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Data Mining Sobre El Beta En España

Author

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM en España. Específicamente, se han realizado variadas simulaciones históricas y regresiones de corte transversal de los retornos de las acciones componentes de la muestra utilizada. La evidencia empírica encontrada en el presente estudio no permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar adecuadamente entre las acciones de acuerdo a la valorización futura lograda por estas. En las simulaciones históricas no se logra un adecuado ordenamiento mientras que en las regresiones de corte transversal, la beta no resulta estadísticamente significativa y, por tanto, no permite explicar la varianza de los retornos de las acciones.

Suggested Citation

  • Fernando Rubio, 2004. "Data Mining Sobre El Beta En España," Finance 0410011, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0410011
    Note: Type of Document - pdf; pages: 17
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0410/0410011.pdf
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    CAPM; Beta; España; acciones; modelo; valuación; inversión; estrategias.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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