El modelo de valoración con cartera de mercadouna nueva especificación del coeficiente beta

  1. Nieto Domenech, Belén
  2. Rubio Irigoyen, Gonzalo
Journal:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Year of publication: 2002

Issue: 113

Pages: 697-724

Type: Article

DOI: 10.1080/02102412.2002.10779459 DIALNET GOOGLE SCHOLAR

More publications in: Revista española de financiación y contabilidad

Abstract

This is an empirical reseach that tests the simple and commonly used CAPM. However, we propose a new way to estimate the beta (market) risk. It is well known that the CAPM is an wquilibrium model that considers a single factor: the market, and the generalized practice is to approach its risk with the covariance between the return on an asset and the market return. On the other hand, in our estimation we consider certain characteristics of the firm that influence its beta (market) risk due to the different situation in which the firm confronts the macroeconomic events. The results of the test analyzing the significance of the risk premium in our model are considerably better to those obtained with the standard CAPM.

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Data source: Dialnet