Los factores tamaño, book-to-market y momentum en el mercado de capitales español: explicaciones racionales y efecto en la formación del precio

6533b832fe1ef96bd129a0d2

RESEARCH PRODUCT

Los factores tamaño, book-to-market y momentum en el mercado de capitales español: explicaciones racionales y efecto en la formación del precio

Begoña Font-belaire Alfredo Juan Grau Grau

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¿Pueden el efecto tamaño, book-to-market y momentum explicar el riesgo de los activos en el Mercado de Capitales Español? Este artículo intenta analizar la validez de las dos hipótesis racionales estudiadas por la literatura y el impacto de estos efectos sobre los riesgos y primas al riesgo de mercado. Nuestros resultados destacan la importancia del análisis condicional de los riesgos y primas de mercado para capturar la naturaleza de estos efectos, y dan soporte a las explicaciones racionales de los mismos como predictores del ciclo económico y cuantificadores del riesgo asociado a las estrategias de inversión de las empresas.

year	journal	country	edition	language
2007-01-01

http://hdl.handle.net/10550/63204

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