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...
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| Format: | Article |
| Language: | English |
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Universidade de Santiago de Compostela
2013-01-01
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| Series: | Revista Galega de Economía |
| Online Access: | http://www.redalyc.org/articulo.oa?id=39129564007 |
| _version_ | 1817997173153857536 |
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| author | Rubén Lado Sestayo |
| author_facet | Rubén Lado Sestayo |
| author_sort | Rubén Lado Sestayo |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-14T02:34:17Z |
| format | Article |
| id | doaj.art-57bd9c5c3cdb48e58a934ae1d245810d |
| institution | Directory Open Access Journal |
| issn | 1132-2799 |
| language | English |
| last_indexed | 2024-04-14T02:34:17Z |
| publishDate | 2013-01-01 |
| publisher | Universidade de Santiago de Compostela |
| record_format | Article |
| series | Revista Galega de Economía |
| spelling | doaj.art-57bd9c5c3cdb48e58a934ae1d245810d2022-12-22T02:17:32ZengUniversidade de Santiago de CompostelaRevista Galega de Economía1132-27992013-01-01222141166Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitaisRubén Lado SestayoThe 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.http://www.redalyc.org/articulo.oa?id=39129564007 |
| spellingShingle | Rubén Lado Sestayo Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais Revista Galega de Economía |
| title | Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais |
| title_full | Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais |
| title_fullStr | Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais |
| title_full_unstemmed | Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais |
| title_short | Contraste empírico do modelo CAPM: aproximación á non linealidade para o mercado español de capitais |
| title_sort | contraste empirico do modelo capm aproximacion a non linealidade para o mercado espanol de capitais |
| url | http://www.redalyc.org/articulo.oa?id=39129564007 |
| work_keys_str_mv | AT rubenladosestayo contrasteempiricodomodelocapmaproximacionanonlinealidadeparaomercadoespanoldecapitais |