercado bursátil español?

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.