Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño

Yaiza García Padrón () and Juan García Boza
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Yaiza García Padrón: Universidad de las Palmas de Gran Canaria
Juan García Boza: Universidad de las Palmas de Gran Canaria

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2007, vol. 1, issue 1, 63-83

Abstract: The main purpose of this paper is to analyze if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyze the sample in two ways: the whole set of plans and the plans separated in three groups as a function of the percentage of equity income. Our results do not allow to assure that these models adequately gather the variability of the returns on the Plans, although we observe a better behavior of the two-factor model on type I mixed fixed income Plans

Keywords: Plan de pensiones; factores de riesgo; CAPM; tamaño (search for similar items in EconPapers)
JEL-codes: G12 G23 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200705

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