Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais
The CAPM has had a fundamental role in the price formation process. However, its empirical re- sults at the moment of valuing assets have not been completely satisfactory due to, among other ques- tions, the different investor’s behavior to up or down market movements or extreme market movements. Th...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Universidade de Santiago de Compostela
2013-01-01
|
| Series: | Revista Galega de Economía |
| Online Access: | http://www.redalyc.org/articulo.oa?id=39129564007 |
| Summary: | The CAPM has had a fundamental role in the price formation process. However, its empirical re- sults at the moment of valuing assets have not been completely satisfactory due to, among other ques- tions, the different investor’s behavior to up or down market movements or extreme market movements. This paper analyzes if this investor’s behavior has effects on the equilibrium CAPM valuation. Using a threshold regression model, the empirical evidence for the Spanish stock exchange market supported that asset prices are sensitive to both up and down market movements and extreme market movements. Ad- ditionally, our evidence also indicated no stability as a structural change was found in the equilibrium rela- tionship in the onset of the global financial crisis. |
|---|---|
| ISSN: | 1132-2799 |