{"id":132160,"date":"1996-01-01T00:00:00","date_gmt":"1996-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/eficiencia-semifuerte-y-modelo-de-valoracion-de-activos-financieros-capm-en-la-bolsa-de-madrid\/"},"modified":"1996-01-01T00:00:00","modified_gmt":"1996-01-01T00:00:00","slug":"eficiencia-semifuerte-y-modelo-de-valoracion-de-activos-financieros-capm-en-la-bolsa-de-madrid","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/eficiencia-semifuerte-y-modelo-de-valoracion-de-activos-financieros-capm-en-la-bolsa-de-madrid\/","title":{"rendered":"Eficiencia semifuerte y modelo de valoracion de activos financieros (capm) en la bolsa de Madrid."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Teresa Corzo Santamar\u00eda <\/strong><\/h2>\n<p>En la memoria se contrasta la hipotesis de eficiencia semifuerte en la bolsa de Madrid para los a\u00f1os 1985-1994.  el modelo utilizado es el capm o modelo de valoracion de activos financieros.  se completa el capm con la introduccion de algunas variables fundamentales -inspiradas en el trabajo de fama y french (1992)- como el tama\u00f1o, el per, la rentabilidad por dividendos, el endeudamiento y el cociente entre el valor contable y el valor de mercado de los recursos propios.  los datos usados son mensuales y anuales; corresponden a una muestra de 49 titulos que cotizan en el mercado continuo. Las tecnicas estadisticas empleadas son minimos cuadrados ordinarios y ponderados, con series temporales y datos de panel.  los resultados no nos permiten rechazar el capm, aunque lo muestran insuficiente en su explicacion de los rendimientos. Beta es un buen predictor del riesgo, y junto al tama\u00f1o y al cociente vc\/vm hace un buen papel en las regresiones explicativas. En las regresiones predictivas son el per, el endeudamiento y la beta, las que nos permiten anticipar las rentabilidades.  como no podemos rechazar el capm, y no hay ninguna variable quede forma general se comporte mejor que el mercado, concluimos que la bolsa de Madrid parece ajustarse al comportamiento de un mercado eficiente en su forma semifuerte.  los resultados confirman la evidencia de trabajos como amihud, cristensen y mendelson (1992) o fama y french (1993), y se oponen a los de fama y french (1992) o chan, hamao y lakonishok (1991).<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Eficiencia semifuerte y modelo de valoracion de activos financieros (capm) en la bolsa de Madrid.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Eficiencia semifuerte y modelo de valoracion de activos financieros (capm) en la bolsa de Madrid. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Teresa Corzo Santamar\u00eda <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Navarra<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1996<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Eduardo Martinez Abascal<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Javier Irastorza Revuelta <\/li>\n<li>Fernando G\u00f3mez-bezares Pascual (vocal)<\/li>\n<li>M\u00e1ximo Borrell Vidal (vocal)<\/li>\n<li>Rafael Termes Carrero (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Teresa Corzo Santamar\u00eda En la memoria se contrasta la hipotesis de eficiencia semifuerte en la bolsa de [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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