|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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