{"id":9299,"date":"1995-01-01T00:00:00","date_gmt":"1995-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/1995\/01\/01\/rentabilidad-y-riesgo-de-las-acciones-en-el-mercado-continuo-espanol\/"},"modified":"1995-01-01T00:00:00","modified_gmt":"1995-01-01T00:00:00","slug":"rentabilidad-y-riesgo-de-las-acciones-en-el-mercado-continuo-espanol","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/rentabilidad-y-riesgo-de-las-acciones-en-el-mercado-continuo-espanol\/","title":{"rendered":"Rentabilidad y riesgo de las acciones en el mercado continuo espa\u00f1ol."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Jos\u00e9 Antonio Madariaga Ibarra <\/strong><\/h2>\n<p>El capital asset pricing model (capm), cuyo desarrollo se atribuye, entre otros, a sharpe (1964), lintner (1965), black (1972), etc. Y el arbitrage pricing theory (apt) de ross (1976), constituyen dos modelos de valoracion de activos que han acaparado la literatura financiera de las dos ultimas decadas. La diferencia fundamental entre ambos esta en que, mientras el primero propugna la influencia del riego de mercado en el promedio de rentabilidad de los activos, el segundo admite la existencia de varios tipos de riesgo sistematico premiados por el mercado. Una tercera alternativa la constituyen los modelos multifactoriales que han sido la principal fuente de trabajo en los ultimos a\u00f1os y cuya critica fundamental es la inexistencia de un marco teorico que los respalde. La tesis parte de una breve descripcion de los fundamentos teorico-financieros, para pasar a continuacion a estudiar los diferentes procedimientos de contrastacion de dichos modelos desde un punto de vista econometrico. Concretamente, se analizan en profundidad las metodolog\u00edas de serie temporal y corte transversal (con y sin medias), ofreciendo las diversas posibilidades de estimacion de los modelos empiricos, atendiendo a la problematica estadistica que cada uno de ellos encierra.  posteriormente, partiendo de las series de rentabilidad (semanales y mensuales) de 64 titulos a lo largo del periodo 1990-93 en el mercado continuo, pasamos a realizar un analisis empirico tratando de contrastar la adecuacion de los modelos a la realidad bursatil espa\u00f1ola. De cara a la seleccion de los titulos que componen la base de datos se atendio a los criterios de volumen y frecuencia de contratacion, separando en dos grupos en funcion del ultimo. Los resultados de contraste de serie temporal indican evidencia en favor del funcionamiento del capm, mientras que la aplicacion de metodolog\u00edas de corte transversal llega a resultados poco claros, al no ser posible detectar premios por<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Rentabilidad y riesgo de las acciones en el mercado continuo espa\u00f1ol.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Rentabilidad y riesgo de las acciones en el mercado continuo espa\u00f1ol. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Jos\u00e9 Antonio Madariaga Ibarra <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Deusto<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1995<\/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>bezares Pascual G\u00f3mez<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Luis Tomas Diez De Castro <\/li>\n<li>Prosper Lamothe Fern\u00e1ndez (vocal)<\/li>\n<li>Juan  Manuel Mascare\u00f1as Perez I\u00f1igo (vocal)<\/li>\n<li> Narvaiza Solis Jos\u00e9 Luis (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Jos\u00e9 Antonio Madariaga Ibarra El capital asset pricing model (capm), cuyo desarrollo se atribuye, entre otros, a [&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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