Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/54408
Title: Which are the risk factors in the pricing of Personal Pension Plans in Spain?
Authors: Padrón, Yaiza García 
Boza, Juan García
Issue Date: 2006
Publisher: 0034-7140
Journal: Revista Brasileira de Economia 
Abstract: The aim of this paper is to analyse if the Arbitrage Pricing Theory or the model suggested by Chen et al. (1986) can efficiently explain the variability of the cross-sectional returns on the Personal Pension Plans in Spain between 1995-2003, as well as to find their sources of risks. To test both models we have followed the traditional two-step cross-sectional regressions by Fama and MacBeth (1973). The results of our analysis show two significant risk factors derived from the fixed-income market: non-anticipated changes in the interest rate term structure and the default risk premium.
URI: http://hdl.handle.net/10553/54408
ISSN: 0034-7140
Source: Revista Brasileira de Economia[ISSN 0034-7140],v. 60, p. 179-192
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