Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66670
Authors: 
García Padrón, Yaiza
García Boza, Juan
Year of Publication: 
2006
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 33 [Year:] 2006 [Issue:] 1 [Pages:] 21-43
Abstract (Translated): 
We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll and Ross (1986) and a model constituted mainly with factors of the fixed-income market. The results obtained indicate that the fundamental factors in the pricing of the Personal Pension Plans are associated with the fixed-income market (maturity, default risk, relevance of short term operations).
JEL: 
G12
G23
E44
Document Type: 
Article

Files in This Item:
File
Size
140.63 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.