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

Author

Listed:
  • Yaiza García Padrón

    (Universidad de las Palmas de Gran Canaria)

  • Juan García Boza

    (Universidad de las Palmas de Gran Canaria)

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

Suggested Citation

  • Yaiza García Padrón & Juan García Boza, 2007. "Valoración de los planes de pensiones del sistema individual en España a través del modelo CAPM y del modelo ampliado con la variable tamaño," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(1), pages 63-83.
    • Handle: RePEc:ega:rafega:200705
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2007V1A5Garcia.pdf
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    More about this item

    Keywords

    Plan de pensiones; factores de riesgo; CAPM; tamaño;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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