Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar … un adecuado ordenamiento mientras que en las regresiones de corte transversal, la beta no resulta estadísticamente …

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … cumulative returns. These returns depend not only on beta but also on the probability of survival and the growth rate. The … derived equations explain the beta, size and value effects previously documented by several authors. Surprisingly, the RVT …

effectiveness of beta to explain the expected returns in the world of the CAPM. … el cálculo de beta de mercado. Ellas son: la “tradicional” propuesta por Black, Jensen y Scholes (1972) y por Fama y … diferencias en los betas obtenidos de cara a la utilización del CAPM. En conclusión, al parecer la metodología no incidiría en el …

determine intrinsic expected returns that satisfy the CAPM equation. The intrinsic return of the risk-free asset is equal to the … return betas are approximately equal to intrinsic return betas. Market price expected returns do not satisfy the CAPM …

In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the … volatility switching behaviour in a sample of returns in the S&P500 index. In three of the thirty securities in the Dow Jones … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

evidence of relationship between market volatility and securities beta risk. … volatility. We apply a Markov switching process of order one to market volatility and examine the variation in the securities …' returns in different volatility regimes. We test the significance of the risk premium in different market regimes and we find …

Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …