Which are the risk factors in the pricing of Personal Pension Plans in Spain?

Detalhes bibliográficos
Autor(a) principal: García Padrón,Yaiza
Data de Publicação: 2006
Outros Autores: García Boza,Juan
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000200005
Resumo: The aim of this paper is to analyse if the Arbirtrage Pricing Theory or the model suggested by Chen et al. (1986) can efficiently explain the variability of the cross-sectional returns on the Personal Pension Plans in Spain between 1995-2003, as well as to find their sources of risks. To test both models we have followed the traditional two-step cross-sectional regressions by Fama and MacBeth (1973). The results of our analysis show two significant risk factors derived from the fixed-income market: nonanticipated changes in the interest rate term structure and the default risk premium.
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spelling Which are the risk factors in the pricing of Personal Pension Plans in Spain?Personal Pension Plansmultifactor pricing modelsAPTmacroeconomic variablesrisk factorsfixed-income marketThe aim of this paper is to analyse if the Arbirtrage Pricing Theory or the model suggested by Chen et al. (1986) can efficiently explain the variability of the cross-sectional returns on the Personal Pension Plans in Spain between 1995-2003, as well as to find their sources of risks. To test both models we have followed the traditional two-step cross-sectional regressions by Fama and MacBeth (1973). The results of our analysis show two significant risk factors derived from the fixed-income market: nonanticipated changes in the interest rate term structure and the default risk premium.Fundação Getúlio Vargas2006-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000200005Revista Brasileira de Economia v.60 n.2 2006reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402006000200005info:eu-repo/semantics/openAccessGarcía Padrón,YaizaGarcía Boza,Juaneng2006-12-01T00:00:00Zoai:scielo:S0034-71402006000200005Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2006-12-01T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Which are the risk factors in the pricing of Personal Pension Plans in Spain?
title Which are the risk factors in the pricing of Personal Pension Plans in Spain?
spellingShingle Which are the risk factors in the pricing of Personal Pension Plans in Spain?
García Padrón,Yaiza
Personal Pension Plans
multifactor pricing models
APT
macroeconomic variables
risk factors
fixed-income market
title_short Which are the risk factors in the pricing of Personal Pension Plans in Spain?
title_full Which are the risk factors in the pricing of Personal Pension Plans in Spain?
title_fullStr Which are the risk factors in the pricing of Personal Pension Plans in Spain?
title_full_unstemmed Which are the risk factors in the pricing of Personal Pension Plans in Spain?
title_sort Which are the risk factors in the pricing of Personal Pension Plans in Spain?
author García Padrón,Yaiza
author_facet García Padrón,Yaiza
García Boza,Juan
author_role author
author2 García Boza,Juan
author2_role author
dc.contributor.author.fl_str_mv García Padrón,Yaiza
García Boza,Juan
dc.subject.por.fl_str_mv Personal Pension Plans
multifactor pricing models
APT
macroeconomic variables
risk factors
fixed-income market
topic Personal Pension Plans
multifactor pricing models
APT
macroeconomic variables
risk factors
fixed-income market
description The aim of this paper is to analyse if the Arbirtrage Pricing Theory or the model suggested by Chen et al. (1986) can efficiently explain the variability of the cross-sectional returns on the Personal Pension Plans in Spain between 1995-2003, as well as to find their sources of risks. To test both models we have followed the traditional two-step cross-sectional regressions by Fama and MacBeth (1973). The results of our analysis show two significant risk factors derived from the fixed-income market: nonanticipated changes in the interest rate term structure and the default risk premium.
publishDate 2006
dc.date.none.fl_str_mv 2006-06-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000200005
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000200005
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0034-71402006000200005
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.60 n.2 2006
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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