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Modelo De Tres Factores En España

Author

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  • Fernando Rubio

    (FERNCAPITAL S.A.)

Abstract

El objetivo del estudio es identificar y aplicar el modelo de tres factores desarrollado por Fama y French. Se aplica, desde una perspectiva de serie temporal, para el mercado accionario español en el período de operación del mercado continuo, esto es, enero de 1990 a octubre de 1999. Los resultados permiten corroborar que, en su conjunto, el modelo modificado de tres factores de Fama y French (1993, 1994, 1995 y 1996) es capaz de explicar una gran porción de la varianza (84% en promedio y como mínimo el 68%) de los retornos promedios de las diferentes carteras que han sido creadas usando uno o dos criterios de ordenamiento de la base de datos. Además, esta bondad de ajuste es altamente significativa, ya que su varianza es mínima.

Suggested Citation

  • Fernando Rubio, 2005. "Modelo De Tres Factores En España," Finance 0501001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0501001
    Note: Type of Document - pdf; pages: 33
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0501/0501001.pdf
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    References listed on IDEAS

    as
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    7. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 185-224, March.
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    Full references (including those not matched with items on IDEAS)

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